成比例附加故障混合模型

Frailty模型和可加故障模型在研究各种风险因素与疾病发生原因的关系中提供了两种重要的方法.在不知哪个模型更适合数据时,涵盖这两个模型的成比例附加故障模型提供了一个备选模型.Frailty基本上是观察不到的,需要考虑对应的混合模型.本文研究了成比例附加故障混合模型的年龄性质、相依性质.并对该模型中的那些随机变量进行了随机比较.     

多图模型的联合估计的群桥方法

高斯图模型研究独立随机变量之间的关系.主要针对该模型,提出了一种分层惩罚连接单个图模型估计的多图模型.研究了新模型的高维统计性质,给出模型的参数估计,并得到了相合性及稀疏性两大理论.     

基于连续可分的广义非线性纵向数据模型偏离名义离差的score检验及其功效

指数族非线性模型或广义非线性模型是广义线性模型和正态回归模型的自然推广.本文针对可分的连续型指数族回归模型(如正态模型,Γ模型,逆高斯模型),讨论广义非线性纵向数据模型中偏离名义离差的检验问题,得到了检验的score统计量,并推导了它们的渐近分布和局部近似功效.然后利用Monte Carlo方法研究了检验统计量的性质.最后利用百慕大草地数据说明了检验方法的应用.     

冲击模型:进展与应用

综述了近30年来冲击模型研究的主要进展.介绍了一个新模型(δ-冲击模型)及其最新工作.基于簇生标值点过程的结构,给出了冲击模型的一个一般性框架,最后作为特例提出并分析了一个新的保险风险模型.     

一类有被动免疫的流行病模型研究

对一类具有被动免疫的流行病模型进行了定性分析和讨论.得到了这些模型的基本再生数R0,对有些模型得到了地方病平衡点的全局稳定性.并且在MSIR模型中还考虑了接种.     

修正的整数DEA模型及其在中西部高校社科研究中的应用

传统的DEA模型有时并不能给出含有整数值决策单元的准确投影方向,而现有的整数DEA模型还存在投影值不准确以及模型过于复杂等不足.因此,首先指出并说明已有整数DEA模型存在的问题.其次,给出了一个修正的整数DEA模型,并讨论了模型的性质以及与已有模型的关系.考虑到现实评价中投入产出指标同时含有整数与非整数的情况,进而给出了在修正模型下的混合整数DEA模型.最后,应用提出的模型分析并比较了中国中西部102所高校的社科研究效率及优化问题.     

图像恢复问题中减少梯子现象的一种新模型

自从Rudin,Osher和Fatemi提出图像处理的经典模型--- ROF模型, 总变差模型成为图像处理中一个普遍有效的工具. 总变差模型具有保留边界轮廓的优点, 但同时也导致了光滑边界的不连续性, 即梯子现象. 该文在ROF模型的基础上, 针对梯子现象, 提出一种新的图像去噪模型, 并且利用一种新的对偶方法对问题进行求解. 数值实验证明, 新的模型保留了ROF模型的优点, 同时明显地减少了梯子现象.     

分层广义线性模型在准备金评估中的建模研究

考虑到赔付流量三角形数据同一事故年反复观测的纵向特征以及数据结构的层次性,建立了分层广义线性模型.与通常的随机模型相比,分层广义线性模型不但可以选择条件反应变量的分布而且风险参数分布范围也更加广泛.利用h-似然函数估计分层广义线性模型的模型参数,降低了计算量.为使模型具有可比性,评估模型的预测精度,推导了模型预测误差的估计式.为充分利用已知赔付信息,将赔付额和赔付次数两种赔付信息纳入未决赔款准备金评估模型,建立了两阶段分层广义线性模型.在线性预测量中考虑了各种固定效应和随机效应以及模型结构的散布参数,改进了线性预估量结构.研究表明:分层广义线性模型对于数据的各种分布及形式都具有很好的适应性,更加符合保险实务现实的赔付规律.     

路面平整度的时间序列模型

介绍非标准道路的路面平整度的时间序列模型,研究道路实测数据的时间序列模型.通过对实际路段的数据采集,进行道路平整度实例分析和道路平整模型的平稳性检验、模型的识别和估计,确定了模型参数,检验模型的适用性.实例表明了模型的置性度和合理性.     

Markov相依风险模型的等价定理及概率结构

严格定义了Markov相依风险模型.证明了该模型的一个等价定理,使得Markov相依风险模型中的诸过程之间的关系更清晰.获得了Markov相依风险模型的概率结构,构造性地证明了该模型的存在定理.     

内生性协变量下广义变系数模型的工具变量估计

在模型的部分协变量为内生性协变量的情况下,考虑广义变系数模型的一类估计问题.通过结合基函数逼近和一些辅助变量信息,提出了一个基于工具变量的估计过程.并得到了估计的相合性和收敛速度等渐近性质.所提出的估计方法可以有效地消除协变量的内生性对估计精度的影响,并且具有较好的有限样本性质.     

An inventory model with generalized type demand,deterioration and backorder rates

This study is motivated by the paper of Skouri et al. [Skouri, Konstantaras, Papachristos, Ganas, European Journal of Operational Research 192 (1) (2009) 79–92]. We extend their inventory model from ramp type demand rate and Weibull deterioration rate to arbitrary demand rate and arbitrary deterioration rate in the consideration of partial backorder. We demonstrate that the optimal solution is actually independent of demand. That is, for a finite time horizon, any attempt at tackling targeted inventory models under ramp type or any other types of the demand becomes redundant. Our analytical approach dramatically simplifies the solution procedure.     

