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1.
We show that the without replacement bootstrap of Booth, Butler and Hall (J. Am. Stat. Assoc. 89, 1282–1289, 1994) provides second order correct approximation to the distribution function of a Studentized U-statistic based on simple random sample drawn without replacement. In order to achieve similar approximation accuracy for the bootstrap procedure due to Bickel and Freedman (Ann. Stat. 12, 470–482, 1984) and Chao and Lo (Sankhya Ser. A 47, 399–405, 1985) we introduce randomized adjustments to the resampling fraction.   相似文献   

2.
In this paper, the compound Poisson risk model with surplus-dependent premium rate is analyzed in the taxation system proposed by Albrecher and Hipp (Bl?tter der DGVFM 28(1):13–28, 2007). In the compound Poisson risk model, Albrecher and Hipp (Bl?tter der DGVFM 28(1):13–28, 2007) showed that a simple relationship between the ruin probabilities in the risk model with and without tax exists. This so-called tax identity was later generalized to a surplus-dependent tax rate by Albrecher et al. (Insur Math Econ 44(2):304–306, 2009). The present paper further generalizes these results to the Gerber–Shiu function with a generalized penalty function involving the maximum surplus prior to ruin. We show that this generalized Gerber–Shiu function in the risk model with tax is closely related to the ‘original’ Gerber–Shiu function in the risk model without tax defined in a dividend barrier framework. The moments of the discounted tax payments before ruin and the optimal threshold level for the tax authority to start collecting tax payments are also examined.  相似文献   

3.
This paper pertains to the J-Hermitian geometry of model domains introduced by Lee (Mich. Math. J. 54(1), 179–206, 2006; J. Reine Angew. Math. 623, 123–160, 2008). We first construct a Hermitian invariant metric on the Lee model and show that the invariant metric actually coincides with the Kobayashi-Royden metric, thus demonstrating an uncommon phenomenon that the Kobayashi-Royden metric is J-Hermitian in this case. Then we follow Cartan’s differential-form approach and find differential-geometric invariants, including torsion invariants, of the Lee model equipped with this J-Hermitian Kobayashi-Royden metric, and present a theorem that characterizes the Lee model by those invariants, up to J-holomorphic isometric equivalence. We also present an all dimensional analysis of the asymptotic behavior of the Kobayashi metric near the strongly pseudoconvex boundary points of domains in almost complex manifolds.  相似文献   

4.
This article concerns the statistical inference for the upper tail of the conditional distribution of a response variable Y given a covariate X = x based on n random vectors within the parametric extreme value framework. Pioneering work in this field was done by Smith (Stat Sci 4:367–393, 1989) and Smith and Shively (Atmos Environ 29:3489–3499, 1995). We propose to base the inference on a conditional distribution of the point process of exceedances given the point process of covariates. It is of importance that the conditional distribution merely depends on the conditional distribution of the response variable given the covariates. In the special case of Poisson processes such a result may be found in Reiss (1993). Our results are valid within the broader model where the response variables are conditionally independent given the covariates. It is numerically exemplified that the maximum likelihood principle leads to more accurate estimators within the conditional approach than in the previous one.  相似文献   

5.
Characterizing the behaviour of multivariate or spatial extreme values is of fundamental interest to understand how extreme events tend to occur. In this paper we propose to test for the asymptotic independence of bivariate maxima vectors. Our test statistic is derived from a madogram, a notion classically used in geostatistics to capture spatial structures. The test can be applied to bivariate vectors, and a generalization to the spatial context is proposed. For bivariate vectors, a comparison to the test by Falk and Michel (Ann Inst Stat Math 58:261–290, 2006) is conducted through a simulation study. In the spatial case, special attention is paid to pairwise dependence. A multiple test procedure is designed to determine at which lag asymptotic independence takes place. This new procedure is based on the bootstrap distribution of the number of times the null hypothesis is rejected. It is then tested on maxima of three classical spatial models and finally applied to two climate datasets.  相似文献   

