Estimators for the Drift of Subfractional Brownian Motion

In this paper, we consider, using technique based on Girsanov theorem, the problem of efficient estimation for the drift of subfractional Brownian motion S^H ? (S^H_t)_{t ∈ [0, T]}. We also construct a class of biased estimators of James-Stein type which dominate, under the usual quadratic risk, the natural maximum likelihood estimator.     

On Erlang(2) Risk Process Perturbed by Diffusion

ABSTRACT

In this article, we consider an Erlang(2) risk process perturbed by diffusion. From the extreme value distribution of Brownian motion with drift and the renewal theory, we show that the survival probability satisfies an integral equation. We then give the bounds for the ultimate ruin probability and the ruin probability caused by claim. By introducing a random walk associated with the proposed risk process, we define an adjustment-coefficient. The relation between the adjustment-coefficient and the bound is given and the Lundberg-type inequality for the bound is obtained. Also, a formula of Pollaczek–Khinchin type for the bound is derived. Using these results, the bound can be calculated when claim sizes are exponentially distributed.     

Estimation and Simulation of the Riesz-Bessel Distribution

ABSTRACT

In this article, further properties of the Riesz-Bessel distribution are provided. These properties allow for the simulation of random variables from the Riesz-Bessel distribution. Estimation is addressed by nonlinear generalized least squares regression on the empirical characteristic function. The estimator is seen to approximate the maximum likelihood estimator. The distribution is illustrated with financial data.     

“至”和“到”的历时更替

“到达”这一概念唐宋以前多用“至”来表达,现代汉语口语常用“到”来称说,“到”对“至”曾发生过历时替换。着眼于“至”和“到”语义特征和句法功能的发展变化,分先秦一西汉、东汉一隋、唐宋、元明清四个阶段对二者的历时替换过程进行描述。先秦时期,“至”和“到”的用法差异明显。进入东汉时期,“至”和“到”的差异缩小。南北朝时期,“到”的发展进一步加快,二者的用法基本一致。唐代开始,“至”和“到”的发展进入相持阶段,大部分语料中“到”已占据优势。宋代“到”基本实现了对“至”的替换,成为“到达”语义场中的主导词。元明清以后,“至”的活动进一步受限制,“到达”这一概念多用“到”来表达。     

运动方向对深度运动知觉的影响——ERP研究

深度运动知觉问题的研究目前仍处于探求阶段。该文采用一种较接近人视觉经验的实验范式,对两种情况下的128导事件相关电位(ERP)数据进行了较详细的时-空分析。结果表明,它们都激活了相似或相同的脑区;但不同的运动方向对信息处理的侧重脑区及神经响应程度有所不同,而且在时间过程上也表现出比较显著的差异,为进一步研究深度运动的大脑感知过程奠定了基础。     

分数型几何亚式-再装股票期权的保险精算定价公式及其仿真

文章讨论了再装股票期权在再装日按B-S定价模型执行所产生的经理激励缺陷,提出了将有效期内股价的几何平均值作为再装期权结算价格的思想,建立了几何亚式-再装股票期权的定价模型。并利用保险精算方法,从评估实际损失和相应概率分布的角度,研究了几何亚式-再装股票期权的价值构成,获得了基于分数布朗运动下几何亚式-再装股票期权的保险精算定价公式。还通过数值模拟分析比较了传统再装期权与几何亚式-再装股票期权在经理激励中的作用。     

基于遗传算法的ISAR运动补偿新算法

提出了基于遗传算法进行逆合成孔径雷达运动补偿的新算法.针对遗传算法解的收敛性问题,在遗传算法中采用了最优个体保存策略,使得解以概率1收敛于全局最优解;针对遗传算法运算量大的问题,提出了采用运动补偿后最小熵和最小距离作为适应度函数,由此形成2种称为GAMCE和GAMCD的ISAR运动补偿新算法.仿真数据和实测数据验证了所提新算法的有效性.     

Interim analysis of clinical trials based on urn models

Clinical trials usually involve efficient and ethical objectives such as maximizing the power and minimizing the total failure number. Interim analysis is now a standard technique in practice to achieve these objectives. Randomized urn models have been extensively studied in the literature. In this paper, we propose to perform interim analysis on clinical trials based on urn models and study its properties. We show that the urn composition, allocation of patients and parameter estimators can be approximated by a joint Gaussian process. Consequently, sequential test statistics of the proposed procedure converge to a Brownian motion in distribution and the sequential test statistics asymptotically satisfy the canonical joint distribution defined in Jennison & Turnbull (Jennison & Turnbull 2000. Group Sequential Methods with Applications to Clinical Trials, Chapman and Hall/CRC). These results provide a solid foundation and open a door to perform the interim analysis on randomized clinical trials with urn models in practice. Furthermore, we demonstrate our proposal through examples and simulations by applying sequential monitoring and stochastic curtailment techniques. The Canadian Journal of Statistics 40: 550–568; 2012 © 2012 Statistical Society of Canada     

Bayesian regression under combinations of constraints

A Bayesian method for regression under several types of constraints is proposed. The constraints can be range-restricted and include shape restrictions, constraints on the value of the regression function, smoothness conditions and combinations of these types of constraints. The support of the prior distribution is included in the set of piecewise linear functions. It is shown that the proposed prior can be arbitrarily close to the distribution induced by the addition of a polynomial plus an (m−1)-fold integrated Brownian motion. Hence, despite its piecewise linearity, the regression function behaves (approximately) like an m−1 times continuously differentiable random function. Furthermore, thanks to the piecewise linear property, many combinations of constraints can easily be considered. The regression function is estimated by the posterior mode computed by a simulated annealing algorithm. The constraints on the shape and the values of the regression function are taken into account thanks to the proposal distribution, while the smoothness condition is handled by the acceptation step. Simulations from the posterior distribution are obtained by a Gibbs sampling algorithm.     

液压设备的固体污染分析及防治措施

液压系统中的固态杂质,是污染油液的主要原因,也是液压泵和液压马达效率降低,液压阀卡死,噪声和振动等现象发生的主要原因。因此,固体污染物分析与控制的研究具有积极而重要的意义。