股价波动的指数O-U过程模型

本文针对股价波动的几何布朗运动模型对收益率假设的缺陷,对该模型进行了改进,并建立了股价波动的指数OkU过程模型,得到了比传统模型更好的结果.     

关于6 Sigma与3 Sigma的比较

在企业推广6σ的过程中,经常有学员不明白为什么6σ比3σ好,甚至有人会说6σ的规格限比3σ的规格限宽,当然6σ的合格率比3σ的合格率高。本文认为文献[1]、[2]关于6σ与3σ的比较图是引起这种误会的根源。为此本文给出另外的比较和解释。     

自相关过程的改进型EWMA控制图

常规指数加权移动平均(EWMA)控制图的假设前提是观测数据相互独立,但在实际生产过程中,数据相关违背假设条件。本文首先讨论了序列自相关对常规EWMA控制图的影响,结果表明其检测效能降低。因此,重新估计了平稳过程的σz并在此基础上建立了改进型EWMA控制图。然后运用平均链长比较了改进型EWMA控制图与休哈特图和残差控制图,模拟研究说明当过程非强相关且过程均值发生中小偏移条件下。改进型EWMA控制图的检测效果要优于其他两种控制图。最后,通过一个实例验证了该方法的有效性。     

统计学入门(Ⅸ)

十八、对正态总体均值和方差的检验 在这一节中我们将具体列出关于一个正态总体的均值μ或方差σ2的假设检验.根据上节的讨论,这些检验与μ或σ2的置信区间的构造有关.因此我们不准备详细地给出这些检验的推导过程,仅将结果以表格形式列出,并给出若干说明性的例子.18-1关于均值u的假设检验 需要检验的假设H0:μ=μ0(双侧检验);μ≥μ0或μ≤μ0(单侧检验),其中μ0是已知的常数.检验统计量当σ已知时用当σ未知时用 例18-1炼钢厂为测定温铁炉铁水温度,用测温枪(主要装置为一种热电偶)测温6次,记录如下(单位℃): 1318, 1315, 1308, 1316, 131…     

现代质量管理与6σ流程控制

本文以作者在GE和MOTOROLA服务的体会简要介绍近年来6σ质量管理在全球的应用发展情况。随后对Kσ原则下的过程能力指数及不合格品率作了计算和比较,并对有漂移情况下6σ流程控制作了讨论和评价。     

连续支付红利及有交易成本的领子期权定价模型

在无风险利率r(t)和波动率σ(t)均为时间t的函数及市场无套利假设下,分别考虑了连续红利率q(t)和有交易成本情况下的领子期权定价,通过建立相应定价模型,得到了领子期权不同的定价公式.     

关于容度的Fubini定理

Fubini定理是经典概率论和测度论中的一个基本概念,它在多元统计和随机过程中具有重要应用。近年来,在乘积代数和乘积σ-代数上关于容度的Fubini定理已分别被讨论,然而它们还只局限于对切面-共单调函数的特殊情形。本文主要基于一类更广义的既μ1-Choquet可积又μ2-Choquet可积函数研究关于凹(凸)容度的Fubini定理,进而推广了乘积σ-代数上关于容度的Fubini定理。     

扭平凡扩张与表示维数

设k是代数闭域,∧是k上基本有限维连通Koszul自入射代数.本文首先证明:如果∧满足有限生成(FG)假设,那么存在∧的k-代数自同构σ0使得关于∧-双模D∧~(σ0)的扭平凡扩张T(∧~(σ0))=∧×D∧~(σ0)亦满足FG假设.由此得到,在∧满足FG假设的条件下,(1)T(A~(σ0))的表示维数大于等于∧的复杂度加2;(2)设G是∧的k-代数自同构群Aut_k(∧)的有限子群,且其阶在∧中可逆.如果对于任意的g∈G都有σ0g=gσ0,那么斜群代数∧*G的扭平凡扩张代数T((∧*G)~(σ0))的表示维数大于等于∧的复杂度加2.     

