一类二元对称的Copula函数

本文给出了一类二元对称Copula函数的构造,同时推导了此类Copula函数的一致有序性,对称性以及相关测度等性质.     

基于“藤”结构的高维动态Copula的构建

高维化和动态化是当前Copula理论研究和应用的两个重要方向.采用图形建模工具中"藤"的层叠结构,以二元动态Copula取代原有二元静态Copula作为"藤"的节点,将高维Copula建模中"藤"的方法与动态Copula相结合,构造了"动态藤Copula".实证表明,高维动态藤Copula较相应的高维静态藤Copula对数据的概率模型的似然率更高.     

二元Copula的性质

给出二元Copula为弱Schur凹的充分必要条件.引入弱Schur几何凹的概念,讨论了一类Copula的弱Schur凹及其弱Schur几何凹.综合考虑了左边块对称与右边块对称,回答了王沁提出的几个问题,提出几个进一步讨论的问题.     

具有n次多项式截面的Copula函数

本文构造一类具有n次多项式截面的Copula函数C(x,y),并给出了C(x,y)是Copula函数的两个充分必要条件,同时推导出此类Copula函数的若干性质,包括对称性和相关度量等.     

基于时变Copula模型的 基金收益率相依关系的应用研究

基于时变Copula模型,获得预测方差,确定单个基金收益率序列的边缘分布.利用常见的静态Copula和时变Copula模型对基金收益率序列间两两相依关系进行建模并进行对比分析.应用研究表明,基于MCMC方法的时变Copula模型能更有效地度量基金收益率序列的风险.     

FGM Copula的另一种拓展

研究形如C(u,v)=uv+ψ(v)u(1-u),ψ(v)为v的非多项式函数的三类广义FGM Copula,计算它们的线性相关系数r,和谐性度量Kendall'sτ和Spearman'sρ.结果显示其中的两类广义FGM Copula与FGM Copula的性质接近,但是其τ与ρ的取值范围在某种程度上比FGM Copula的大,所以应用范围更广,适应性更强.另一类的线性相关系数r为0,但是τ和ρ均不为零,说明和谐性度量能够描述变量间非线性的相关关系.     

几种Copula函数在沪深股市相关性建模中的应用

研究了Copula函数对沪深股市的相关性建模问题.许多学者用Gaussian Copula建模,但是它无法捕捉到尾部变化,尾部相关系数不存在.用t-Copula度量中国股市的相关性,捕捉到了尾部变化,并计算出了尾部相关系数,克服了Gaussian Copula对相关性建模的不足,并通过AIC准则比较得到t-Copula优于Gaussian Copula.最后对3种Archimedean Copula进行比较,通过比较它们与经验分布函数的距离,说明Gumble Copula更加适用于中国的金融市场.     

具有对称性的Copula

首次引入左边块对称和右边块对称的概念,利用Copula研究了其联合分布函数的特点,并分析了这两种对称特性与其它对称特性的联系．最后,提出几个值得进一步讨论的问题     

半参数阿基米德Copula的实证研究

半参数阿基米德Copula族的生成元可由现有阿基米德Copula生成元得到,由于有独特的构造方式,该Copula族具有灵活的相关结构,能"自适应"地描述数据中包含的相关结构.外汇市场的实证分析证实了该Copula族在描述相关结构时的灵活性,对选择何种Copula描述金融资产间的相关结构有一定的参考意义.     

房地产产业链相依结构演化及其危机传染效应研究

以钢铁、有色金属、家用电器、房地产、建筑材料、建筑装饰、银行、非银金融和机械设备九大申万一级行业指数所代表的房地产产业链为研究对象,通过采用R-Vine Copula方法来刻画房地产产业链上行业间相依结构及其在2008年金融危机冲击下的结构演化特征.研究结果表明:房地产产业链上各行业间普遍存在对称、厚尾的相依结构,行业间相依性水平较高;机械设备业在整个房地产产业链上起到了枢纽中心的连接作用;金融危机的发生增强了房地产产业链的总体相依性水平,危机传染效应显著;与CVine Copula和D-Vine Copula方法相比,R-Vine Copula更适合来刻画我国房地产产业链的相依结构特征.     

