Copula函数中参数的矩估计方法

Copula函数是将多维随机变量的联合分布和其边缘分布连接起来的一种函数.关于Copula函数的理论和应用已有不同深度的研究,特别是Copula函数中未知参数的估计问题.本文研究了Gumbel Copula函数的参数估计,提出了矩估计和近似矩估计两种方法,分别得到了未知参数的估计结果,并通过模拟研究对这两种方法进行了比较,结果显示矩估计方法更为合理.     

基于Copula函数和极值理论的金融传染度量——测度美国次贷危机对重要经济体的传染效应

基于Copula函数和极值理论研究美国次贷危机对重要经济体的传染效应,首先根据信息准则来选取Copula函数,然后用Cvm和Ks统计量来检验Copula函数的拟合程度,确保选取合适的Copula函数,并在此基础上计算一般相关系数和尾部相关系数;实证发现使用尾部相关系数度量金融传染并不可靠,因此基于Copula函数和极值理论的POT模型,构造了尾部附近相关系数并通过实证分析了其用于金融传染的有效性.结果表明发达国家所受传染较重,中国所受传染较轻.     

Copula函数在水文计算中的适用性分析

论述和探讨了Copula函数在水文计算中的应用及适用性,重点分析了常用的Archimedean CopuIa函数在描述水文变量尾部相关性方面的差异,以及相关系数的不确定性对各Copula函数分析结果的影响,讨论了Copula函数在相关性分析中出现的其他问题及注意事项.     

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.     

沪深300指数与沪深股市尾部相关性分析

根据沪深股市非线性的特征,利用Kendall秩相关系数与Copula函数之间的关系,对Copula函数的参数进行估计.选择Gumbel Copula、Clayton Copula和Frank Copula来度量上证综指、深证综指和沪深300指数之间的尾部相关性.实证结果分析,Clayton Copula函数能较好的度量出三个指数之间具有较强的下尾相关性,且进行量化后的相关性能够较好刻画股票市场的变化.     

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.     

基于Elliptical Copula函数的相关性模型研究

针对沪深股指构建了两种基于Elliptical Copula函数的相关性模型,并利用参数估计的结果计算其相关性指标.结果表明,Elliptical Copula函数在金融相关性分析中比传统方法合理有效,其中学生氏t-copula函数在服从厚尾分布的相关性模型中比高斯Copula更具实际意义.     

基于三维Copula函数的金融指数相关性分析

给出了三维Copula函数模型中未知参数的估计方法及最优三维Copula函数的选择方法,此构造方法对研究多变量之间的相依性提供了新途径.通过对上证指数、深圳成指及创业板指的历史数据进行实证分析,选出了最优三维Copula函数以描述三者之间的相关性,并分析三者之间的尾部相关性.     

基于Copula理论的装甲车辆齿轮传动箱系统的可靠性分析

应用Copula函数研究了某型装甲车辆齿轮传动箱的系统可靠性问题,得出了系统的可靠度函数和失效率,并与独立性下的可靠度函数进行比较,通过分析两种方法下可靠度的变化趋势,得出基于Copula函数的可靠度函数更接近于实际情况.     

基于copula模型的沪深股市日收益率的相关性研究

由于沪深股市收益率具有非线性的特征,本文利用Copula函数从定量的角度刻画了上证综指和深证成指的日收益率序列的相关关系,研究表明,沪深股市日收益率序列呈现出很高的相关性,当沪深两市出现大幅震荡时,两市收益率的协同作用将大幅增强,Gaussian Copula函数更好的刻画了沪深股市收益率之间的秩相关性,Gumbel Copula函数在更好的刻画了两收益率序列的上尾相关性,而Clayton Copula函数在分析两序列的下尾相关性时较为出色,在平方欧氏距离标准下,t-Copula较好的拟合了沪深股市的日收益率序列。     

中国煤层气的产业化进程与发展建议

煤层气产业在中国能源建设中具有重要战略地位。中国煤层气勘探开发历经矿井瓦斯抽排利用、现代煤层气理论技术的引进发展与成功应用、商业化开发试验及产业化发展（初期）4个阶段。由于在煤层气地质基础理论、勘探技术方法、开发工艺技术、集输利用与管理制度等方面的发展创新、系统集成,我国已有能力大规模发展煤层气产业,这在我国能源发展战略上是非常难得的历史机遇。当前,为了加快煤层气产业的发展,必须加强统筹规划,发挥多种积极性;加强煤层气地质研究、提高对区域勘探的指导与目标评价水平;开展高效低成本开发工艺技术攻关;发展煤层气产品集输和加工利用;继续跟踪国外煤层气前沿理论技术,加强技术交流与合作研究。     

