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1.
张未未 《绍兴文理学院学报》2007,(1)
研究了有界风险模型中的Gerber-Shiu函数,得到了当索赔到达Erlang(2)过程时Gerber-Shiu函数满足的微积分方程,并进行求解.进而研究了延迟更新有界风险模型中,对首次索赔时刻的分布加入一个新的参数时Gerber-Shiu函数的变化,并得到了一个数学上易处理的Gerber-Shiu函数的公式. 相似文献
2.
Hsiaw-Chan Yeh 《统计学通讯:理论与方法》2013,42(4):692-715
Two multivariate stationary processes with general multivariate Weibull marginals are developed and studied. The joint distribution of the two adjacent events in the processes and the distributions of the finite sample minima as well as the geometric minima are derived. The characterization properties of these two processes are also proved. 相似文献
3.
本文提出了一类同时包含确定性,差分平稳以及平稳长相关趋势的描述交易价格持续期新模型---SEMIFAR-ACD模型。研究了模型的估计方法和各估计量的渐近性质,构建了相应的估计算法,并应用实际数据,将SEMIFAR-ACD模型与普通ACD模型模拟效果进行比较,论证了SEMIFAR-ACD模型更好的描述数据的性能。 相似文献
4.
Prajneshu 《Australian & New Zealand Journal of Statistics》1983,25(1):130-135
The stochastic version of the logistic model for population growth is generalized to take account of continuously distributed time delay with an exponentially decaying kernel. The theory of diffusion processes is used to analyse the probability density function of the population size. The explicit expression for the stationary distribution is worked out and the effect of time delay on various statistics is discussed. 相似文献
5.
Claudio Macci 《统计学通讯:理论与方法》2013,42(19):3077-3089
We prove the large deviation principle for empirical estimators of stationary distributions of semi-Markov processes with finite state space, irreducible embedded Markov chain, and finite mean sojourn time in each state. We consider on/off Gamma sojourn processes as an illustrative example, and, in particular, continuous time Markov chains with two states. In the second case, we compare the rate function in this article with the known rate function concerning another family of empirical estimators of the stationary distribution. 相似文献
6.
The problem of classifying a covariance stationary normal time series is considered. Under certain regularity conditions, a compact form of the linear discriminant function in the sense of maximizing the Bhattacharyya distance is obtained. 相似文献
7.
Silvia Lopes 《统计学通讯:理论与方法》2013,42(10):2955-2967
8.
A convergence result for kernel type density estimators, proved by Devroye and Gyrofi (1985), is extended to stationary Markov processess satisfying (G 2-condition introduced by Rosenblatt (1970). 相似文献
9.
本文通过理论分析和蒙特卡洛仿真模拟,研究平稳性检验中选用的统计量与数据生成过程不一致时,非线性ESTAR、LSTAR与线性DF检验法能否得出正确的结论.研究表明,二阶LSTAR与ESTAR模型可用相同的检验方法,但前者的非线性特征更强.当数据生成过程为线性AR,或非线性ESTAR、二阶LSTAR模型时,使用DF或ESTAR检验法可得出大致正确的结论,但LSTAR检验法完全失败.数据生成过程的非线性特征越强,ESTAR较DF检验方法的功效增益越高;线性特征越强,DF的功效增益越高.当转移函数F(θ,c,zt)中θ较大导致一阶泰勒近似误差较大或c非0时,标准ESTAR与LSTAR非线性检验法失去应用条件.θ较大或c偏离0较远时,数据生成过程中线性成分增强,用线性DF检验可获得更好的检验结果. 相似文献
10.
Abstract The multivariate elliptically contoured distributions provide a viable framework for modeling time-series data. It includes the multivariate normal, power exponential, t, and Cauchy distributions as special cases. For multivariate elliptically contoured autoregressive models, we derive the exact likelihood equations for the model parameters. They are closely related to the Yule-Walker equations and involve simple function of the data. The maximum likelihood estimators are obtained by alternately solving two linear systems and illustrated using the simulation data. 相似文献