6.
Order-compactifications of totally ordered spaces were described by Blatter (J Approx Theory 13:56–65, 1975) and by Kent and Richmond (J Math Math Sci 11(4):683–694, 1988). Their results generalize a similar characterization of order-compactifications of linearly ordered spaces, obtained independently by Fedorčuk (Soviet Math Dokl 7:1011–1014, 1966; Sib Math J 10:124–132, 1969) and Kaufman (Colloq Math 17:35–39, 1967). In this note we give a simple characterization of the topology of a totally ordered space, as well as give a new simplified proof of the main results of Blatter (J Approx Theory 13:56–65, 1975) and Kent and Richmond (J Math Math Sci 11(4):683–694, 1988). Our main tool will be an order-topological modification of the Dedekind-MacNeille completion. In addition, for a zero-dimensional totally ordered space X, we determine which order-compactifications of X are Priestley order-compactifications.  相似文献   

7.
We consider the three dimensional gravitational Vlasov Poisson system which is a canonical model in astrophysics to describe the dynamics of galactic clusters. A well known conjecture (Binney, Tremaine in Galactic Dynamics, Princeton University Press, Princeton, 1987) is the stability of spherical models which are nonincreasing radially symmetric steady states solutions. This conjecture was proved at the linear level by several authors in the continuation of the breakthrough work by Antonov (Sov. Astron. 4:859–867, 1961). In the previous work (Lemou et al. in A new variational approach to the stability of gravitational systems, submitted, 2011), we derived the stability of anisotropic models under spherically symmetric perturbations using fundamental monotonicity properties of the Hamiltonian under suitable generalized symmetric rearrangements first observed in the physics literature (Lynden-Bell in Mon. Not. R. Astron. Soc. 144:189–217, 1969; Gardner in Phys. Fluids 6:839–840, 1963; Wiechen et al. in Mon. Not. R. Astron. Soc. 223:623–646, 1988; Aly in Mon. Not. R. Astron. Soc. 241:15, 1989). In this work, we show how this approach combined with a new generalized Antonov type coercivity property implies the orbital stability of spherical models under general perturbations.  相似文献   

8.
Recently Gamarnik and Zeevi (Ann. Appl. Probab. 16:56–90, 2006) and Budhiraja and Lee (Math. Oper. Res. 34:45–56, 2009) established that, under suitable conditions, a sequence of the stationary scaled queue lengths in a generalized Jackson queueing network converges to the stationary distribution of multidimensional reflected Brownian motion in the heavy-traffic regime. In this work we study the corresponding problem in multiclass queueing networks (MQNs).  相似文献   

9.
For the Poisson line process the empirical polygon is defined thanks to ergodicity and laws of large numbers for some characteristics, such as the number of edges, the perimeter, the area, etc... One also has, still thanks to the ergodicity of the Poisson line process, a canonical relation between this empirical polygon and the polygon containing a given point. The aim of this paper is to provide numerical simulations for both methods: in a previous paper (Paroux, Advances in Applied Probability, 30:640–656, 1998) one of the authors proved central limit theorems for some geometrical quantities associated with this empirical Poisson polygon, we provide numerical simulations for this phenomenon which generates billions of polygons at a small computational cost. We also give another direct simulation of the polygon containing the origin, which enables us to give further values for empirical moments of some geometrical quantities than the ones that were known or computed in the litterature. This work was partially supported by the PSMN at ENS-Lyon.  相似文献   

10.
In classical extreme value theory probabilities of extreme events are estimated assuming all the components of a random vector to be in a domain of attraction of an extreme value distribution. In contrast, the conditional extreme value model assumes a domain of attraction condition on a sub-collection of the components of a multivariate random vector. This model has been studied in Heffernan and Tawn (JRSS B 66(3):497–546, 2004), Heffernan and Resnick (Ann Appl Probab 17(2):537–571, 2007), and Das and Resnick (2009). In this paper we propose three statistics which act as tools to detect this model in a bivariate set-up. In addition, the proposed statistics also help to distinguish between two forms of the limit measure that is obtained in the model.  相似文献   

