过程控制图在股票收益波动分析中的应用研究

应用AR型残差控制图解决过程自相关问题;用受控过程的条件标准差替代无条件标准差,构造控制图的控制线,解决过程波动簇聚问题.在实证中,以上证50指数中股票的周收益序列为样本过程,根据其统计性质将其分为四类,并分别举例、选择适当的控制图加以监控.然后,对控制图识别出的异常点举例进行验证、分析,以评价控制图应用于股票收益序列监控的有效性.     

Inference for a change-point problem under an OU setting with unequal and unknown volatilities

An Ornstein–Uhlenbeck (OU) process is employed as a versatile model to capture the mean-reverting and stochastic evolution of many variables in various fields of applications including finance and economics. Within the OU setting, we develop a new estimation method to determine the unknown change-point location under the assumption that the volatilities before and after the change point in a time series are unequal. Our method hinges on the concept of a weighted least sum of squared errors approach and enhanced by a fusion of an iterative algorithm. The consistency of the change-point estimator is established. This article highlights a numerical implementation on simulated and observed financial market data demonstrating the significant flexibility and accuracy of our proposed modelling and estimation method. The Canadian Journal of Statistics 48: 62–78; 2020 © 2019 Statistical Society of Canada     

一般和对策的平衡解

本文旨在探讨一般和对策的平衡局势存在的若干条件。证明了如下二定理:“一般和无限条件列紧对策恒存在ε-平衡局势”和“一般和无限列紧对策均存在平衡局势”,它们分别改进了著名的Nash定理、Wald定理及Vilie定理。     

Combined double sampling and variable sampling interval np chart

A combined double sampling and variable sampling interval (DSVSI) np chart is investigated in this study. The optimal design of the DSVSI np chart is based on minimizing the out-of-control average time to signal. From the numerical results, the DSVSI np chart performs reasonably well in comparison with the standard np chart, double sampling np chart, synthetic double sampling np chart, and other existing np type control charts for detecting increases in the process of fraction non conforming, based on the zero-state case. An example is provided to illustrate the application of the DSVSI np chart.     

Computer tools for statistical quality control

Since the 1920' sanduntil recently, numerical computation has beena limiting factor in the application of statistical methods to the improvement of product quality. This restriction is be in geliminated by the in troduction of computer tools for statistical quality control.

Both novice and expertusers of statistical methods can ben-efitsubstantially from the availability o intergrated soft ware for computing, graphics, and data management. Theuse of such soft ware in SQC training program senables the student to focus on the under standing of statistical techniques, rather than the irmechanicaldetails. In productionen vironments, properly designedinterfaces facilitated at aent ryand access to statistical soft ware by plant personnel, with out requiring know ledge of a computer language. The sesame tool scan be used by management to retrieve in for mationandob tain summaries and display sofcriti-caldata gatheredover different period softime. Finally, computer tool sprovide the applied statistician with agreater range of advanced methods, includinganalytical and graphical extensions of the traditional She whart control chart.     

Effects of autocorrelation on control chart performance

In this article, we study the capability of the standard control chart for individual observations with fixed control limits to identify special causes reflected as isolated extreme points in the presence of autocorrelation. We consider both the application of standard Shewhart limits and moving-range limits and derive the risks of false positive and false negative when the control chart observations follow a general ARMA(p,q) process.     

A new economic scheme for CCC charts with run rules based on average number of inspected items

New statistical techniques and procedures have been developed to control high-yield processes along with looking for process improvement opportunities and minimizing production cost. Cumulative count of conforming control chart is generally a technique for high-quality processes, when nonconforming items are rarely produced. The objective of this study is to design control chart based on cumulative count of conforming items and run rules that develops an economic model based on the average number of inspected items to design m-of-m CCC chart in order to facilitate minimum average cost per item produced. The optimal design parameters for different values of nonconforming fraction and different cost parameters in each scenario are determined. Finally, to analyze the behavior of optimal economic solutions, sensitivity analysis of the model parameters is performed.     

Critical review and comparison of continuity correction methods: The normal approximation to the binomial distribution

We provide a comprehensive and critical review of Yates’ continuity correction for the normal approximation to the binomial distribution, in particular emphasizing its poor ability to approximate extreme tail probabilities. As an alternative method, we also review Cressie's finely tuned continuity correction. In addition, we demonstrate how Yates’ continuity correction is used to improve the coverage probability of binomial confidence limits, and propose new confidence limits by applying Cressie's continuity correction. These continuity correction methods are numerically compared and illustrated by data examples arising from industry and medicine.     

Modified Wilcoxon–Mann–Whitney Test and Power Against Strong Null

The Wilcoxon–Mann–Whitney (WMW) test is a popular rank-based two-sample testing procedure for the strong null hypothesis that the two samples come from the same distribution. A modified WMW test, the Fligner–Policello (FP) test, has been proposed for comparing the medians of two populations. A fact that may be under-appreciated among some practitioners is that the FP test can also be used to test the strong null like the WMW. In this article, we compare the power of the WMW and FP tests for testing the strong null. Our results show that neither test is uniformly better than the other and that there can be substantial differences in power between the two choices. We propose a new, modified WMW test that combines the WMW and FP tests. Monte Carlo studies show that the combined test has good power compared to either the WMW and FP test. We provide a fast implementation of the proposed test in an open-source software. Supplementary materials for this article are available online.     

百年前洋山等舟山北片岛屿的交通环境——1921年中国旧海关绘刊“杭州湾及其入口航道图”解析

上海图书馆徐家汇藏书楼收藏有1921年中国旧海关绘刊“Hang Chou Bay and Approaches， including the Southern approach to the Yangtze River”（杭州湾及其入口航道图，含长江南水道）残海图一幅。从地图学术史角度而言，它是一幅具有向近代技术化、民族化过渡痕迹明显的航道图，价值特殊。从图幅内容来看，它全面反映出了20世纪20年代舟山北片群岛的自然环境和社会经济面貌。