Bayesian Estimation and Statistical Analysis of Risk Measurements

The Bayesian model are established for the VaR and related risk measurements. The relationship between VaR and other risk measurements including expect shortfall, tail condition expectation and conditional value at risk are discussed. Furthermore, the Bayesian estimates and Bayesian predictors of these risk measurement are derived. Thirdly, the consistency and asymptotic normality in the exponential risk model are proved. Finally, the numerical simulation method is used to verify the convergence rate under different sample sizes.     

Statistical inference for Vasicek-type model driven by Hermite processes

Let $Z$ denote a Hermite process of order $q\ge 1$ and self-similarity parameter $H\in (\frac{1}{2},1)$. This process is $H$-self-similar, has stationary increments and exhibits long-range dependence. When $q=1$, it corresponds to the fractional Brownian motion, whereas it is not Gaussian as soon as $q?2$. In this paper, we deal with a Vasicek-type model driven by $Z$, of the form $d{X}_t=a(b?X_t)dt+d{Z}_t$. Here, $a>0$ and $b\in \mathbb{R}$ are considered as unknown drift parameters. We provide estimators for $a$ and $b$ based on continuous-time observations. For all possible values of $H$ and $q$, we prove strong consistency and we analyze the asymptotic fluctuations.     

直觉判断矩阵的弱传递性与加型一致性研究

定义了直觉判断矩阵的有向图和有向路概念,证明在一定的条件下直觉判断矩阵的有向图有唯一有向路.利用该结论给出一个简洁的排序方法,并指出这种方法的不足之处.通过反例说明了直觉判断矩阵已有的加型一致性概念与弱传递性概念之间没有必然强弱关系.根据直觉模糊数的得分值和精确度值,利用效用的思想给出直觉判断矩阵加型一致性的新定义,并证明了新定义的加型一致性具有弱传递性.针对一般的直觉判断矩阵,运用新定义的加型一致性概念以及偏差函数的方法给出了求解直觉判断矩阵的直觉模糊数型权重的模型,并通过算例验证了决策方法的实用性.     

一种一致性排序标度方法

针对层次分析法判断矩阵一致性问题,提出了一种新的排序标度方法,证明了采用新方法形成的判断矩阵具有一致性,最后通过实例运用说明了此方法的可行性和有效性.     

基于EV模型ND样本加权和的相合性

本文研究变系数EV模型的ND样本加权和的相合性问题.利用ND序列的Bernstein型不等式和截尾的方法,获得了ND样本加权和sum from i=1 to n(W_(ni)(t_0)Y_i)的强、弱相合性,推广了独立随机变量加权和的相合性.     

END样本最近邻密度估计的强相合速度

本文研究了扩展负相依(END)样本最近邻密度估计的强相合性问题.利用END序列的Bernstein型不等式和截尾的方法,获得了END样本最近邻密度估计的强相合速度,推广了NA样本和ND样本最近邻密度估计的相应结果.     

Estimation of rating classes and default probabilities in credit risk models with dependencies

Let Y = m(X) + ε be a regression model with a dichotomous output Y and a one‐step regression function m . In the literature, estimators for the three parameters of m , that is, the breakpoint θ and the levels a and b , are proposed for independent and identically distributed (i.i.d.) observations. We show that these standard estimators also work in a non‐i.i.d. framework, that is, that they are strongly consistent under mild conditions. For that purpose, we use a linear one‐factor model for the input X and a Bernoulli mixture model for the output Y . The estimators for the split point and the risk levels are applied to a problem arising in credit rating systems. In particular, we divide the range of individuals' creditworthiness into two groups. The first group has a higher probability of default and the second group has a lower one. We also stress connections between the standard estimator for the cutoff θ and concepts prevalent in credit risk modeling, for example, receiver operating characteristic. Copyright © 2014 John Wiley & Sons, Ltd.     

北斗双星/SINS组合导航系统滤波模型的一致性研究

北斗双星定位系统（简称双星定位）是我国自行建立的一种定位系统.根据北斗双星定位系统采用有源定位的特点,介绍了北斗双星与SINS组合的最优预测模型,该方法利用了双星定位系统提供的滞后定位信息对组合系统进行最优预测,进而校正惯导;同时为验证该滤波方法对状态估计的一致性,文中重点研究了滤波器一致性的准则,并给出了检验的统计量.理论研究和试验仿真证明,文中介绍的滤波器与系统是匹配的,具有较高的滤波性能和精度.     

一个厚薄板通用的三角形板弯元

本文提出了一个新的厚薄板通用的三角形板弯元,根据Hellinger-Reissner变分原理推导出来的新单元具有独立的转角、位移、剪应变和弯曲应变的插入函数,它没有其它混合元所存在的一些缺点。一些典型例子表明这个新单元具有很好的特性,刚度矩阵简单,计算精度高,收敛速度快以及厚薄板通用性强。     

Improved third‐order weighted essentially nonoscillatory scheme

A new third‐order WENO scheme is proposed to achieve the desired order of convergence at the critical points for scalar hyperbolic equations. A new reference smoothness indicator is introduced, which satisfies the sufficient condition on the weights for the third‐order convergence. Following the truncation error analysis, we have shown that the proposed scheme achieves the desired order accurate for smooth solutions with arbitrary number of vanishing derivatives if the parameter ε satisfies certain conditions. We have made a comparative study of the proposed scheme with the existing schemes such as WENO‐JS, WENO‐Z, and WENO‐N3 through different numerical examples. The result shows that the proposed scheme (WENO‐MN3) achieves better performance than these schemes.