扭平凡扩张与表示维数北大核心CSCD

设k是代数闭域,∧是k上基本有限维连通Koszul自入射代数.本文首先证明:如果∧满足有限生成(FG)假设,那么存在∧的k-代数自同构σ0使得关于∧-双模D∧^(σ0)的扭平凡扩张T(∧^(σ0))=∧×D∧^(σ0)亦满足FG假设.由此得到,在∧满足FG假设的条件下,(1)T(A^(σ0))的表示维数大于等于∧的复杂度加2;(2)设G是∧的k-代数自同构群Aut_k(∧)的有限子群,且其阶在∧中可逆.如果对于任意的g∈G都有σ0g=gσ0,那么斜群代数∧*G的扭平凡扩张代数T((∧*G)^(σ0))的表示维数大于等于∧的复杂度加2.     

计量累积和控制图方案设计的选择

常规控制图已广泛应用于生产,国家标准<计数型累积和图>GB4887-85的实施,使得判断生产“过程”异常具有更高的灵敏度,能更经济地保证产品质量,它是常规控制图的改进与发展.在常规控制图中,为了使控制图能对小偏差有较快的反映,一般用缩小控制界线,如将3σ限改为2σ限,但会导致第一类误判率大大升高.而累积和方法可以通过对方案参数的适当选择使控制图在第一类误判率并不明显升高的情况下对小偏差反映敏感.此外,累积和方法还允许针对各种需要设计出特别适于发现某个偏差,例如1.5σ_e 的     

中国制造业实施六西格玛管理的成功关键要素分析

自摩托罗拉公司于1987年提出六西格玛概念以来,六西格码管理已逐渐成为质量改进的主流方法之一。尽管不少学者和咨询专家对实施六西格玛管理的成功关键要素进行了探讨,但都是基于理论分析或定性描述。本文在综述国内外相关研究文献的基础上,提出了实施六西格玛管理的成功要素概念模型,并通过调查问卷和利用结构方程模型,对中国制造业实施六西格玛管理的关键成功要素进行了实证分析。研究结果表明:领导层的高度关注,建立并实施合适的六西格玛战略,以顾客和市场为关注焦点,并通过有效的成果测量、评价和奖励方法,选择、管理和实施六西格玛项目是实施六西格玛管理的关键成功要素;同时,本文也分析了这些要素之间的因果关系。     

关于6Sigma管理中的1.5Sigma系统偏移

1 5sigma系统偏移是6Sigma管理中一个很重要的概念和度量值,这个值的解释和确定始终存在着很多的疑问和争议。本文从过程能力和控制图等概念入手,介绍了1.5Sigma系统偏移的由来和相关的理论基础,以及在网上的争议,并阐述了一些看法和对它进行研究的意义。     

Integrating DEA into Six Sigma methodology for measuring health service efficiency

As a linear programming technique that is used to assess performance efficiency among organizational units, data envelopment analysis (DEA) has the practical value for planners to identify the most efficient units and thus project a best possible course of actions. This is also the fundamental goal of Six Sigma methodology for process improvement. Therefore, it is natural to integrate the DEA method into the framework of Six Sigma to enhance both the usefulness of Six Sigma and the effectiveness of DEA for assessing and improving health service efficiency. In this paper, the implementation of DEA is well incorporated into the Define, Measure, Analyze, Improve and Control process. The procedure can be well fitted into the Blackbelts training curriculum, which can also serve as a roadmap for Six Sigma practitioners to implement the DEA-enhanced projects. To illustrate how to integrate DEA into the Six Sigma framework, we present a Six Sigma project implemented to measure physician productivity in a clinical department.     

A Bayesian approach for multiple criteria decision making with applications in Design for Six Sigma

Linking end-customer preferences with variables controlled at a manufacturing plant is a main idea behind popular Design for Six Sigma management techniques. Multiple criteria decision making (MCDM) approaches can be used for such purposes, but in these techniques the decision-maker's (DM) utility function, if modelled explicitly, is considered known with certainty once assessed. Here, a new algorithm is proposed to solve a MCDM problem with applications to Design for Six Sigma based on a Bayesian methodology. At a first stage, it is assumed that there are process responses that are functions of certain controllable factors or regressors. This relation is modelled based on experimental data. At a second stage, the utility function of one or more DMs or customers is described in a statistical model as a function of the process responses, based on surveys. This step considers the uncertainty in the utility function(s) explicitly. The methodology presented then maximizes the probability that the DM's or customer's utility is greater than some given lower bound with respect to the controllable factors of the first stage. Both stages are modelled with Bayesian regression techniques. The advantages of using the Bayesian approach as opposed to traditional methods are highlighted.     