基于模糊FNN-ELECTRE法的国有商业银行竞争力评价

随着金融业全方位开放,国有商业银行已成为国家经济命脉的核心,其竞争力强弱关系着国家经济的繁荣与衰退。本文基于模糊FNN-ELECTRE方法建立国有商业银行竞争力评价模型,以因素神经网络理论(FNN)与ELECTRE融合方法为基础,以现有商业银行竞争力评价指标为着眼,把国有商业银行竞争力的评价体系从现实竞争力和潜在竞争力两个因素抽取为一级指标,以规模、质量、业务结构、效率、成长性五个因素设为二级指标。从实证的角度对银行A、银行B、银行C、银行D、银行E五大国有银行进行分析验证,对其属性值进行和谐性与非和谐性检验得出,银行B竞争能力最强,银行E竞争能力最弱,五大国有银行均有改进空间。     

共生视角下我国区域创新生态系统发展观测——基于TOPSIS生态位评估投影模型的时空特征分析

为明确我国区域创新生态系统发展现状,以共生为视角,基于共生单元、共生基质、共生平台、共生网络、共生环境五大生态特征建立区域创新生态系统综合评价指标体系,以2007~2015年我国30个省市相关数据为样本,运用TOPSIS生态位评估投影集成模型及二次加权算法,对我国区域创新生态系统整体及各生态特征的发展状况进行静态和动态综合评价,并分析其时空特征、地区差异及关键因素变迁。结果表明:(1)我国区域创新生态系统发展整体呈趋好态势,东部地区发展趋缓且存在极化现象,中西部地区普遍抬升,地区间发展水平差距较大但随时间推移呈缩小趋势;(2)创新生态系统各生态特征均表现出“东高西低”的地区间非均衡现象,但其时空特征具有显著异质性;(3)区域创新生态系统长远发展的助力优先来自于共生平台和共生网络,而共生单元、共生基质和共生环境的重要性程度呈相对弱化态势。     

A 3D modeling of static and forward smoldering combustion in a packed bed of materials

A three-dimensional (3D) model based on the first principles of mass, momentum and energy was developed that numerically simulates the processes of static and forward smoldering in a porous packed bed of plant materials. The packed bed contains cellulose material or tobacco (cigarette) wrapped in a porous paper and surrounded by an ambient air. Other major characteristics of the model are including the effects of buoyancy forces in the flow field, separate treatment of solid and gas in a thermally non-equilibrium environment, and use of multi-precursor kinetic models for the pyrolysis of staring material and oxidation of char. The changes in porosity due to pyrolysis and char oxidation and the effect of porosity on the bed permeability and gas diffusivity are included. The mass, momentum, energy, and species transport equations are solved in a discretized computational domain using a commercially available computational fluid dynamics (CFD) code. The simulation results show that the model reasonably reproduces the major features of a burning cigarette during smoldering and puffing and are in a good agreement with the existing experimental results for cigarettes. Results include the velocity profiles, gas and solid temperatures, coal shape, burn rates, profile and transport of gas and vapor species throughout the packed bed, dilution through the wrapper paper and ventilation in the filter section, and the mass fraction of some pyrolysis and oxidation products in the mainstream and sidestream flows.     

From inequalities involving exponential functions and sums to logarithmically complete monotonicity of ratios of gamma functions

In this paper, the authors review origins, motivations, and generalizations of a series of inequalities involving finitely many exponential functions and sums. They establish three new inequalities involving finitely many exponential functions and sums by finding convexity of a function related to the generating function of the Bernoulli numbers. They also survey the history, backgrounds, generalizations, logarithmically complete monotonicity, and applications of a series of ratios of finitely many gamma functions, present complete monotonicity of a linear combination of finitely many trigamma functions, construct a new ratio of finitely many gamma functions, derive monotonicity, logarithmic convexity, concavity, complete monotonicity, and the Bernstein function property of the newly constructed ratio of finitely many gamma functions. Finally, they suggest two linear combinations of finitely many trigamma functions and two ratios of finitely many gamma functions to be investigated.     

