Some applications of free Fisher information on frame theory

We introduce the notion of operator-valued free Fisher information with respect to a positive map of a random variable in an operator-valued noncommutative probability space and point out its close relations to the modular frames arising from conditional expectations. Then we can apply this notion on the study of frame theory, especially on the disjointness problem of modular frames arising from conditional expectations.     

带有Radon-Nikodym导数的算子值自由Fisher信息量

本文研究了带有Radon-Nikodym导数的算子值自由Fisher信息量.利用模框架理论,得到了一个半圆元和一个子代数之间的合并自由关系,推广了D.Voiculescu等人的工作.     

OPERATOR-VALUED FREE FISHER INFORMATION OF RANDOM MATRICES

The free Fisher information of an operator random matrix is studied. When the covariance of a random matrix is a conditional expectation, the free Fisher information of such a matrix is the double of this conditional expectation’s Watatani index.     

自由Fisher信息量与合并自由

在算子值非交换概率空间中引入算子值自由Fisher信息量的概念,这一定义是对D.Voiculescu在有迹的von Neumann代数上定义的自由Fisher信息量的推广．证明了算子值自由Fisher信息量与合并自由性是密切相关的,即证明了若干个算子值随机变量的自由Fisher信息量的可加性等价于这些随机变量的合并自由性．并且也类似地得到了Cramer-Rao不等式．     

算子值条件自由随机变量

本文把R．Speicher的条件自由的概念推广到算子值非交换概率空间中,并利用累积函数给出一个等价定义,进而很容易地得到满足条件自由的随机变量的Voiculescu加法卷积公式．     

附加信息下的局部线性估计

在回归模型中，对一类因变量函数的条件期望方程的附加信息，我们提出了基于极大经验似然方法的局部线性点估计，在一定条件下证明了这些估计的相合性和渐近正态性，而且估计的方差小于通常不带附加信息核估计的方差．模拟结果也显示了估计的优良性．     

条件期望的两种定义及其等价性探讨

讨论随机变最在给定子σ代数下条件期望的定义,利用投影定理这一数学工具给出条件期望的几何定义,并通过对它与现今各种概率论基础或随机过程教材中常见的公理化定义相互等价性的证明,揭示了条件期望这一概念的内涵.     

Local Asymptotic Normality Property for Ornstein–Uhlenbeck Processes with Jumps Under Discrete Sampling

We address the issue of the local asymptotic normality property and the Fisher information for three characterizing parameters of Ornstein–Uhlenbeck processes with jumps under low frequency and high frequency discrete sampling with expanding observation window. The martingale method with the Kolmogorov backward equation and the Malliavin calculus are employed to derive explicit formulas for derivatives of the likelihood ratio function in the form of conditional expectation, which serve as essential tools for justifying the passage to the limit by the dominated convergence theorem. This approach makes it possible to carry out the proof without specifying the law of the jump component and without knowing the tail behaviors of the transition probability density and, as a consequence, to keep various types of jump structure within the scope of this article. The Fisher information under high-frequency sampling is essentially identical to the one for purely Gaussian Ornstein–Uhlenbeck processes due to the dominance of the Gaussian component over the jump component in the short time framework.     

Characterization of set‐valued conditional expectation

For an essentially bounded closed‐convex‐nonempty set‐valued random variable, it is shown that the conditional expectation is characterized by its integrals over the sets of the associated σ ‐field. (© 2006 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

Multivariate tail conditional expectation for elliptical distributions

In this paper we introduce a novel type of a multivariate tail conditional expectation (MTCE) risk measure and explore its properties. We derive an explicit closed-form expression for this risk measure for the elliptical family of distributions taking into account its variance–covariance dependency structure. As a special case we consider the normal, Student-t and Laplace distributions, important and popular in actuarial science and finance. The motivation behind taking the multivariate TCE for the elliptical family comes from the fact that unlike the traditional tail conditional expectation, the MTCE measure takes into account the covariation between dependent risks, which is the case when we are dealing with real data of losses. We illustrate our results using numerical examples in the case of normal and Student-t distributions.     

基于空间滞后随机前沿模型技术效率的估计

为了刻画潜在的空间效应,本文提出了一类空间滞后随机前沿模型.在单边误差项分别服从半正态分布、指数分布及截尾正态分布的情况下,我们给出了模型的对数似然函数及迭代步骤.此外,应用JMLS方法给出了单边误差项的条件均值与条件众数,因而得到了相应的技术效率估计.     

