无穷方差厚尾过程中非参数函数的小波估计

研究无穷方差厚尾过程中含有变点的非参数函数的估计问题。通过小波方法给出变点位置的估计值并得到其收敛速度。在已知变点估计值的基础上,将截尾方法与小波压缩方法相结合得到非参数函数的估计值。模拟研究结果说明对于无穷方差厚尾过程中的函数估计问题小波方法是有效的。     

基于最小一乘准则的三次样条对利率期限结构的拟合

将基于最小一乘准则的三次样条函数法应用于拟合在上海证券交易所交易的国债的利率期限结构,并与传统的最小二乘法进行比较。样本外预测结果显示,稳健的最小一乘方法能有效的降低异常点的干扰,弥补最小二乘法的不足,提高预测的精度。     

二重非齐次马氏链的遍历性及其应用

给出二重非齐次马氏链的强遍历性,绝对平均强遍历性,Cesaro平均收敛的概念．利用二维马氏链的遍历性和C-K方程,建立了二维马氏链与二重非齐次马氏链遍历性的关系．并讨论了齐次二重马氏链绝对平均强遍历与强遍历的等价性．最后给出Cesaro平均收敛在马氏决策过程和信息论中应用．     

一种碳纤维织物增强复合材料应变率相关的各向异性强度准则

为了获得一种碳纤维二维正交平纹机织布增强树脂基复合材料在一维应变状态下的强度准则,在已完成的准静态和动态压缩实验的基础上,拟合出了单轴压缩下三个主方向上的计及应变率的应力-应变关系式,进而得到初始屈服应力和压缩破坏强度与应变率相关性表达式。依据该表达式,得到了该复合材料在一维应变下考虑应变率效应的Tsai-Hill屈服强度和破坏强度准则方程。通过计算,考察了Tsai-Hill屈服强度和破坏强度准则随应变率的变化规律。结果表明,本文中研究的复合材料的强度性能,不但存在应变率效应,而且这种效应是各向异性的。     

An improved convergence rate of Glimm scheme for general systems of hyperbolic conservation laws

We study the convergence rate of Glimm scheme for general systems of hyperbolic conservation laws without the assumption that each characteristic field is either genuinely nonlinear or linearly degenerate. We first give a sharper estimate of the error arising from the wave tracing argument by a careful analysis of the interaction between small waves. With this key estimate, the convergence rate is shown to be , which is sharper compared to given in [T. Yang, Convergence rate of Glimm scheme for general systems of hyperbolic conservation laws, Taiwanese J. Math. 7 (2) (2003) 195-205]. However, it is still slower than given in [A. Bressan, A. Marson, Error bounds for a deterministic version of the Glimm scheme, Arch. Ration. Mech. Anal. 142 (2) (1998) 155-176] for systems with each characteristic field being genuinely nonlinear or linearly degenerate. Here s is the mesh size and α is any positive constant.     

Estimates of Europa’s ice shell thickness and strain rate from flanking cracks and bulge along Ridge R

Europa, the second Galilean satellite outward from Jupiter, has an outer layer of water of about 100 km thick and an outmost ice shell. The thickness of the ice shell is very important in understanding Europa’s habitability and thermal history, but estimates from different studies are very inconsistent, ranging from 0.2 to 30 km. Here we obtain an estimate of the ice shell thickness from locations of flanking crack and forebulge along Ridge R. Considering the water’s heating process to nearby ice shell in the crack, a flexure model is applied and it suggests the thickness of an ice shell to be 500–1500 m without a convective layer. Compared with previous studies using the same method but ignoring the water’s heating process, the rationality and accuracy have been improved dramatically in our results. We also get some constraints on the strain rate and the characteristic temperature T _c, which defines the base of the elastic layer.     

中国债券市场动态利率模型及其实证检验

为了对中国债券市场动态利率期限结构进行深入的研究,本文基于状态空间模型和卡尔曼滤波技术构建了中国债券市场动态利率模型。本文模型根据数据的可观测结构进行建模,通过迭代计算寻找不可观测状态变量的最优估计值和隐含参数,很好地解决了传统计量方法中因为变量不可观测而无法获得真实数据所带来的研究困难。同时通过模型有效性的模拟实验和中国债券市场同业拆借利率的实证研究,证明了模型对利率期限结构在一段时间内的动态变化估计结果准确,在建模样本期内利率的动态变化能够得到有效的分析和预测。本文的研究为中国债券市场动态利率管理和定价问题提供了新的思路和可能的解决渠道。     

基于小波变换的LMSV模型对人民币汇率波动的研究

将小波引入到LMSV模型波动长记忆性的估计与检验中,提出了基于小波变换的LMSV模型波动长记忆性的伪极大似然估计法和波动长记忆性的检验方法,并对各汇率波动序列长记忆效应的大小程度进行了验证．结果表明各汇率波动序列存在长记忆效应．人民币对美元的汇率波动序列受历史信息的影响程度最高．     

On approximation properties of non-convolution type nonlinear integral operators

In the present paper we state some approximation theorems concerning pointwise convergence and its rate for a class of non-convolution type nonlinear integral operators of the form:Tλ (f;x) = B A Kλ (t,x, f (t))dt , x ∈< a,b >, λ∈Λ. In particular, we obtain the pointwise convergence and its rate at some characteristic points x0 of f as (x,λ ) → (x0,λ0) in L1 < A,B >, where < a,b > and < A,B > are is an arbitrary intervals in R, Λ is a non-empty set of indices with a topology and λ0 an accumulation point of Λ in this topology. The results of the present paper generalize several ones obtained previously in the papers [19]-[23].     

Bifurcation analysis of a delayed epidemic model

In this paper, Hopf bifurcation for a delayed SIS epidemic model with stage structure and nonlinear incidence rate is investigated. Through theoretical analysis, we show the positive equilibrium stability and the conditions that Hopf bifurcation occurs. Applying the normal form theory and the center manifold argument, we derive the explicit formulas determining the properties of the bifurcating periodic solutions. In addition, we also study the effect of the inhibition effect on the properties of the bifurcating periodic solutions. To illustrate our theoretical analysis, some numerical simulations are also included.