Approximation by Bernstein–Durrmeyer-type operators in compact disks

In this paper, the order of simultaneous approximation and Voronovskaja-type theorems with quantitative estimate for complex Bernstein–Durrmeyer-type polynomials attached to analytic functions on compact disks are obtained. Our results show that extension of the complex Bernstein–Durrmeyer-type polynomials from real intervals to compact disks in the complex plane extends approximation properties.     

Bernstein型算子加Jacobi权逼近

对于Bernstein型算子,证明它在通常的加权范数下是无界的,通过引进新的加权范数,研究其加Jacobi权的逼近性质,得到加权逼近的正逆定理,从而导出加权逼近特征的等价刻画．     

Voronovskaya‐type theorems for Urysohn type nonlinear Bernstein operators

The concern of this paper is to continue the investigation of convergence properties of nonlinear approximation operators, which are defined by Karsli. In details, the paper centers around Urysohn‐type nonlinear counterpart of the Bernstein operators. As a continuation of the study of Karsli, the present paper is devoted to obtain Voronovskaya‐type theorems for the Urysohn‐type nonlinear Bernstein operators.     

Certain positive linear operators with better approximation properties

The present paper deals with a new positive linear operator which gives a connection between the Bernstein operators and their genuine Bernstein‐Durrmeyer variants. These new operators depend on a certain function τ defined on [0,1] and improve the classical results in some particular cases. Some approximation properties of the new operators in terms of first and second modulus of continuity and the Ditzian‐Totik modulus of smoothness are studied. Quantitative Voronovskaja–type theorems and Grüss‐Voronovskaja–type theorems constitute a great deal of interest of the present work. Some numerical results that compare the rate of convergence of these operators with the classical ones and illustrate the relevance of the theoretical results are given.     

Bernstein 算子的同时逼近

借助于D itzian-T otik光滑模研究了Bernstein算子的同时逼近问题,给出了Bernstein算子同时逼近的正定理和等价定理.     

Bernstein型算子同时逼近误差

该文证明了C[0,1]空间中的函数及其导数可以用Bernstein算子的线性组合同时逼近,得到逼近的正定理与逆定理.同时,也证明了Bernstein算子导数与函数光滑性之间的一个等价关系.该文所获结果沟通了Bernstein算子同时逼近的整体结果与经典的点态结果之间的关系.     

关于Bernstein算子的收敛速度

本文对一类函数建立了Bernstein算子的一致逼近定理,而且给出了其逆定理的一个简短证明。     

Approximation of functions by a new construction of Bernstein‐Chlodowsky operators: Theory and applications

The main motivation of this paper is to provide a generalization of Bernstein‐Chlodowsky type operators which depend on function τ by means of two sequences of functions. The newly defined operators fix the test function set {1, τ, τ²} . Then we present the approximation properties of newly defined operators, such as weighted approximation, degree of approximation and Voronovskaya type theorems. Finally, we present a series of numerical examples demonstrating the effectiveness of this newly defined Bernstein‐Chlodowsky operators for computing function approximation.     

General Voronovskaya and Asymptotic Theorems in Simultaneous Approximation

In the present note we prove general asymptotic and Voronovskaya theorems for simultaneous approximation. These generalize the Voronovskaya type theorems obtained recently by Floater for the Bernstein operators, and previously by Heilmann and Müller for the Durrmeyer operators.     

Some Aspects of the global Geometry of Entire Space-Like Submanifolds

We prove some Bernstein type theorems for entire space-like subma-nifolds in pseudo-Euclidean space and as a corollary, we give a new proof of the Calabi-Pogorelov theorem for Monge-Ampère equations.