离散抽样OU-复合Poisson过程的参数矩估计(英)

本文研究基于离散观测的正复合Poisson过程驱动OU型过程的参数估计. 通过矩估计给出了过程平稳分布参数的估计量,并得到了估计量的相合性和渐近正态性. 进一步,将矩估计的方法和结论推广到叠加过程的情况.     

变系数联立模型的局部线性广义矩变窗宽估计

在随机设计条件下,提出了一类变系数联立模型,运用局部线性广义矩变窗宽估计,对模型的变系数进行了估计,研究了估计量的大样本性质.利用概率论中大数定律和中心极限定理,证明了估计量的大样本性质,局部线性广义矩变窗宽估计具有相合性和渐进正态性.     

扩散过程瞬时波动率核估计的强相合性（英文）

资产价格的波动性是学者们十分关注的重要研究课题.近年来,学者们提出了许多波动率的估计方法,并研究了估计量的相合性和渐近正态性.本文重点研究了Kristensen[26]提出的NW型瞬时波动率核估计,指出其证明过程中存在的一些错误,并在合理的条件下进一步推导了估计量的强相合性和一致强相合性.     

随机设计非线性混合模型的统计分析

本文研究了个体观察次数为随机的非线性 混合效应模型中参数的点估计以及区间估计. 在仅给出适当的矩条件下, 给出了固定效应、随机效应的方差阵以及误差方差的矩估计, 并证明了估计量的相合性及渐近正态性. 为给出误差方差以及随机效应方差分量的置信区间, 本文也给出了误差及随机效应的四阶矩估计. 随机模拟说明了方法的有效性.     

基于联合估计方法的广义随机系数自回归模型的统计推断

本文利用联合估计函数方法(CEF)对广义随机系数自回归(GRCA)模型进行统计研究.应用联合估计函数方法得到广义随机系数自回归模型参数估计量,证明了提出的参数估计量的相合性和渐近正态性,利用数值模拟对提出的参数统计量进行对比分析,数值模拟结果表明,联合估计方法的参数估计量优于基于估计函数方法、伪极大似然方法、最小二乘方法的参数估计量,实证研究也说明CEF方法具有较好的效果.     

双因素误差成分的空间面板模型的参数估计

本文构造了比较一般化的双因素误差成分结构的空间面板数据模型,其中误差成分的设定为个体效应也存在空间相关性.基于广义矩估计方法,通过构造最优的工具变量,寻找合适的矩条件组和权重矩阵,讨论了模型的参数估计问题,并证明了估计量的相合性.通过随机模拟分析估计量的有限样本性质,结果表明加权矩估计量的渐近效果优于未加权矩估计量,并且模型参数的可行的广义二阶段最小二乘估计量的估计效果很好.     

三参数Ⅰ型广义Logistic分布参数的一类改进估计

广义Logistic分布族在生物、医学、金融管理,以及气象、水文、地质等领域有重要的应用。迄今为止,对此分布族的研究已取得了一系列重要成果;令人遗憾的是,关于三参数I型广义Logistic分布的研究还很不深入。本文利用矩法首先讨论三参数I型广义Logistic分布形状参数的估计,然后利用线性回归分析方法讨论分布的位置参数和刻度参数的估计,改进矩估计。本文所给出的分布参数的估计方法简单、有效;证明了在一定的条件下,本文给出的估计量存在、唯一,且模拟显示:估计量在中小样本情形下,一致优于分布参数的矩估计和L矩估计;特别是在样本容量n介于20和30之间时,估计量有更小的估计偏差和方差。估计方法简单、实用且有效。     

α-混合的部分线性EV模型的矩收敛性

本文研究误差为α-混合的部分线性EV模型的矩收敛性问题.利用小波估计和修正最小二乘法,给出了参数和非参数部分的小波估计量,获得了小波估计量的矩收敛速度,推广了现有的一些结论.     

扩散模型中扩散系数的非参数组合估计

为了提高扩散系数估计的准确度, 我们利用动态组合时间域与状态域信息提出一个新的组合估计量. 我们发现所提组合估计量能有效估计扩散模型的扩散系数, 正如在本文中模拟所示. 在一定的条件下, 建立了估计量的渐进正态性, 并证明了时间域估计量与状态域估计量是渐进独立的. 大量的模拟展示了所提组合估计量优于单域估计量, 也优于本文所提估计量.     

一类非参数回归模型核估计的渐近性质

研究一类新的非参数回归模型回归函数的核估计问题,其中误差项为一阶非参数自回归方程.通过重复利用Watson-Nadaraya核估计方法,构造了回归函数及误差回归函数的估计量分别为m(.)和ρ(.),在适当的条件下,证明了估计量m(.)和ρ(.)的渐近正态性.     