An Andô-Douglas type theorem in Riesz spaces with a conditional expectation

In this paper we formulate and prove analogues of the Hahn-Jordan decomposition and an Andô-Douglas-Radon-Nikodým theorem in Dedekind complete Riesz spaces with a weak order unit, in the presence of a Riesz space conditional expectation operator. As a consequence we can characterize those subspaces of the Riesz space which are ranges of conditional expectation operators commuting with the given conditional expectation operators and which have a larger range space. This provides the first step towards a formulation of Markov processes on Riesz spaces.     

下模(上模)不可加测度的条件期望(英文)

本文研究了下模(上模)不可加测度的条件期望.利用下模不可加测度μ的Choquet积分的最大可加表示定理定义了下模(上模)不可加测度的条件期望, 并且证明了这种条件期望的相关性质.     

条件期望作为初等算子在冯-代数上的描述

定义并研究了冯-代数.条件期望基于冯-代数的描述,即作为初等算子的良好性质,会较之一般代数简洁许多.这是因为冯-代数包含一些特殊的子代数.给出了此类代数上置信的初等条件期望的描述及其最小存在的充要条件.并且定义了指标冯-有限条件期望.作为以上结果的推论,得出了条件期望指标有限的充分必要条件和一个重要不等式.     

Conditional expectation and the Bergman projection

For any σ-algebra of measurable subsets of the unit disk generated by a finite Blaschke product, we prove that the associated conditional expectation operator commutes with the Bergman projection operator if and only if the σ-algebra is generated by a monomial. In the process, a formula for the conditional expectation operator (under certain assumptions) is obtained. When compared with earlier results of A.B. Aleksandrov concerning conditional expectation associated with σ-algebras of measurable subsets of the circle, our results exhibit a stark contrast between the way conditional expectation operators act in the Bergman and Hardy space settings.     

删失数据下的半参数变系数部分线性回归模型

为了分析删失数据,该文考虑变系数部分线性模型,此模型允许协变量对响应变量存在非线性影响.响应变量与协变量之间关系的统计模型通过线性结构来拟合是非常重要而且有益.对于删失数据,常用的统计方法不能直接应用于此模型.该文首先提出一类数据变换用以建立无偏条件期望.然后利用profile最小二乘方法,给出了模型中参数分量和非参数分量的profile最小二乘估计,并建立了这些估计的渐近正态性.最后通过数值例子来说明该文所提出的方法的有效性.     

Convex integral functionals

We study nonlinear integral functionals determined by normal convex integrands. First we obtain expressions for their convex conjugate, their -subdifferential and their -directional derivative. Then we derive a necessary and sufficient condition for the existence of an approximate solution for the continuous infimal convolution. We also obtain general conditions which guarantee the interchangeability of the conditional expectation and subdifferential operators. Finally we examine the conditional expectation of random sets.

     

一个投资问题的信息结构

本文研究一个投资问题中的信息价值，其中信息可以是不完美的，信息价值依赖于其结构．信息结构由状态变量与信息变量联合概率(或条件概率)矩阵来描述．我们定义了矩阵的一些偏序，通过这些偏序给出了信息价值的比较关系．由这些结果，我们导出了信息价值的一些基本性质．     

Stability of stratified shear flows

For a steady plane parallel flow of an inviscid, incompressible fluid of variable density under gravity, it is shown that the complex wave velocity for any unstable mode lies in a semiellipse-type region whose major axis coincides with the diameter of Howard's semicircle, while its minor axis depends on the stratification. If kc_i denotes the complex part of wave frequency and J₀ the minimum of the local Richardson number over the flow domain, it is further established that kc_i → 0+ as $\text{J}{}_0\text{→}\text{1}\text{4}\text{?}$. The case of free upper surface and conditional reduction dependent on the curvature of the basic velocity of the unstable region is also studied.     

The modularity of some Q-curves

A Q-curve is an elliptic curve, defined over a number field, that is isogenous to each of its Galois conjugates. Ribet showed that Serre's conjectures imply that such curves should be modular. Let E be an elliptic curve defined over a quadratic field such that E is 3-isogenous to its Galois conjugate. We give an algorithm for proving any such E is modular and give an explicit example involving a quotient of J_o (169). As a by-product, we obtain a pair of 19-isogenous elliptic curves, and relate this to the existence of a rational point of order 19 on J₁ (13).