六西格玛管理及其实施

本文探讨了六西格玛管理的本质、六西格玛管理的发展、六西格玛与精益生产的整合,从企业系统实施六西格玛管理的角度分析了高层领导在六西格玛推进中的作用,给出了六西格玛管理的实施流程及其在实施中应注意的关键问题,以期对我国企业实施六西格玛管理模式提供参考。     

The Polynomials Associated with a Julia Set

We prove that, with two exceptions, the set of polynomials withJulia set J has the form {pⁿ:nN,} where p is one of these polynomialsand is the symmetry group of J. The exceptions occur when Jis a circle or a straight line segment.     

DMAIC流程在自动焊接质量改进中的应用

本文按照六西格玛DMIAC流程对A企业自动焊接质量进行改进.按照DMAIC流程对问题进行定义,明确改进目标。然后测定导致自动焊质量问题的可能原因,并对相关测量系统的能力进行评定和改进.在此基础上进一步分析导致质量问题的根本原因,并设计了一个2~((-2))试验方案,找出影响焊接缺陷的显著因素并进行优化,使得自动焊过程的缺陷水平降为DPHU低于0.05,超过了预期目标,成本节省显著。最后,为了保持改进成果,对过程建立了适当的在控制方法.     

六西格玛经济效益的计量模型

以田口玄一的质量损失函数作为研究的基础,利用六西格玛管理中最常用的西格玛水平,推导出衡量六西格玛经济效益的额外成本计量模型,以便推行六西格玛管理的公司或机构便于衡量六西格玛管理法的经济效益。     

Thermodynamic Inequalities in Continuum Mechanics

The constitutive relations for the transport of heat, stress,electric charge, etc., in a continuum must be chosen so thatthe second law of thermodynamics is not violated; the constraintstake the form of inequalities, typically requiring the entropygenerated within a material element to be non-negative. Thepaper is concerned with this concept—its history, thephysical principles on which it depends, how to apply it whensecond-order or non-linear effects are important and how itis widely misused in modern continuum mechanics. The history is reduced to the contributions of five leadingthermodynamicists—Clausius, Maxwell, Gibbs, Boltzmannand Duhem. The object here was to try to discover which formof the inequality one should regard as being fundamental. Oneimportant conclusion is that entropy S must be defined simultaneouslywith the identification of the inequality, and that in generalthis cannot be done until the constitutive equations are known.The empirical element enters with the notion of irreversibility,which is given a precise meaning with the aid of the motionreversed parity (x), a variable x having = +1 or = –1if, when time and motions are reversed, x x or x –x.The macroscopic parity of x, _*(x), is obtained by first replacingx by the constitutive equation for x. The entropy production rate has both irreversible (f) and reversible(r) parts. It is shown that the reciprocal relations followfrom the requirement that the macroscopic parity of (i) mustbe +1. Continuum thermodynamics is based on various principles extractedfrom theory developed for uniform systems, the example chosento illustrate the ideas being the simple monatomic gas. Second-orderconstitutive relations are introduced, and the expressions forentropy and its production rate per unit volume, , obtained.It is shown that the stability condition 0 cannot, in general,be satisfied merely by imposing constraints on the constitutiverelations. To second-order = ₁ + ₂, where ₁ is the usual bilinearform, and the terms in ₂ have an additional derivative. Thesecond-order term ₂ can have both signs, and is not dissipative.The relation between this fact and the frame-dependence of constitutiverelations is explained. The final section illustrates the errors frequently found inthe thermodynamic arguments appearing in books and papers onrational continuum mechanics. The principle of these is that 0 is interpreted as being a constraint on the constitutiverelations alone. Another is the idea that the balance equationscan be set aside as constraints by regarding them as mere definitionsof a heat source and a body force, an error based partly onthe misconception that constitutive relations should be frame-indifferent.Finally, an inequality due to Glansdorff & Prigogine isexamined and found to be in error.