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基于Corwin和Schultz(2012)提出的有效价差的High-Low估计,结合价格极值信息得到新的一阶矩条件,构造了有效价差的广义矩估计。随后通过随机数值模拟比较了基于价格极值的广义矩估计(GMM)与Roll的协方差估计、Bayes估计以及Corwin和Schultz的High-Low估计在多种不同状态下的估计精度。数值模拟结果显示,无论在交易连续的理想状态下还是交易不连续且波动率相对不高的非理想状态下,GMM估计的精度均高于其余三种估计;基于我国股票市场的实例分析,也表明GMM估计的估计精度优于其余三种估计。因此,GMM估计为度量金融资产的交易成本提供了一种有效方法。 相似文献
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岭估计是解决多元线性回归多重共线性问题的有效方法,是有偏的压缩估计。与普通最小二乘估计相比,岭估计可以降低参数估计的均方误差,但是却增大残差平方和,拟合效果变差。本文提出一种基于泛岭估计对岭估计过度压缩的改进方法,可以改进岭估计的拟合效果,减小岭估计残差平方和的增加幅度。 相似文献
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对线性模型参数,讨论了Bayes估计的Pitman最优性,将已有结果进行了改进,去掉了附加条件,证明了在Pitman准则下,Bayes估计一致优于最小二乘估计(LSE),在此基础上,提出了一种基于先验信息的方差分量估计,通过和基于LSE的方差分量估计作比较,证明了新估计是无偏估计且有更小的均方误差.最后,证明了在Pitman准则下生长曲线模型参数的Bayes估计优于最佳线性无偏估计. 相似文献
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本文研究了Panel模型中回归系数常见估计的比较问题,给出了在Pitman准则,协方差阵准则和广义均方误差准则下最小二乘估计,Within估计,Between估计及两步估计之间的优良性比较结果.特别地,本文证明了在Pitman准则下最小二乘估计一致地优于Between估计. 相似文献
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对于聚集数据的线性模型,给出了参数β的聚集改进广义Liu估计,研究了该估计相对于最小二乘估计及相对于Peter—Karsten估计的两种相对效率,并得到了相对效率的上界.实例分析表明,聚集改进广义Liu估计比最小二乘估计、Peter—Karsten估计更有效. 相似文献
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An iterative scheme is given to obtain the approximate solution of a class of quasi variational inequalities. It is shown that the approximate solution obtained by the iterative scheme converges strongly in the Hilbert space to the exact solution. As a special case, we obtain the corresponding iterative scheme for variational inequalities. 相似文献
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We obtain a general solution to one class of convolution equations on the complex hyperbolic space. 相似文献
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In this paper, we consider the problem of finding the initial distribution for the linear inhomogeneous and nonlinear biparabolic equation. The problem is severely ill-posed in the sense of Hadamard. First, we apply a general filter method to regularize the linear nonhomogeneous problem. Then, we also give a regularized solution and consider the convergence between the regularized solution and the sought solution. Under the a priori assumption on the exact solution belonging to a Gevrey space, we consider a generalized nonlinear problem by using the Fourier truncation method to obtain rigorous convergence estimates in the norms on Hilbert space and Hilbert scale space. 相似文献
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In this paper, we prove finite‐time blowup in energy space for the three‐dimensional Klein‐Gordon‐Zakharov (KGZ) system by modified concavity method. We obtain the blow‐up rates of solutions in local and global space, respectively. In addition, by using the energy convergence, we study the subsonic limit of the Cauchy problem for KGZ system and prove that any finite energy solution converges to the corresponding solution of Klein‐Gordon equation in energy space. 相似文献
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本文首先证明了平面中含Hardy位势和临界参数的非线性椭圆方程在一个新Hilbert空间中无穷多个解的存在性,然后在该空间中还讨论了一类含Hardy位势的变分问题极小解的存在性. 相似文献
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We consider a semilinear heat equation in one space dimension, with a periodic source at the origin. We study the solution, which describes the equilibrium of this system and we prove that, as the space variable tends to infinity, the solution becomes, exponentially fast, asymptotic to a steady state. The key to the proof of this result is a Harnack type inequality, which we obtain using probabilistic ideas. 相似文献
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Juan José Víquez R 《随机分析与应用》2018,36(2):341-372
We prove the chain rule in the more general framework of the Wiener–Poisson space, allowing us to obtain the so-called Nourdin–Peccati bound. From this bound, we obtain a second-order Poincaré-type inequality that is useful in terms of computations. For completeness we survey these results on the Wiener space, the Poisson space, and the Wiener–Poisson space. We also give several applications to central limit theorems with relevant examples: linear functionals of Gaussian subordinated fields (where the subordinated field can be processes like fractional Brownian motion or the solution of the Ornstein–Uhlenbeck SDE driven by fractional Brownian motion), Poisson functionals in the first Poisson chaos restricted to infinitely many “small” jumps (particularly fractional Lévy processes), and the product of two Ornstein–Uhlenbeck processes (one in the Wiener space and the other in the Poisson space). We also obtain bounds for their rate of convergence to normality. 相似文献
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基于再生核空间法提出了一个高效的数值算法来解决三阶微分方程的边值问题.利用再生性以及正交基的构造,得到了模型精确解的级数表示形式,并通过截断级数获得了其近似解.通过数值算例说明了此方法的有效性. 相似文献
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In this paper,we consider the existence,nonexistence and multiplicity of positive solutions for two-point boundary value problems of p-Laplacian systems which have a singular indefinite weight and real multiparameters.For proofs,we mainly make use of the upper and lower solution method and the fixed point index theorem.To obtain a global multiplicity result,we construct a weighted space to benefit richer topology of the solution space than C 0-space. 相似文献
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《Quaestiones Mathematicae》2013,36(4):375-395
Abstract The numerical stability of a variational method that is used to obtain the solution of a one space dimension wave equation with initial and boundary conditions is analyzed. The phase speed and group velocity of the numerical solution are also investigated with respect to that of the exact solution. 相似文献