The Hill estimators under power normalization

By using the link between the affine and the power norming, eight Hill estimators under power normalization for the tail index (the non-zero extreme value index) are suggested. Moreover, more compact and adaptive four Hill estimators under power normalization are derived based on the generalized Pareto distributions under power normalization. Two classes of harmonic t-Hill estimators under power normalization are also suggested. A comprehensive simulation study using the R-package shows that all the suggested estimators under power normalization work well, but in all cases the Hill estimators under power normalization based on Pareto distributions under power normalization are better. The two models under linear and power normalization for extreme value analysis are applied with comparison on a real data set of two pollutants, Sulphur Dioxide and Particulate Matter.     

Interactions between investment timing and management effort under asymmetric information: Costs and benefits of privatized firms

In this paper, we examine the interactions between investment timing and management effort in the presence of asymmetric information between the owner and the manager where the manager has an informational advantage. We find that investment timing is later under asymmetric information than under full information, implying a decrease in the value of equity option. However, in order to minimize any distortion under underinvestment, management effort is greater under asymmetric information than under full information. We show that there are trade-offs in the efficiencies of investment timing and management effort under asymmetric information. These results fit well with the findings of past empirical studies concerning the costs and benefits of privatized firms.     

On estimation in multivariate linear calibration with elliptical errors

The estimation problem in multivariate linear calibration with elliptical errors is considered under a loss function which can be derived from the Kullback-Leibler distance. First, we discuss the problem under normal errors and give unbiased estimate of risk of an alternative estimator by means of the Stein and Stein-Haff identities for multivariate normal distribution. From the unbiased estimate of risk, it is shown that a shrinkage estimator improves on the classical estimator under the loss function. Furthermore, from the extended Stein and Stein-Haff identities for our elliptically contoured distribution, the above result under normal errors is extended to the estimation problem under elliptical errors. We show that the shrinkage estimator obtained under normal models is better than the classical estimator under elliptical errors with the above loss function and hence we establish the robustness of the above shrinkage estimator.     

Noether’s Theorem for Constrained Hamiltonian System Under Generalized Operators北大核心CSCD

Noether’s symmetry and conserved quantity of singular systems under generalized operators were studied. Firstly, the Lagrangian equation of singular systems under generalized operators was established, and the primary constraints on the system were derived. Then the Lagrangian multiplier was introduced to establish the constrained Hamilton equation and the compatibility condition under generalized operators. Secondly, based on the invariance of the Hamilton action under the infinitesimal transformation, Noether’s theorem for constrained Hamiltonian systems under generalized operators was established, and the symmetry and corresponding conserved quantity of the system were given. Under certain conditions, Noether’s conservation of constrained Hamiltonian systems under generalized operators can be reduced to Noether’s conservation of integer-order constrained Hamiltonian systems. Finally, an example illustrates the application of the results. © 2022 Editorial Office of Applied Mathematics and Mechanics. All rights reserved.     

线性等式约束下基本线性模型最佳线性无偏预测值的一些评论

In this paper, we give the representation of the best linear unbiased predictor(BLUP)of the new observations under M_r_f. Through the representation, we give necessary and sufficient conditions that the estimators, OLSEs(ordinary least squares estimators) and BLUEs(best linear unbiased estimators), under M_f and M_r_f, and the predictor, BLUP, under M_f continue to be the BLUP under M_r_f, respectively.     

Enlarged filtrations and indistinguishable processes

Abstract

We study modification properties of stochastic processes under different probability measures in an initially enlarged filtration setup. For this purpose, we consider several pure-jump Lévy processes under two equivalent probability measures and derive the associated martingale compensators with respect to different enlarged filtrations. As our main result, we prove that the obtained martingale processes under different probability measures in our enlarged filtration approach are indistinguishable. In addition, we provide a condition under which the pure-jump result can be carried over to the Brownian motion case. In this context, we show how indistinguishable Brownian motions under different probability measures can be constructed in an enlarged filtration framework. We finally apply our theoretical results to precipitation derivatives pricing under weather forecasts.     

相依数据下一般函数核估计的一致收敛速度

不论数据是独立的还是相依的,在非参数和半参数模型中,都涉及到对未知均值函数或者对某函数的未知条件期望的估计.本文针对这一问题,在比较弱的条件下,给出在数据是α-混合相依时一般函数的条件数学期望的估计,并讨论了它的一致收敛速度.     

Log-logistic parameters estimation using moving extremes ranked set sampling design

In statistical parameter estimation problems, how well the parameters are estimated largely depends on the sampling design used. In the current paper, a modification of ranked set sampling(RSS) called moving extremes RSS(MERSS) is considered for the estimation of the scale and shape parameters for the log-logistic distribution. Several traditional estimators and ad hoc estimators will be studied under MERSS. The estimators under MERSS are compared to the corresponding ones under SRS. The simulation results show that the estimators under MERSS are significantly more efficient than the ones under SRS.     

优良抽样设计下Logistic分布中参数的极大似然估计

当研究目标的实际测量具有不可修复的破坏性或耗资巨大时,有效的抽样设计将是一项重要的研究课题.在统计推断方面,排序集抽样(RSS)被视为一种比简单随机抽样(SRS)更为有效的收集数据的方式.动态极值RSS (MERSS)是一种修正的RSS.文章在SRS和MERSS下研究了Logistic分布中参数的极大似然估计(MLEs).在这两种抽样下证明了该分布中位置参数和刻度参数的MLEs的存在性和唯一性,并计算了所含参数的Fisher信息量和Fisher信息矩阵.比较了这两种抽样下对应估计的渐近效率.数值结果表明MERSS下的MLEs一致优于SRS下的MLEs.     

