基于s估计σ引出的无偏修正

用s去估计总体分布的标准差σ不是无偏估计,在特定总体分布下,可以通过简单的修正达到无偏估计.修正系数的确定与样本容量有关.     

Tests for standardized generalized variances of multivariate normal populations of possibly different dimensions

In many practical problems, one needs to compare variabilities of several multidimensional populations. The concept of standardized generalized variance (SGV) is introduced as an extension of the concept of GV. Considering multivariate normal populations of possibly different dimensions and general covariance matrices, LRTs are derived for SGVs. The criteria turn out to be elegant multivariate analogs to those for tests for variances in the univariate cases. The null and nonnull distributions of the test criteria are deducdd in computable forms in terms of Special Functions, e.g., Pincherle'sH-function, by exploiting the theory of calculus of residues (Mathai and Saxena,Ann. Math. Statist.40, 1439–1448).     

Bayesian linear prediction in finite populations

In this paper, Bayesian linear prediction of the total of a finite population is considered in situations where the observation error variance is parameter dependent. Connections with least squares prediction (Royall (1976, J. Amer. Statist. Assoc., 71, 657–664)) in mixed linear models (Theil (1971, Principles of Econometrics, Wiley, New York)), are established. Extensions to the case of dynamic (state dependent) superpopulation models are also proposed.     

Estimating the covariance matrix and the generalized variance under a symmetric loss

For estimating the power of a generalized variance under a multivariate normal distribution with unknown means, the inadmissibility of the best affine equivariant estimator relative to the symmetric loss is shown, and a class of improved estimators is given. The problem of estimating the covariance matrix is also discussed.     

Lie-algebraic approach for pricing moving barrier options with time-dependent parameters

In this paper we apply the Lie-algebraic technique for the valuation of moving barrier options with time-dependent parameters. The value of the underlying asset is assumed to follow the constant elasticity of variance (CEV) process. By exploiting the dynamical symmetry of the pricing partial differential equations, the new approach enables us to derive the analytical kernels of the pricing formulae straightforwardly, and thus provides an efficient way for computing the prices of the moving barrier options. The method is also able to provide tight upper and lower bounds for the exact prices of CEV barrier options with fixed barriers. In view of the CEV model being empirically considered to be a better candidate in equity option pricing than the traditional Black-Scholes model, our new approach could facilitate more efficient comparative pricing and precise risk management in equity derivatives with barriers by incorporating term-structures of interest rates, volatility and dividend into the CEV option valuation model.     

中国棉花期货市场价格发现功能研究

期货市场和现货市场之间的价格发现功能一直是监管部门和投资者十分关心的问题。本文借助信息共享模型、脉冲响应函数和方差分解等方法，对中国棉花期货市场和现货市场的价格关系进行了实证研究。研究结果表明：棉花期货价格和现货价格之间存在显著的双向引导关系和长期均衡关系；期货市场和现货市场都扮演价格发现角色，且期货市场在价格发现中处于主导地位。     

方差分量谱分解估计的几个性质

对于线性混合模型中方差分量的估计，虽有多种方法，但一般情况下只有方差分析估计和谱分解估计有显式解，本文就线性混合模型中含两个方差分量的情形，对方差分析估计和谱分解估计进行了比较，证明了在一些条件下两个估计的方差相等，由此推出谱分解估计也具有方差分析估计的某些优良性．文末用实例进一步说明了文中的结果．     

Directed polymers in a random environment: Some results on fluctuations

We consider a polymer model on ℤ ₊ ^d where to each edgee is associated a random variable v(e). A polymer configuration is represented by a directed pathr and has a weight exp[-β ∑ _e ∈r ν(e)], withβ=1/T the inverse temperature. We extend some rigorous results that have been obtained for the ground state of this model to finite temperatures. In particular we obtain some upper and lower bounds on sample-to-sample free energy fluctuations, and also rigorous scaling inequalities between the exponents describing free energy fluctuations and transversal displacements of polymer configurations     

VALUE-AT-RISK的核估计理论

如何根据历史数据估计Value-at-Risk（VaR）;是风险分析与管理中一个重要的基本问题.木文基于非参数核估计方法,通过拟合实际数据过程的分布,构造了VaR的估计.在合适的相依数据条件下,证明了该估计量的渐近正态性,并给出了渐近方差的估计.由此表明:本文所构造的估计量不仅比参数模型具有更广泛的适应性,而且如同参数模型具有n~（-1/2）的收敛速度.本文假设的数据过程避免使用混合性,可很好地适用于金融管理中广泛应用的ARMA与GARCH模型族及非线性模型.     

Random Probability Measures with Given Mean and Variance

This article describes several natural methods of constructing random probability measures with prescribed mean and variance, and focuses mainly on a technique which constructs a sequence of simple (purely discrete, finite number of atoms) distributions with the prescribed mean and with variances which increase to the desired variance. Basic properties of the construction are established, including conditions guaranteeing full support of the generated measures, and conditions guaranteeing that the final measure is discrete. Finally, applications of the construction method to optimization problems such as Plackett's Problem are mentioned, and to experimental determination of average-optimal solutions of certain control problems.