基于二维t分布的条件VaR研究

根据多元t分布的定义及性质,推导出二维t分布随机变量差的条件分布仍服从t分布.在假定股票价格对数与收益率服从二维t分布的基础上,利用该性质,可以得到不同股票价格水平条件下,收益率的一维条件t分布,进而计算出价格条件VaR.利用多元t分布研究价格条件的收益率分布问题,与正态分布相比,较好地刻画了证券收益率分布的尖峰厚尾现象.     

t分布的概率密度近似于N(0,1)分布的一种证法

<正> 在概率论与数理统计中,t 分布是一种重要的分布。在一些概率论及数理统计的教材中谈到t 分布的性质时部指出“当”充分大时,t 分布的图形类似于标准正态分布的概率密度函数的图形”.“当n 较大时,t 分布的分布函数的Z 处的值近似等于N(0.1)分布函数的值。”事实上.设t(n)分布的概率密度函数为     

基于向前方程的平稳分布参数估计

该文研究利用随机微分方程的平稳分布满足的微分方程给出平均场随机微分方程的参数估计方法dX(t)=b(μ~N,θ)dt+σ(X(t))dB(t),其θ是待估计的参数.μ~N是N个个体的经验分布.b(μ,θ)关于μ在μ=p处附近(τ-拓扑)连续.其中p是该过程的唯一平稳分布.特别地,该文研究以下模型的参数估计问题dX(t)=(aθ(X(t))+b〈F,μ(t)〉)dt+σ(X(t))dB(t),其中a,b是有待估计的模型的参数.该文研究存在平稳分布时的参数估计问题.而数据则是若干(少量)时刻上数据点的经验分布,这些经验分布由很多个个体的数据构成.     

冲击模型可靠度的界

对于冲击模型H(t)=sum from k=0 to ∞ P{N(t)=k}·P_k其中{N(t),t≥0}是更新过程,间隔时间分布函数F(t)存在有限均值,在以下情况下,我们讨论了其界值问题: ①F(t)是IFR类分布;②F(t)是DFR类分布; ③F(t)是NBUE类分布;④F(t)是NWUE类分布.而且对一些特殊情况,其结论更简洁.     

关于大偏差概率的一个界

研究得到了关于随机和S(t)=∑N(t)i=1Xi,t≥0大偏差的幂的一个界,其中(N(t))t≥0是一族非负整值随机变量,(Xn)n∈N是独立同分布的随机变量,其共同的分布函数是F与(N(t))t≥0独立.本结论是在假设分布函数F的右尾属于ERV族的情况下得到的.     

从SPVⅡ分布生成的新的多元偏态t分布的有关性质

随机向量的t分布属于椭球等高分布族,然而,它是对称分布.在许多诸如经济学、生理学、社会学等领域中,有时回归模型中的随机误差不再满足对称性,通常表现出高度的偏态性(skewness).于是就有了偏态椭球等高分布族.本文在已有的多元偏态t分布的基础上,着重研究它的分布性质,包括线性组合分布、边缘分布、条件分布及各阶矩.     

从SPⅦ分布生成的新的多元偏态t分布的有关性质

随机向量的t分布属于椭球等高分布族,然而,它是对称分布.在许多诸如经济学、生理学、社会学等领域中,有时回归模型中的随机误差不再满足对称性,通常表现出高度的偏态性(skewness).于是就有了偏态椭球等高分布族.本文在已有的多元偏态t分布的基础上,着重研究它的分布性质,包括线性组合分布、边缘分布、条件分布及各阶矩.     

椭球等高矩阵分布关于非奇异矩阵变换的不变性

本文首先将矩阵F分布和矩阵t分布的定义推广到左球分布类,其密度函数与产生它们的左球分布或球对称分布的密度均无关.然后讨论了椭球等高分布关于非奇异矩阵变换的不变性问题,包括矩阵Beta分布、逆矩阵Beta分布、矩阵Dirichlet分布、逆矩阵Dirichlet分布、矩阵F分布和矩阵t等分布.在非奇异变换下,这些分布的密度不但与产生它们的左球分布的密度函数无关,而且与非奇异变换矩阵无关.     

M(t)/M/(t)/∞排队系统的瞬时性质

Saaty、Collings与Stoneman给出了M(t)/M(t)/∞排队的瞬时队长分布,张福基进一步讨论了成批到达的情况.本文提出一个母函数递推方法,对系统中各种一维、二维瞬时分布均给出详尽刻划.系统的描述及λ(t)、μ(t)约定同[4].记     

位置参数变点的非参数检验及其渐近性质

本文基于U-统计量,对于位置参数模型,讨论了位置参数变点的检验问题,给出了检验统计量并研究它的分布的极限性质,证明了检验统计量的极限分布是sup |B(t)|,其中{B(t),0＜t＜1}是一个Brown桥.将此结果应用到了双参数指数分布和Weibu11分布尺度参数变点的检验问题中.     

