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The IPSP algorithm is an efficient algorithm for computing maximum likelihood estimation of Gaussian graphical models. It first divides clique marginals of graphical models into several groups, and then it adjusts clique marginals in each group locally. This paper uses the IIPS algorithm on junction tree to replace local adjustment on each group in the IPSP algorithm and propose a resulting algorithm called IPSP-JT to reduce the complexity of the IPSP algorithm. Moreover, we give a graph with minimum edges used by IIPS to adjust locally, and we prove its existence and uniqueness and construct a local junction tree. Numerical experiments show that the IPSP-JT algorithm runs faster than the IPSP algorithm for large Gaussian graphical models.     

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Variance related premium principle is one of the most important principles not only in practice applications but also in research field of actuarial science. In this paper, the Bayesian models are established under variance related premium principle. The Bayesian estimate and credibility estimate of risk premium are derived. Furthermore, some statistical properties of estimators are discussed. In the models with multitude contract data, the unbiased consistent estimates of the structure parameters are proposed. Finally, the empirical Bayes estimator are proved to be asymptotically optimal.     

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This paper considers the asymptotics of randomly weighted sums and their maxima, where the increments {X_i,i\geq1\} is a sequence of independent, identically distributed and real-valued random variables and the weights {\theta_i,i\geq1\} form another sequence of non-negative and independent random variables, and the two sequences of random variables follow some dependence structures. When the common distribution F of the increments belongs to dominant variation class, we obtain some weakly asymptotic estimations for the tail probability of randomly weighted sums and their maxima. In particular, when the F belongs to consistent variation class, some asymptotic formulas is presented. Finally, these results are applied to the asymptotic estimation for the ruin probability.     

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本文给出了上期望空间中独立随机变量部分和的最大不等式、指数 不等式、Marcinkiewicz-Zygmund不等式. 并且应用指数不等式和Marcinkiewicz-Zygmund不等式 研究了随机变量部分和序列完备收敛的性质.     

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??In classical credibility theory, the claim amounts of different
insurance policies in a portfolio are assumed to be independent and the premiums are derived
under squared-error loss function. Wen et al. (2012) studied the credibility models with a
dependence structure among the claim amounts of one insurance policy that is called time
changeable effects and obtained the credibility formula. In this paper, we generalized this
dependence structure called time changeable effects to the claim amounts of different
insurance policies in a portfolio. Credibility premiums are obtained for Buhlmann and
Buhlmann-Straub credibility models with dependence structure under balanced loss function.     

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??In this paper, we studied the inverse probability weighted least squares estimation of single-index model with response variable missing at random. Firstly, the B-spline technique is used to approximate the unknown single-index function, and then the objective function is established based on the inverse probability weighted least squares method. By the two-stage Newton iterative algorithm, the estimation of index parameters and the B-spline coefficients can be obtained. Finally, through many simulation examples and a real data application, it can be concluded that the method proposed in this paper performs very well for moderate sample     

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Clustered interval-censored failure time data often arises in medical studies when study subjects come from the same cluster. Furthermore, the failure time may be related to the cluster size. A simple and common approach is to simplify interval-censored data due to the lack of proper inference procedures for direct analysis. For this reason, we proposed the within-cluster resampling-based method to consider the case II interval-censored data under the additive hazards model. With-cluster resampling is simple but computationally intensive. A major advantage of the proposed approach is that the estimator can be easily implemented when the cluster size is informative. Asymptotic properties and some simulation results are provided and indicate that the proposed approach works well.     

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本文在传统Lee-Carter人口死亡率模型的框架下, 引入同出生年人群死亡率之间的相关性效应, 从而对未来死亡率的动态变化进行更加具体的刻画. 同时借鉴Lin和Cox(2005)所提出的长寿债券构造机制, 基于中国的实际人口死亡率数据, 运用多维概率扭转变换对不完全市场下长寿债券的定价结果进行比较分析.     

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本文研究了一种可用于分析非负数据的新的分布族. 它用一个随机表示来定义, 是一个半正态随机变量与一个指数随机变量的幂的混合. 其密度函数和性质, 包括风险函数, 矩和矩母函数被导出. 该分布族的实用性和灵活性通过一个实例用最大似然程序被阐明.     

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In this paper, we introduce the definitions of geometric strongly ergodic, strongly ergodic and weakly ergodic for continuous-state Markov chains, then we give a primary proof of equivalence of the ergodicities for continuous-state Markov chains.     