基于关系契约视角的农户与农产品电子商务企业合作机制演化博弈分析

本文基于关系契约的视角,运用演化博弈理论,构建有限理性特性下的农户与农产品电子商务企业合作演化博弈模型,分析双方合作策略的演进过程、稳定策略及其影响因素,并通过Matlab仿真模拟分析影响双方合作策略选择的因素,验证博弈结果正确性。研究结果表明:农户和农产品电子商务企业选择合作策略与合作投入成本、实现的超额收益密切相关,博弈初始状态、再交易成本、单方不合作获得的收益及违约罚金等因素影响系统的演化稳定结果。因此完善农户与农产品电子商务企业的合作机制,需要构建合理的利益分配机制、良好的关系治理机制、有效的监督和惩罚机制和信息共享、沟通与协调机制。     

Financial Risk Modelling and Econometric Inference

In finance, the explicit modelling of uncertainty takes on a particularly important role. The values of financial derivatives increase in the return volatility of the underlying security. This notion requires a concept of volatility and hence uncertainty. In addition, the choice between modelling in discrete and continuous time is not arbitrary, since it corresponds to a distinction between incomplete and complete markets, respectively, and this distinction matters for asset pricing, financial risk modelling, and inference. Risk and volatility are closely connected, and implied volatility, volatility forecasting, volatility in term structure models, stochastic volatility, and portfolio analysis are considered and related to a more general interplay between cross-sectional and dynamic aspects in finance. Stocks, bonds, and options are considered and placed in the context of efficiency and separation in inference.     

基于经销商再制造的闭环供应链政府补贴策略及效果分析

针对制造商负责再制造设计,经销商负责再制造的闭环供应链系统,建立政府无补贴、补贴经销商再制造和补贴制造商再制造设计3种策略下的Stackelberg博弈模型,分析不同补贴策略对供应链成员企业决策的影响。同时,应用数值仿真方法研究相同补贴支出下两种补贴策略的优劣。结果表明:相对于无补贴策略,两种补贴策略均会降低再制品和新产品的销售价格,提高再制品销售量,提升再制造设计水平,并且在再制品需求量小于新产品需求量时均会降低新产品销售量,在再制品和新产品的需求量相等时均会提高新产品销售量;另外,在相同的补贴支出下,当新产品需求量大于再制品需求量时,补贴经销商更能降低两种产品的销售价格和新产品的销售量,提高再制品销售量和制造商与经销商的利润,补贴制造商则更能提升再制造设计水平。     

The strength of Mac Lane set theory

Saunders Mac Lane has drawn attention many times, particularly in his book Mathematics: Form and Function, to the system of set theory of which the axioms are Extensionality, Null Set, Pairing, Union, Infinity, Power Set, Restricted Separation, Foundation, and Choice, to which system, afforced by the principle, , of Transitive Containment, we shall refer as . His system is naturally related to systems derived from topos-theoretic notions concerning the category of sets, and is, as Mac Lane emphasises, one that is adequate for much of mathematics. In this paper we show that the consistency strength of Mac Lane's system is not increased by adding the axioms of Kripke–Platek set theory and even the Axiom of Constructibility to Mac Lane's axioms; our method requires a close study of Axiom H, which was proposed by Mitchell; we digress to apply these methods to subsystems of Zermelo set theory , and obtain an apparently new proof that is not finitely axiomatisable; we study Friedman's strengthening of , and the Forster–Kaye subsystem of , and use forcing over ill-founded models and forcing to establish independence results concerning and ; we show, again using ill-founded models, that proves the consistency of ; turning to systems that are type-theoretic in spirit or in fact, we show by arguments of Coret and Boffa that proves a weak form of Stratified Collection, and that is a conservative extension of for stratified sentences, from which we deduce that proves a strong stratified version of ; we analyse the known equiconsistency of with the simple theory of types and give Lake's proof that an instance of Mathematical Induction is unprovable in Mac Lane's system; we study a simple set theoretic assertion—namely that there exists an infinite set of infinite sets, no two of which have the same cardinal—and use it to establish the failure of the full schema of Stratified Collection in ; and we determine the point of failure of various other schemata in . The paper closes with some philosophical remarks.