On the Uniform Approximation of Laplace′s Prior by t-Priors in Location Problems

The problem of deriving robust and classically acceptable Bayesian inference on location parameters is considered in this paper. The main result of the paper allows one to obtain uniform posterior approximation starting with likelihood functions with heavy tails, e.g., t-distributions with unknown location. The approximations of the relevant Bayes quantities are obtained as Well.     

基于errors-in-variables的预测模型及其应用

预测是统计学实际应用的一个主要方面,多元线性回归预测是一种很好的方法,广泛地应用在各种实际领域,但其局限性及不足也是明显的。本文以一种新的观点认识数据,即认为变量的观测里均含有误差,同时认为不应删除经慎重选择进来的解释变量。为此,本文提出了一种新的多元预测方法———多元线性EIV预测。本文还考虑了新预测模型的一个实例应用,并从相对偏差上与多元回归预测进行了比较,从而揭示了多元线性EIV预测的先进性及较好的预测精度。     

基于情景分析的多维拟凸风险统计量

本文定义了三类特殊的多维风险统计量,分别是多维共单调拟凸风险统计量、多维拟凸风险统计量和多维经验分布不变拟凸风险统计量,并采用对偶方法给出了它们的表示定理.本文的结果既是一维拟凸风险统计量的推广,也是多维凸风险统计量的拓展.     

A multivariate dispersion ordering based on quantiles more widely separated

A multivariate dispersion ordering based on quantiles more widely separated is defined. This new multivariate dispersion ordering is a generalization of the classic univariate version. If we vary the ordering of the components in the multivariate random variable then the comparison could not be possible. We provide a characterization using a multivariate expansion function. The relationship among various multivariate orderings is also considered. Finally, several examples illustrate the method of this paper.     

On the size of multivariate polynomial lemniscates and the convergence of rational approximants

In a previous paper, the author introduced a class of multivariate rational interpolants, which are called optimal Padé-type approximants (OPTA). The main goal of this paper is to extend classical results on convergence both in measure and in capacity of sequences of Padé approximants to the multivariate case using OPTA. To this end, we obtain some estimations of the size of multivariate polynomial lemniscates in terms of the Hausdorff content, which we also think are of some interest.     

同步增长模型多元差估计量

在一些定期进行的多指标抽样调查中 ,调查指标的现期值与上期值之间的关系往往可以用同步增长模型描述 .本文利用两期指标之间的相关性构造了以上期指标为辅助指标的多元差估计量 ,讨论了多元差估计量的统计性质 ,证明在迹准则下多元差估计量优于多元简单估计量 .     

短样本多指标动态经济数据变点的一种识别方法

本文研究了多指标动态经济数据的变点问题,使用多元分析的方法,给出了在样本长度较短情况下识别变点的一种方法,并用这种方法分析了国民经济统计中的一个实际例子。     

Convergence in measure of multivariate Pade approximants

Convergence conclusions of Padé approximants in the univariate case can be found in various papers. However, results in the multivariate case are few. A. Cuyt seems to be the only one who discusses convergence for multivariate Pade approximants, she gives in [2] a de Montessus de Bollore type theorem. In this paper, we will discuss the zero set of a real multivariate polynomial, and present a convergence theorem in measure of multivariate Padé approximant. The proof technique used in this paper is quite different from that used in the univariate case. Supported by National Science Foundation of China for Youth     

ML estimation for multivariate shock models via an EM algorithm

Multivariate extensions of univariate distributions, though useful, have not been applied in practice mainly due to shortage of inferential procedures caused by numerical complexity. The multivariate Marshall-Olkin distribution is a multivariate extension of the exponential distribution. Its representation as a multivariate shock model makes it appealing for such applications. Unfortunately, ML estimation is not easy and special numerical techniques are needed. In this paper an EM type algorithm based on the multivariate reduction technique is described. The behavior of the algorithm is examined and a numerical example is provided.     

Recent researches on multivariate spline and piecewise algebraic variety

The multivariate splines as piecewise polynomials have become useful tools for dealing with Computational Geometry, Computer Graphics, Computer Aided Geometrical Design and Image Processing. It is well known that the classical algebraic variety in algebraic geometry is to study geometrical properties of the common intersection of surfaces represented by multivariate polynomials. Recently the surfaces are mainly represented by multivariate piecewise polynomials (i.e. multivariate splines), so the piecewise algebraic variety defined as the common intersection of surfaces represented by multivariate splines is a new topic in algebraic geometry. Moreover, the piecewise algebraic variety will be also important in computational geometry, computer graphics, computer aided geometrical design and image processing. The purpose of this paper is to introduce some recent researches on multivariate spline, piecewise algebraic variety (curve), and their applications.