Gamma shared frailty model based on reversed hazard rate for bivariate survival data

The unknown or unobservable risk factors in the survival analysis cause heterogeneity between the individuals. Frailty models are used in the survival analysis to account for the unobserved heterogeneity in the individual risks to disease and death. In this paper, we suggest the shared gamma frailty model with the reversed hazard rate. We introduce the Bayesian estimation procedure using MCMC technique to estimate the parameters involved in the model and compare the frailty model with the baseline model. We apply the proposed models to Australian twin data set and suggest a better model.     

An inventory model for ameliorating/deteriorating items with trapezoidal demand and complete backlogging under inflation and time discounting

Recently, numerous inventory models were developed for ameliorating items (say, fish, ducklings, chicken, etc.) considering the constant demand rate. However, such types of problems are not useful in the real market. The demand rate of ameliorating items is fluctuates in their life‐period. The consumption and demand of ameliorating items are not generally steady. In a few seasons, the demand rate increases; ordinarily, it is static, and sometimes, it declines. With the outcome that their demand rate can be properly portrayed by a trapezoidal‐type. In the proposed model, an inventory model for ameliorating/deteriorating items are considered with inflationary condition and time discounting rate. Additionally, having shortages that is completely backlogged. The demand rate is taken as the continuous trapezoidal‐type function of time. The amelioration and deterioration rate are considered as Weibull distribution. To obtain the minimum cost, mathematical formulation of the proposed model with solution procedure is talked about. Numerical cases are given to be checked the optimal solution. Additionally, we have talked about the convexity of the proposed model through graphically. Conclusion with future worked are clarified appropriately. Copyright © 2016 John Wiley & Sons, Ltd.     

Comparison of the performance of a time‐dependent short‐interest rate model with time‐independent models

The coefficients in the stochastic differential equation that the short interest rate follows are of vital importance in the subsequent modelling of bond prices and other interest rate products. Empirical tests have previously been performed by various authors who compare a variety of popular short‐rate models. Most recently, Ahn and Gao compared their model with affine‐drift models and showed that their model with a non‐linear drift function outperforms the others. This paper compares the model developed by Goard, which is a time‐dependent generalization of the Ahn–Gao model, with the Ahn–Gao model itself. It is found that the time‐dependent model using a second‐order Fourier series in time, outperforms the Ahn–Gao model for all data sets considered.     

Modeling of spraying with time-dependent material feed rate

This paper presents a mathematical model for predicting the thickness of coatings deposited by means of spraying onto rotating parts with circular symmetry, for the case of time-dependent material feed rate. A procedure for calculating the material feed rate control law providing production of coatings with uniform thickness or coatings with a predefined law of thickness variation is developed. The proposed procedure was used to analyze the process of spraying onto the surface of a rotating disc. A material feed rate variation law providing production of uniform coatings and coatings with linear thickness variation is calculated. It is demonstrated that for the first case the optimal law of material feed rate variation is described by a linear function and for the second case it can be successfully approximated by a quadratic function. The proposed calculation technique can be easily used for the case of coatings with a more complex law of thickness variation.     

On some conditional characteristics of hazard rate processes induced by external shocks

Stochastic failure models for systems under randomly variable environment (dynamic environment) are often described using hazard rate process. In this paper, we consider hazard rate processes induced by external shocks affecting a system that follow the nonhomogeneous Poisson process. The sample paths of these processes monotonically increase. However, the failure rate of a system can have completely different shapes and follow, e.g., the upside-down bathtub pattern. We describe and study various ‘conditional properties’ of the models that help to analyze and interpret the shape of the failure rate and other relevant characteristics.     

比较和分析不同计算法中的人民币有效汇率

本文在用商品贸易权重计算有效汇率的基础上，探讨了用资本移动权重和债务权重计算有效汇率的新模型，并调查和实证分析了由这些模型决定的人民币有效汇率时序列运动以及它们与宏观经济变量之间的长期关系，以解决外汇管理中人民币升值压力上升问题。我们得出：在我国，基于贸易权重的实际有效汇率与基于债务权重的人民币实际有效汇率有较高的相关性，但基于贸易权重的与基于资本移动权重的没有相关性的结论。因此，我们认为在人民币升值压力较大时，货币当局可以用调整我国对外债务结构来替代词整对外贸易差额。     

考虑时值及通货膨胀率的多阶段变质性物品最优库存模型

本文考虑了时值及通货膨胀率下，部分短缺量拖后的变质性物品最优订购问题。在假定变质率为常数和短缺期间损失率与实际缺货量成正比的前提下，给出了寻找最优订购策略的算法，并且证明了在该策略下费用函数取得最小值。最后给出数字实例以说明本模型及求解过程。     

On an inverse problem in mixture failure rates modelling

Mixtures of decreasing failure rate (DFR) distributions are always DFR. It turns out that very often mixtures of increasing failure rate distributions can decrease or show even more complicated patterns of dependence on time. For studying this and other relevant effects two simple models of mixing with additive and multiplicative failure rates are considered. It is shown that for these models an inverse problem can be solved, which means that given an arbitrary shape of the mixture failure rate and a mixing distribution, the failure rate for a governing distribution can be uniquely obtained. Some examples are considered where this operation can be performed explicitly. Possible generalizations are discussed. Copyright © 2001 John Wiley & Sons, Ltd.