Biorthogonal multiple wavelets generated by vector refinement equation

Biorthogonal multiple wavelets are generated from refinable function vectors by using the multiresolution analysis.In this paper we provide a general method for the construction of compactly supported biorthogonal multiple wavelets by refinable function vectors which are the solutions of vector refinement equations of the form (?)(x)=(?)a(α)(?)(Mx-α),x∈R~s, where the vector of functions(?)=((?)_1,...,(?)_r)~T is in(L_2(R~s))~r,a=:(a(α))_(α∈Z~s)is a finitely supported sequence of r×r matrices called the refinement mask,and M is an s×s integer matrix such that lim_(n→∞)M~(-n)=0.Our characterizations are in the general setting and the main results of this paper are the real extensions of some known results.     

How big are the increments of lp-valued Gaussian processes?

Let be a sequence of independent Gaussian processes with (h) Put . The large increments forY(·) with bounded σ(p, h) are investigated. As an example the large increments of infinite-dimensional fractional Ornstein-Uhlenbeck process in I^P are given. The method can also be applied to certain processes with stationary increments. Project supported by the National Natural Science Foundation of China and the Natural Science Foundation of Zhejiang Province.     

�лָ������ɷ�֧���̵�Feller����

首先, 当$Q$是一个拟单调的q矩阵的时候, 我们找出最小的$Q$函数是一个Feller的转移函数的准则. 然后我们把这个结论应用于生成分支q矩阵并得到相应的生成分支过程的Feller准则. 特别地, 设$\theta$是分支q矩阵中的非线性数, 总是存在一个分点$\theta_0$满足$1\leq\theta_0\leq2$或$\theta_0<+\infty$使得 生成分支过程是否是Feller的要依据$\theta<\theta_0$或者$\theta>\theta_0$.     

Construction of convex solutions for the second type of Feigenbaum’s functional equations

In this paper, convex solutions for the second type of Feigenbaum’s equation f (x) = λ1 f (f (λx)), 0 < λ < 1, f (0) = 1, 0 f (x) 1, x ∈ [0, 1] are investigated. Using constructive methods, we discuss the existence and uniqueness of continuous convex solutions, C1-convex solutions and C2-convex solutions of the above equation.     

On Homogeneous Differential Polynomials of Meromorphic Functions

In this paper, we study one conjecture proposed by W. Bergweiler and show that any transcendental meromorphic functions f(z) have the form exp(αz+β) if f(z)f″(z)–a(f′ (z))²≠0, where . Moreover, an analogous normality criterion is obtained. Supported by National Natural Science Foundation and Science Technology Promotion Foundation of Fujian Province (2003)     

Asymptotic expansions of the distributions of some test statistics

Summary A modified Wald statistic for testing simple hypothesis against fixed as well as local alternatives is proposed. The asymptotic expansions of the distributions of the proposed statistic as well as the Wald and Rao statistics under both the null and alternative hypotheses are obtained. The powers of these statistics are compared and its is shown that for special structures of parameters some statistics have same power in the sence of order . The results obtained are applied for testing the hypothesis about the covariance matrix of the multivariate normal distribution and it is shown that none of the tests based on the above statistics is uniformly superior. Research supported by the National Science Foundation Grant MCS 830149.     

Stochastic processes with independent increments for random mappings

Using additive functions defined on the combinatorial structure of all mappings of anN set into itself, we define paths in the space endowed with the Skorokhod topology. Taking a mapping with equal probability, we get a sequence of random processes. Necessary and sufficient conditions for the weak convergence of this sequence to a stochastic process with independent increments are established. It is shown that the class of such processes contains all possible limits, provided that, on the components of a mapping, the additive functions have values small in average. Partially supported by the Lithuanian State Science and Studies Foundation. Vilnius University, Naugarduko 24, 2006 Vilnius, Lithuania. Translated from Lietuvos Matematikos Rinkinys, Vol. 39, No. 4, pp. 498–516, October–December, 1999. Translated by E. Manstavičius     

Packing measure functions of subordinators sample paths

X(t) (t∉[0,∞)) is a subordinator with its upper index β less than one, g(u) is the index function ofX(t), andX(t), andX[0,1]={xϕR:X(t)=x} for sometϕ[0,1]{. If φ(s)(sϕ(0,1)) is a measure function andh , then

Limits at Infinity of Superharmonic Functions and Solutions of Semilinear Elliptic Equations of Matukuma Type

In an unbounded domain Ω in ℝ ⁿ (n ≥ 2) with a compact boundary or Ω = ℝ ⁿ , we investigate the existence of limits at infinity of positive superharmonic functions u on Ω satisfying a nonlinear inequality like as

A note on solutions for asymptotically linear elliptic systems

In this paper, we are concerned with the elliptic system of
{ -△u＋V（x）u=g（x,v）, x∈R^N,
-△v＋V（x）v=f（x,u）, x∈R^N,
where V（x） is a continuous potential well, f, g are continuous and asymptotically linear as t→∞. The existence of a positive solution and ground state solution are established via variational methods.