Fluctuation Theory for Markov Random Walks

Two fundamental theorems by Spitzer–Erickson and Kesten–Maller on the fluctuation-type (positive divergence, negative divergence or oscillation) of a real-valued random walk \((S_{n})_{n\ge 0}\) with iid increments \(X_{1},X_{2},\ldots \) and the existence of moments of various related quantities like the first passage into \((x,\infty )\) and the last exit time from \((-\infty ,x]\) for arbitrary \(x\ge 0\) are studied in the Markov-modulated situation when the \(X_{n}\) are governed by a positive recurrent Markov chain \(M=(M_{n})_{n\ge 0}\) on a countable state space \(\mathcal {S}\); thus, for a Markov random walk \((M_{n},S_{n})_{n\ge 0}\). Our approach is based on the natural strategy to draw on the results in the iid case for the embedded ordinary random walks \((S_{\tau _{n}(i)})_{n\ge 0}\), where \(\tau _{1}(i),\tau _{2}(i),\ldots \) denote the successive return times of M to state i, and an analysis of the excursions of the walk between these epochs. However, due to these excursions, generalizations of the aforementioned theorems are surprisingly more complicated and require the introduction of various excursion measures so as to characterize the existence of moments of different quantities.     

A Path Transformation and its Applications to Fluctuation Theory

We first establish a combinatorial result on deterministic realchains. This is then applied to prove a path transformationfor chains with exchangeable increments. From this transformationwe derive an identity on order statistics due to Port, togetherwith some extensions. Then we give an interpretation of theseresults in continuous time. We extend some identities involvingquantiles and occupation times for processes with exchangeableincrements. In particular, this yields an extension of the uniformlaw for bridges obtained by Knight.     

考虑情绪波动的关联价值拍卖模型研究

将考虑参考点的效用函数引入关联私人价值拍卖模型,证明了在APV中,竞拍人整体情绪的波动不会改变卖方对拍卖方式的选择,推广了最优拍卖价的相关研究结论;用数值运算的方法说明了在独立私人价值模型中,竞拍人整体情绪的波动可能引起最优保留价的较大波动,而在考虑关联性的私人价值模型中,竞拍人整体情绪的波动可能导致最优保留价的跳跃行为.     

基于随机时滞模型的学习成绩波动规律

依据学习机制和教育心理学、认知心理学等有关研究成果,运用动力系统、随机过程等理论,构建描述学习成绩变化的随机时滞模型,并通过模型动力学性态的研究来揭示学习成绩波动特性,预测学习成绩对学习系统中内外因素的反应,分析造成学习成绩波动的原因,探讨相应的教学干预策略.结果表明,学习成绩波动是由4种动力学模式主导;学习成绩对学习系统内外因素具有高度的敏感性.这将从理论上加深对认知涌现机制的认识,并对于拓展和改进教学思维有积极意义.     

中国黄金期货市场波动特征及模型预测研究

选取上海期货交易所黄金期货价格指数日内10分钟高频收益数据,构造了经调整的已实现极差波动率估计序列,利用6类GARCH模型建模分析,描述了黄金期货价格指数的波动特征.运用多种损失函数比较了GARCH类模型样本外波动率预测精度的优劣,并在此基础上,采用一种渐进正态分布检验法评估了GARCH类模型的预测效果.结果显示,黄金期货已实现极差波动率估计序列具有尖峰厚尾、集聚性、持续性等特征.对于黄金期货市场,ACD-GARCH模型具有相对最好的波动率预测能力.     

大规模数据下子抽样模型平均估计理论

随着信息时代的来临,如何从海量数据中快速、有效地挖掘有用信息是目前面临的新挑战.子抽样方法作为大规模数据分析的有效工具,已经受到国内外学者的广泛关注.不过,传统的子抽样方法通常没有考虑到模型的不确定性.当模型假设不正确时,后面的统计推断将会出现偏差,甚至导致错误的结论.为了解决该问题,文章利用频率模型平均的方法构建了子抽样模型平均估计(简称SSMA估计).理论上,文章证明了SSMA估计是全部数据下模型平均估计的一个渐近无偏且相合的估计.另外,我们基于Hansen (2007)的Mallows模型平均方法提出了SSMA估计的权重选择准则,并证明了方差已知和未知时权重估计的渐近最优性.在这些理论性质的研究中,文章同时考虑了模型和抽样设计带来的双重随机性.最后,数值分析进一步说明了所提出方法的有效性.     

风电功率波动特性的概率分布模型研究

为保证电网安全稳定运行,在大规模风电并网运行控制过程中,准确构建风电出力波动特性的概率分布模型具有重要意义.基于数据驱动的方法,采用加权高斯混合概率分布模型来拟合大规模风电基地的波动特性,模型拟合参数可采用基于期望最大化(Expectation Maximization,EM)的极大似然估计算法来获得,并提出了拟合评价...     