随机需求下三度价格歧视重复博弈的研究

基于随机需求函数,讨论了相互竞争的两厂商实施三度价格歧视无限次重复博弈和不定次重复博弈的均衡分析,在三度价格歧视无限次重复博弈分析中,得出了两厂商在贴现因子影响下的子博弈完美纳什均衡.在三度价格歧视不定次重复博弈分析中,设计了不同的方案并进行了Matlab仿真,比较了不同贴现因子下不同仿真方案的厂商得益,并对仿真结果进行了系统分析,得到了统计意义下的均衡分析.     

Geometric Models for Quasicrystals II. Local Rules Under Isometries

The atomic structures of quasicrystalline materials exhibit long range order under translations. It is believed that such materials have atomic structures which approximately obey local rules restricting the location of nearby atoms. These local constraints are typically invariant under rotations, and it is of interest to establish conditions under which such local rules can nevertheless enforce order under translations in any structure that satisfies them. A set of local rules in is a finite collection of discrete sets {Y _i } containing 0, each of which is contained in the ball of radius ρ around 0 in . A set X satisfies the local rules under isometries if the ρ -neighborhood of each is isometric to an element of . This paper gives sufficient conditions on a set of local rules such that if X satisfies under isometries, then X has a weak long-range order under translations, in the sense that X is a Delone set of finite type. A set X is a Delone set of finite type if it is a Delone set whose interpoint distance set X-X is a discrete closed set. We show for each minimal Delone set of finite type X that there exists a set of local rules such that X satisfies under isometries and all other Y that satisfy under isometries are Delone sets of finite type. A set of perfect local rules (under isometries or under translations, respectively) is a set of local rules such that all structures X that satisfy are in the same local isomorphism class (under isometries or under translations, respectively). If a Delone set of finite type has a set of perfect local rules under translations, then it has a set of perfect local rules under isometries, and conversely. Received February 14, 1997, and in revised form February 14, 1998, February 19, 1998, and March 5, 1998.     

On the matrix completion problem for multivariate filter bank construction

We survey the main techniques for the construction of multivariate filter banks and present new results about special matrices of order four and eight suitable for their construction. Qiuhui Chen: Supported in part by NSFC under grant 10201034 and project-sponsored by SRF for ROCS, SEM. Charles A. Micchelli: Supported in part by the US National Science Foundation under grant CCR-0407476. Yuesheng Xu: All correspondence to this author. Supported in part by the US National Science Foundation under grant CCR-0407476, by the Natural Science Foundation of China under grant 10371122 and by the Chinese Academy of Sciences under the program “One Hundred Distinguished Chinese Young Scientists”.     

逆向选择下的委托—代理模型分析

分别讨论了在对称信息和逆向选择下,保险代理人的类型是离散和连续情形时激励合同设计问题,得出如下主要结论:保险人在对称信息和逆向选择下要求最高效率的代理人的努力水平相同,且在逆向选择下的支付更多,然而对其他类型的代理人而言,在逆向选择下要求的努力水平和所支付比在对称信息条件下都要少些.     

一类带扩散项的HIV模型的平衡解的稳定性分析

研究了一类齐次Neumann边界条件下带扩散项的HIV模型.运用赫尔维茨判定定理得出正常数平衡解在一定条件下的局部渐近稳定性;当游离病毒达到一定量时,通过构造Lyapunov函数得出正常数平衡解全局稳定的条件.     

Robust Stabilization by Dynamic Combined State and Output Feedback Compensator for Nonlinear Systems with Jumps

This paper deals with the robustness of the class of nonlinear systems with Markovian jumping parameters and unknown but bounded uncertainties. Under the assumption that the Markovian jump process (disturbance) is irreducible and under complete access to the system state and its mode, we establish robust stability results in two cases: (i) under matching conditions; and (ii) under bounded uncertainties.Research of this author was supported by the Natural Sciences and Engineering Research Council of Canada under Grant OGP0036444     

产品显性防伪技术(OACT)投资的供应链决策机制研究

以OACT防伪体系为研究对象,研究了供应链中品牌厂商及零售商的防伪投资决策机制。建立了产品品牌商与零售商的防伪技术投资决策非合作、决策合作及供应链整合三种决策机制下的博弈模型,得到了三种机制下的均衡防伪可信度、均衡防伪投资阈值以及均衡利润,并进行了比较分析。最后,建立了产品显性防伪技术的供应链防伪投资HSN契约协调机制。研究发现均衡防伪可信度始终随市场假货渗透率的增加而增加,随防伪投资成本系数增加而减少。同时均衡防伪可信度在投资非合作决策机制下最低,在投资合作决策机制下次之,供应链整合情形下最高;均衡防伪投资阈值在非合作决策机制下最低,投资合作情形下次之,供应链整合情形下最高。     

Stable Relaxation Cycle in a Bilocal Neuron Model

We consider the so-called bilocal neuron model, which is a special system of two nonlinear delay differential equations coupled by linear diffusion terms. The system is invariant under the interchange of phase variables. We prove that, under an appropriate choice of parameters, the system under study has a stable relaxation cycle whose components turn into each other under a certain phase shift.     

Optimization of Polynomial Fractional Functions

A new approach is proposed for optimizing a polynomial fractional function under polynomial constraints, or more generally, a synomial fractional function under synomial constraints. The approach is based on reformulating the problem as the optimization of an increasing function under monotonic constraints.     

Tridiagonal canonical matrices of bilinear or sesquilinear forms and of pairs of symmetric,skew-symmetric,or Hermitian forms

Tridiagonal canonical forms of square matrices under congruence or *congruence, pairs of symmetric or skew-symmetric matrices under congruence, and pairs of Hermitian matrices under *congruence are given over an algebraically closed field of characteristic different from 2.