11.
In this paper we study how to compute an estimate of the trace of the inverse of a symmetric matrix by using Gauss quadrature and the modified Chebyshev algorithm. As auxiliary polynomials we use the shifted Chebyshev polynomials. Since this can be too costly in computer storage for large matrices we also propose to compute the modified moments with a stochastic approach due to Hutchinson (Commun Stat Simul 18:1059–1076, 1989). In memory of Gene H. Golub.  相似文献   

12.
In this paper, we propose a new general method to compute rigorously global smooth branches of equilibria of higher-dimensional partial differential equations. The theoretical framework is based on a combination of the theory introduced in Global smooth solution curves using rigorous branch following (van den Berg et al., Math. Comput. 79(271):1565–1584, 2010) and in Analytic estimates and rigorous continuation for equilibria of higher-dimensional PDEs (Gameiro and Lessard, J. Diff. Equ. 249(9):2237–2268, 2010). Using this method, one can obtain proofs of existence of global smooth solution curves of equilibria for large (continuous) parameter ranges and about local uniqueness of the solutions on the curve. As an application, we compute several smooth branches of equilibria for the three-dimensional Cahn–Hilliard equation.  相似文献   

13.
The aim of this paper is to present the generalized biparabolic distribution (GBP) as a good candidate to be utilized as the distribution underlying to PERT methodology (Malcolm et al. in Oper. Res. 7:646–669, 1959). To do this and following the criteria established by Taha (Investigación de Operaciones, 1981) and Herrerías (Estudios de Economía Aplicada, pp. 89–112, 1989), we will compare the mean and variance estimates derived from each proposed density function, viz beta, two-sided power (TSP) and GBP distributions. Also we will compare the estimates contributed by the mesokurtic and of constant variance families of the aforementioned distributions. The main conclusion is that the GBP distribution is the most convenient to be used in the PERT methodology because its mean is almost as moderate as that of trapezoidal and its variance is much higher than that of the rest of distributions. As a consequence, it can be stated that the GBP distribution is an alternative to the other four-parameter distributions.  相似文献   

14.
We introduce a novel algorithm (JEA) to simulate exactly from a class of one-dimensional jump-diffusion processes with state-dependent intensity. The simulation of the continuous component builds on the recent Exact Algorithm (Beskos et al., Bernoulli 12(6):1077–1098, 2006a). The simulation of the jump component instead employs a thinning algorithm with stochastic acceptance probabilities in the spirit of Glasserman and Merener (Proc R Soc Lond Ser A Math Phys Eng Sci 460(2041):111–127, 2004). In turn JEA allows unbiased Monte Carlo simulation of a wide class of functionals of the process’ trajectory, including discrete averages, max/min, crossing events, hitting times. Our numerical experiments show that the method outperforms Monte Carlo methods based on the Euler discretization.  相似文献   

15.
We extend the applicability of the Gauss–Newton method for solving singular systems of equations under the notions of average Lipschitz–type conditions introduced recently in Li et al. (J Complex 26(3):268–295, 2010). Using our idea of recurrent functions, we provide a tighter local as well as semilocal convergence analysis for the Gauss–Newton method than in Li et al. (J Complex 26(3):268–295, 2010) who recently extended and improved earlier results (Hu et al. J Comput Appl Math 219:110–122, 2008; Li et al. Comput Math Appl 47:1057–1067, 2004; Wang Math Comput 68(255):169–186, 1999). We also note that our results are obtained under weaker or the same hypotheses as in Li et al. (J Complex 26(3):268–295, 2010). Applications to some special cases of Kantorovich–type conditions are also provided in this study.  相似文献   