Applications of the continuous-time ballot theorem to Brownian motion and related processes

Motivated by questions related to a fragmentation process which has been studied by Aldous, Pitman, and Bertoin, we use the continuous-time ballot theorem to establish some results regarding the lengths of the excursions of Brownian motion and related processes. We show that the distribution of the lengths of the excursions below the maximum for Brownian motion conditioned to first hit λ>0 at time t is not affected by conditioning the Brownian motion to stay below a line segment from (0,c) to (t,λ). We extend a result of Bertoin by showing that the length of the first excursion below the maximum for a negative Brownian excursion plus drift is a size-biased pick from all of the excursion lengths, and we describe the law of a negative Brownian excursion plus drift after this first excursion. We then use the same methods to prove similar results for the excursions of more general Markov processes.     

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本文研究毁伤目标离散时间的概率分布和PH表示.在射击时间间隔服从离散PH分布的条件下,本文导出了不考虑发现目标因素和考虑该因素二种情况下,毁伤目标时间的离散PH表示与分布.同时,文章用实例说明了求毁伤目标离散时间的PH表示、概率分布和毁伤目标平均离散时间的方法.     

Non-independence of excursions of the Brownian sheet and of additive Brownian motion

A classical and important property of Brownian motion is that given its zero set, distinct excursions away from zero are independent. In this paper, we examine the analogous question for the Brownian sheet, and also for additive Brownian motion. Our main result is that given the level set of the Brownian sheet at level zero, distinct excursions of the sheet away from zero are not independent. In fact, given the zero set of the Brownian sheet in the entire non-negative quadrant, and the sign of all but a finite number of excursions away from zero, the signs of the remaining excursions are determined. For additive Brownian motion, we prove the following definitive result: given the zero set of additive Brownian motion and the sign of a single excursion, the signs of all other excursions are determined. In an appendix by John B. Walsh, it is shown that given the absolute value of the sheet in the entire quadrant and, in addition, the sign of the sheet at a fixed, non-random time point, then the whole sheet can be recovered.

     

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本文讨论了右半直线上带有原点反射壁的随机环境中随机游动,并给出了其常返性的充要条件.在非常返的情况下,获得了{Xn}从n-1到n首中时τn的二阶矩Eτn2的一个估计.同时,给出了右半直线上随机环境中随机游动的强大数定律.     

On the excursion theory for linear diffusions

We present a number of important identities related to the excursion theory of linear diffusions. In particular, excursions straddling an independent exponential time are studied in detail. Letting the parameter of the exponential time tend to zero it is seen that these results connect to the corresponding results for excursions of stationary diffusions (in stationary state). We characterize also the laws of the diffusion prior and posterior to the last zero before the exponential time. It is proved using Krein’s representations that, e.g. the law of the length of the excursion straddling an exponential time is infinitely divisible. As an illustration of the results we discuss the Ornstein–Uhlenbeck processes.     

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本文证明了copula , 生存copula , 对偶copula 和伴随copula 关于copula的复合运算构成一个四元群, 给出了当某个单点值给定时它们的最优上下界. 计算了, 时copula最优上下界的宽窄度, 并与时的宽窄度进行了比较.     

Iterative solution of a coupled mixed and standard Galerkin discretization method for elliptic problems

In this paper, we consider approximation of a second‐order elliptic problem defined on a domain in two‐dimensional Euclidean space. Partitioning the domain into two subdomains, we consider a technique proposed by Wieners and Wohlmuth [9] for coupling mixed finite element approximation on one subdomain with a standard finite element approximation on the other. In this paper, we study the iterative solution of the resulting linear system of equations. This system is symmetric and indefinite (of saddle‐point type). The stability estimates for the discretization imply that the algebraic system can be preconditioned by a block diagonal operator involving a preconditioner for H (div) (on the mixed side) and one for the discrete Laplacian (on the finite element side). Alternatively, we provide iterative techniques based on domain decomposition. Utilizing subdomain solvers, the composite problem is reduced to a problem defined only on the interface between the two subdomains. We prove that the interface problem is symmetric, positive definite and well conditioned and hence can be effectively solved by a conjugate gradient iteration. Copyright © 2001 John Wiley & Sons, Ltd.     

Convergence of Discrete Snakes

The discrete snake is an arborescent structure built with the help of a conditioned Galton-Watson tree and random i.i.d. increments Y. In this paper, we show that if and , then the discrete snake converges weakly to the Brownian snake (this result was known under the hypothesis ). Moreover, if this condition fails, and the tails of Y are sufficiently regular, we show that the discrete snake converges weakly to an object that we name jumping snake. In both case, the limit of the occupation measure is shown to be the integrated super-Brownian excursion. The proofs rely on the convergence of the codings of discrete snake with the help of two processes, called tours.     

Ranked functionals of Brownian excursions

It was shown, in our previous work, that the law of the sequence of normalized ranked lengths of Brownian excursions considered up to a random time T is the same for a large class of random times T.We present now some results about (unnormalized) ranked heights of Brownian excursions, which although quite different from those obtained for the lengths, have led us to extend the scope of both studies.