The use of dummy variables in consumption models

In this paper the consumption model in Winder and Palm [1989] is subjected to a sensitivity analysis. Small and reasonable change in several dummy variables provide that the original model with a moving planning horizon becomes observationally equivalent with a random walk specification.     

Symbolic Itô calculus in AXIOM: An ongoing story

Symbolic Itô calculus refers both to the implementation of Itô calculus in a computer algebra package and to its application. This article reports on progress in the implementation of Itô calculus in the powerful and innovative computer algebra package AXIOM, in the context of a decade of previous implementations and applications. It is shown how the elegant algebraic structure underlying the expressive and effective formalism of Itô calculus can be implemented directly in AXIOM using the package's programmable facilities for strong typing of computational objects. An application is given of the use of the implementation to provide calculations for a new proof, based on stochastic differentials, of the Mardia-Dryden distribution from statistical shape theory.     

Maximum Likelihood Inference for Multivariate Frailty Models Using an Automated Monte Carlo EM Algorithm

We present a maximum likelihood estimation procedure for the multivariate frailty model. The estimation is based on a Monte Carlo EM algorithm. The expectation step is approximated by averaging over random samples drawn from the posterior distribution of the frailties using rejection sampling. The maximization step reduces to a standard partial likelihood maximization. We also propose a simple rule based on the relative change in the parameter estimates to decide on sample size in each iteration and a stopping time for the algorithm. An important new concept is acquiring absolute convergence of the algorithm through sample size determination and an efficient sampling technique. The method is illustrated using a rat carcinogenesis dataset and data on vase lifetimes of cut roses. The estimation results are compared with approximate inference based on penalized partial likelihood using these two examples. Unlike the penalized partial likelihood estimation, the proposed full maximum likelihood estimation method accounts for all the uncertainty while estimating standard errors for the parameters.     

物流配送中心选址的随机数学模型

本文对照传统的物流配送中心选址问题提出了一个随机化的模型,并从数学角度对该模型进行了的一些分析,给出了单配送中心选址问题的一个量化的处理方法。     

考虑政府补贴与企业社会责任的两级供应链优化

企业社会责任问题日益受到管理者和研究者关注。研究随机需求下由一个供应商与一个零售商组成的分散式供应链，探讨政府补贴对供应链最优生产与社会责任投入决策的影响，并比较分析了分别由供应商与零售商主导下供应链的运作效率。结果表明，在集中式供应链中价格弹性对采购数量和企业社会责任总投入量的影响更为显著；而在分散式供应链中加入政府补贴因素，会使总收益呈现出倒U形的发展趋势，且零售商主导的分散式供应链会因政府补贴的减少表现出迅速下降的趋势；此外增加政府补贴，会使得供应商主导的分散式供应链中的供应商降低其企业社会责任投入，但对于零售商主导的分散式供应链的影响却不大。     

有限封闭空间中物体表面微波实时成象

有限封闭空间中物体表面微波成象是电磁学和雷达技术中最重要的研究课题之一。本文讨论了具有三维粗糙表面的物体处于有限封闭空间中的微波实时成象问题,提出了一个实际可行的成象方法。在假定粗糙表面的高度函数服从正态分布的情况下,本文推出了粗糙表面微皮软射截面公式,给出了计算机计算结果并对该结果进行了讨论。应用FM-CW成象系统进行实验,获得了粗糙表面散射特性曲线及二维截面图形。     

Random Pooling Designs Under Various Structures

Balding et al. (1995) showed that randomizing over the k-set space yields much better pooling designs than the random pooling design without the k-restriction. A natural question arises as to whether a smaller subspace, i.e., a space with more structure, will yield even better results. We take the random subset containment design recently proposed by Macula, which randomizes over a subspace of the k-set space, as our guinea pig to compare with the k-set space. Unfortunately the performance of the subset containment design is hard to analyze and only approximations are given. For a set of parameters, we are able to produce either an exact analysis or very good approximations. The comparisons under these parameters seem to favor the k-set space.     

关于我国期货市场弱式有效性的研究

由于金融价格遵循随机游走蕴涵着市场呈弱式有效,而单位根的存在仅是随机游走的必要条件,故运用这一含义,本文利用单位根检验与自相关检验的结合,并同时利用方差比检验和多重方差比检验来对随机游走假设进行实证研究,目的在于探讨国内铜、大豆、小麦三大期货市场是否呈弱式有效态势.结果显示:各种检验方法得出的结论是一致的,即铜、大豆、小麦三大期货市场的对数期货价格序列符合随机游走假设.     

CREDIBILITY THEORY: A CONCISE PARTIAL SURVEY1

Developments in credibility theory in the last seventy years or so are outlined. Particular attention is paid to early work in the field and to more recent developments showing some of the many connections between credibility theory and other fields including linear Bayesian theory, linear filtering theory and constant coefficient regression.     

基于网络直销可替代随机需求的供应链研究

在网络直销背景下,研究一个电子零售商和两个制造商的供应链.电子零售商仅提供其网络平台并收取相应费用,制造商确定单个替代产品的价格和供货量,并借助网络平台发布产品价格信息供顾客选购.基于网络直销模式,针对产品可双向替代和面临随机需求的特点,采用加和的线性需求模型,在单个周期内构建一个两阶段主从博弈模型,讨论制造商的均衡最优定价、供货量和电子零售商的最优收益分享比例;借助数值实验,讨论替代系数和生产成本对制造商、电子零售商决策的影响.研究结果表明,在网络直销模式和终端随机需求环境下,当产品的单位供货成本既定时,产品相互替代度越大,电子零售商的收益分享比例和利润越大;当制造商产品相似替代系数既定时,单位供货成本越大,电子零售商的收益分享比例和利润越少.研究结果对于电子零售商提高利润和吸引更多的制造商直销产品以及制造商提高直销替代产品时的利润都具有重要的理论意义和实践价值.