16.
The polynomial birth–death distribution (abbreviated, PBD) on ℐ={0,1,2,…} or ℐ={0,1,2,…,m} for some finite m introduced in Brown and Xia (Ann. Probab. 29:1373–1403, 2001) is the equilibrium distribution of the birth–death process with birth rates {α i } and death rates {β i }, where α i ≥0 and β i ≥0 are polynomial functions of i∈ℐ. The family includes Poisson, negative binomial, binomial, and hypergeometric distributions. In this paper, we give probabilistic proofs of various Stein’s factors for the PBD approximation with α i =a and β i =i+bi(i−1) in terms of the Wasserstein distance. The paper complements the work of Brown and Xia (Ann. Probab. 29:1373–1403, 2001) and generalizes the work of Barbour and Xia (Bernoulli 12:943–954, 2006) where Poisson approximation (b=0) in the Wasserstein distance is investigated. As an application, we establish an upper bound for the Wasserstein distance between the PBD and Poisson binomial distribution and show that the PBD approximation to the Poisson binomial distribution is much more precise than the approximation by the Poisson or shifted Poisson distributions.   相似文献   

17.
In this paper, we study a variation of the equations of a chemotaxis kinetic model and investigate it in one dimension. In fact, we use fractional diffusion for the chemoattractant in the Othmar–Dunbar–Alt system (Othmer in J Math Biol 26(3):263–298, 1988). This version was exhibited in Calvez in Amer Math Soc, pp 45–62, 2007 for the macroscopic well-known Keller–Segel model in all space dimensions. These two macroscopic and kinetic models are related as mentioned in Bournaveas, Ann Inst H Poincaré Anal Non Linéaire, 26(5):1871–1895, 2009, Chalub, Math Models Methods Appl Sci, 16(7 suppl):1173–1197, 2006, Chalub, Monatsh Math, 142(1–2):123–141, 2004, Chalub, Port Math (NS), 63(2):227–250, 2006. The model we study here behaves in a similar way to the original model in two dimensions with the spherical symmetry assumption on the initial data which is described in Bournaveas, Ann Inst H Poincaré Anal Non Linéaire, 26(5):1871–1895, 2009. We prove the existence and uniqueness of solutions for this model, as well as a convergence result for a family of numerical schemes. The advantage of this model is that numerical simulations can be easily done especially to track the blow-up phenomenon.  相似文献   

18.
We consider a class of dynamic advertising problems under uncertainty in the presence of carryover and distributed forgetting effects, generalizing the classical model of Nerlove and Arrow (Economica 29:129–142, 1962). In particular, we allow the dynamics of the product goodwill to depend on its past values, as well as previous advertising levels. Building on previous work (Gozzi and Marinelli in Lect. Notes Pure Appl. Math., vol. 245, pp. 133–148, 2006), the optimal advertising model is formulated as an infinite-dimensional stochastic control problem. We obtain (partial) regularity as well as approximation results for the corresponding value function. Under specific structural assumptions, we study the effects of delays on the value function and optimal strategy. In the absence of carryover effects, since the value function and the optimal advertising policy can be characterized in terms of the solution of the associated HJB equation, we obtain sharper characterizations of the optimal policy.  相似文献   

19.
In dimension d ≥ 3, we present a general assumption under which the renewal theorem established by Spitzer (1964) for i.i.d. sequences of centered nonlattice r.v. holds true. Next we appeal to an operator-type procedure to investigate the Markov case. Such a spectral approach has been already developed by Babillot (Ann Inst Henri Poincaré, Sect B, Tome 24(4):507–569, 1988), but the weak perturbation theorem of Keller and Liverani (Ann Sc Norm Super Pisa CI Sci XXVIII(4):141–152, 1999) enables us to greatly weaken the moment conditions of Babillot (Ann Inst Henri Poincaré, Sect B, Tome 24(4):507–569, 1988). Our applications concern the v-geometrically ergodic Markov chains, the ρ-mixing Markov chains, and the iterative Lipschitz models, for which the renewal theorem of the i.i.d. case extends under the (almost) expected moment condition.  相似文献   

20.
We analyze left-truncated and right-censored (LTRC) data using semiparametric transformation models. It is demonstrated that the approach of Chen et al. (Biometrika 89: 659–668, 2002) can be extended to LTRC data. Furthermore, when covariates are discrete, similar to the approach of Cai and Cheng (Biometrika 91: 277–290, 2004), we propose an alternative estimator. A simulation study is conducted to investigate the performance of the proposed estimators.  相似文献   

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