股票价格波动的塑性性质及模型探讨

首先基于股票价格和成交量，根据股票的量价规律，分析了股价波动的塑性性质；然后使用计量经济学方法建立描述股价波动的塑性模型，包括股价塑性基本模型、基本模型的一阶自回归模型、幂指数模型及幂指数模型的一阶自回归模型，基于12支样本股对这些模型进行参数估计和检验；最后对4种形式的股价塑性模型进行了总结。由4种模型均能够通过经济学检验和统计学检验可知股价波动具有塑性性质，且幂指数模型描述股价塑性较为科学、合理。     

基于非均衡理论研究国际石油价格波动对中国经济的影响

国际石油价格波动对中国经济的影响越来越受到人们的关注。基于现代经济学非均衡理论,根据道格拉斯生产函数找出石油价格波动对中国经济的影响作用机制。通过研究发现石油价格与经济增长、石油生产资料价格之间存在一定关系;然后又运用约翰森"协整"检验方法检验变量之间可能存在的协整方程的个数;最后利用包含一个协整约束的向量误差修正模型(VECM)分析石油价格波动对中国经济的影响。研究结果表明:从长期来看,石油价格上涨对中国经济增长具有负面的效应,而从短期来看,石油价格上涨对中国经济的增长有一定的刺激作用。     

Model Selection for Regularized Least-Squares Algorithm in Learning Theory

We investigate the problem of model selection for learning algorithms depending on a continuous parameter. We propose a model selection procedure based on a worst-case analysis and on a data-independent choice of the parameter. For the regularized least-squares algorithm we bound the generalization error of the solution by a quantity depending on a few known constants and we show that the corresponding model selection procedure reduces to solving a bias-variance problem. Under suitable smoothness conditions on the regression function, we estimate the optimal parameter as a function of the number of data and we prove that this choice ensures consistency of the algorithm.     

利用连续渗流理论构造股市指标波动模型及其讨论

本文引用连续渗流理论构造了股票市场指数波动模型,得到其特征函数收敛于Levy过程这一结论.并且在模型中也体现出了市场波动的"宽尾"现象.     

基于逻辑关系的数学模型—逻辑模型的理论与分析

用数学模型研究实际问题是现代科学研究的常用方法.通常采用的数学模型是各种方程.但是使用方程作为研究手段也存在着许多问题,例如无法应用于不可计算的或者不具有数量概念的实际情况中,这样许多问题无法加以讨论.以命题为基础,通过数理逻辑的概念和方法,建立了具有实际意义的逻辑模型的一般理论,分析了逻辑模型的一些基本性质.逻辑模型可以看成传统模型的一种推广.     

Asymptotic Theory for the Gamma Frailty Model with Dependent Censoring

In many clinical studies, there are two dependent event times with one of the events being terminal, such as death, and the other being nonfatal, such as myocardial infarction or cancer relapse. Morbidity can be dependently censored by mortality, but not vice versa. Asymptotic theory is developed for simultaneous estimation of the marginal distribution functions in this semi-competing risks setting. We specify the joint distribution of the event times in the upper wedge, where the nonfatal event happens before the terminal event, with the popular gamma frailty model. The estimators are based on an adaptation of the self-consistency principle. To study their properties, we employ a modification of the functional delta-method applied to Z-estimators. This approach to weak convergence leads naturally to asymptotic validity of both the nonparametric and multiplier bootstraps, facilitating inference in spite of the complexity of the limiting distribution.     

Closed Simplicial Model Structures for Exterior and Proper Homotopy Theory

The notion of exterior space consists of a topological space together with a certain nonempty family of open subsets that is thought of as a system of open neighbourhoods at infinity while an exterior map is a continuous map which is continuous at infinity. The category of spaces and proper maps is a subcategory of the category of exterior spaces.In this paper we show that the category of exterior spaces has a family of closed simplicial model structures, in the sense of Quillen, depending on a pair {T,T} of suitable exterior spaces. For this goal, for a given exterior space T, we construct the exterior T-homotopy groups of an exterior space under T. Using different spaces T we have as particular cases the main proper homotopy groups: the Brown–Grossman, erin–Steenrod, p-cylindrical, Baues–Quintero and Farrell–Taylor–Wagoner groups, as well as the standard (Hurewicz) homotopy groups.The existence of this model structure in the category of exterior spaces has interesting applications. For instance, using different pairs {T,T}, it is possible to study the standard homotopy type, the homotopy type at infinity and the global proper homotopy type.     

A Shared Framework for Consequence Operations and Abstract Model Theory

In this paper we develop an abstract theory of adequacy. In the same way as the theory of consequence operations is a general theory of logic, this theory of adequacy is a general theory of the interactions and connections between consequence operations and its sound and complete semantics. Addition of axioms for the connectives of propositional logic to the basic axioms of consequence operations yields a unifying framework for different systems of classical propositional logic. We present an abstract model-theoretical semantics based on model mappings and theory mappings. Between the classes of models and theories, i.e., the set of sentences verified by a model, it obtains a connection that is well-known within algebra as Galois correspondence. Many basic semantical properties can be derived from this observation. A sentence A is a semantical consequence of T if every model of T is also a model of A. A model mapping is adequate for a consequence operation if its semantical inference operation is identical with the consequence operation. We study how properties of an adequate model mapping reflect the properties of the consequence operation and vice versa. In particular, we show how every concept of the theory of consequence operations can be formulated semantically.     

Fluctuation analysis for the loss from default

We analyze the fluctuation of the loss from default around its large portfolio limit in a class of reduced-form models of correlated firm-by-firm default timing. We prove a weak convergence result for the fluctuation process and use it for developing a conditionally Gaussian approximation to the loss distribution. Numerical results illustrate the accuracy and computational efficiency of the approximation.