Random Coefficient GARCH(1,1) Model With i.i.d. Coefficients

We introduce the GARCH(1,1) model with random i.i.d. coefficients. Conditions for the existence of a stationary solution of a random coefficient GARCH(1,1) equation are obtained. They generalize the well-known results of Nelson [14] and Terasvirta [18] in the case of constant (nonrandom) coefficients.__________Published in Lietuvos Matematikos Rinkinys, Vol. 44, No. 4, pp. 467–480, October–December, 2004.     

Garch(1,1) process can have arbitrarily heavy power tails

We study the structure of solutions of Kesten’s equation (1.5), where a, b ⩾ 0 are the coefficients of the GARCH(1,1) process in (1.1). We prove that, for any b ∈ (0, 1) and any κ > 0 small enough, there exists a stationary GARCH(1,1) process with tail index κ. The research was partially supported by the bilateral France-Lithuania scientific project Gilibert and the Lithuanian State Science and Studies Foundation, grant no. T-15/07. Published in Lietuvos Matematikos Rinkinys, Vol. 47, No. 2, pp. 196–210, April–June, 2007.     

On the rate of convergence of <Emphasis Type="Italic">L</Emphasis><Subscript><Emphasis Type="Italic">p</Emphasis></Subscript> norms in the CLT for poisson and gamma random variables

In the paper, we present upper bounds of L _p norms of order ( X)^-1/2 for all 1 ≤ p ≤ ∞ in the central limit theorem for a standardized random variable (X− X)/ √ X, where a random variable X is distributed by the Poisson distribution with parameter λ > 0 or by the standard gamma distribution Γ(α, 0, 1) with parameter α > 0. The research was partially supported by the Lithuanian State Science and Studies Foundation, grant No. T-70/09.     

On the properties of small sample of GM(1,1) model

In grey prediction modeling, the more samples selected the more errors. This paper puts forward new explanations of “incomplete information and small sample” of grey systems and expands the suitable range of grey system theory. Based on the geometric sequence, it probes into the influence on the relative errors by selecting the different sample sizes. The research results indicate that to the non-negative increasing monotonous exponential sequence, the more samples selected, the more average relative errors. To the non-negative decreasing monotonous exponential sequence, a proper sample number exists that has the least average relative error. When the initial value of the sequence of raw data of new information GM(1,1) model changes, the development coefficient remains unchanged. The segmental correction new information GM(1,1) model (SNGM) can obviously improve the simulation accuracy. It puts forward the mathematic proofs that the small sample usually has more accuracy than the large sample when establishing GM(1,1) model in theory.     

On C1, C2, and weak type-(1,1) estimates for linear elliptic operators

We show that any weak solution to elliptic equations in divergence form is continuously differentiable provided that the modulus of continuity of coefficients in the L¹-mean sense satisfies the Dini condition. This in particular answers a question recently raised by Yanyan Li and allows us to improve a result of Haïm Brezis. We also prove a weak type-(1,1) estimate under a stronger assumption on the modulus of continuity. The corresponding results for nondivergence form equations are also established.     

A Lower Bound of <Emphasis Type="Italic">L</Emphasis><Subscript><Emphasis Type="Italic">p</Emphasis></Subscript> Norms in the CLT for Strongly Mixing Random Variables

We derive a lower bound of L _p norms, 1 ⩽ p ⩽ ∞, in the central limit theorem for strongly mixing random variables X ₁,..., X _n with under the boundedness condition ℙ{|X _i | ⩽ M} = 1 with a nonrandom constantM > 0 and condition ∑ _r⩾1 r ²α(r) < ∞, where α(r) are the Rosenblatt strong mixing coefficients. __________ Translated from Lietuvos Matematikos Rinkinys, Vol. 45, No. 4, pp. 587–602, October–December, 2005.     

On the discounted global CLT for some weakly dependent random variables

In this paper, we consider L ₁ upper bounds in the global central limit theorem for the sequence of r.v.’s (not necessarily stationary) satisfying the ψ-mixing condition. In a particular case, under the finiteness of the third absolute moments of summands A _i and that of the series ∑ _r⩾1 r ² φ(r), we obtain bounds of order O(n ^−1/2) for Δ _n1:= ∫ _−∞ ^∞ |ℙ{A ₁ + ⋯ + A _n < x} − Φ(x)|dx, where is the standard normal distribution function, and ψ is the function participating in the definition of the ψ-mixing condition. Moreover, we apply the obtained results to get the convergence rate in the so-called discounted global CLT for a sequence of r.v.’s, satisfying the ψ-mixing condition. The bounds obtained provide convergence rates in the discounted global CLT of the same order as in the case of i.i.d. summands with a finite third absolute moment, i.e., of order O((1 − υ)^1/2), where υ is a discount factor, 0 < υ < 1. Published in Lietuvos Matematikos Rinkinys, Vol. 46, No. 4, pp. 584–597, October–December, 2006.     

Bessel (Riesz) potentials on banach function spaces and their applications I theory

In this paper, we shall introduce the concept of the Bessel (Riesz) potential Köthe function spacesX ^s (X ^s ) and give some dual estimates for a class of operators determined by a semi-group in the spacesL ^q (?T, T; X ^s ) (L ^q (?T, T; X ^s )). Moreover, some time-spaceL ^p ?L ^p′ estimates for the semi-group exp(it(-Δ) ^m/2) and the operatorA:=∫ ₀ ^t exp(i(t-τ)(-Δ) ^m/2)·dτ in the Lebesgue-Besov spacesL ^q (?T,T;B _p,2 ^s are given. On the basis of these results, in a subsequent paper we shall present some further applications to a class of nonlinear wave equations.     

On the Rate of Convergence of Lp Norms in the Central Limit Theorem for Independent Random Variables

We present the upper and lower bounds of the L _p norms _np of order n ^-1 for all p, 1 p , in the central limit theorem for independent identically distributed random variables with the finite fourth and zero first and third moments of summands. The proof of the upper estimates of the norms _np is based on a linear differential equation formed from the characteristic function of the sum of independent random variables.     

A New Construction of Central Relative (p a , p a , p a , 1)-Difference Sets

Semiregular relative difference sets (RDS) in a finite group E which avoid a central subgroup C are equivalent to orthogonal cocycles. For example, every abelian semiregular RDS must arise from a symmetric orthogonal cocycle, and vice versa. Here, we introduce a new construction for central (p ^a , p ^a , p ^a , 1)-RDS which derives from a novel type of orthogonal cocycle, an LP cocycle, defined in terms of a linearised permutation (LP) polynomial and multiplication in a finite presemifield. The construction yields many new non-abelian (p ^a , p ^a , p ^a , 1)-RDS. We show that the subset of the LP cocycles defined by the identity LP polynomial and multiplication in a commutative semifield determines the known abelian (p ^a , p ^a , p ^a , 1)-RDS, and give a second new construction using presemifields.We use this cohomological approach to identify equivalence classes of central (p ^a , p ^a , p ^a , 1)-RDS with elementary abelian C and E/C. We show that for p = 2, a 3 and p = 3, a 2, every central (p ^a , p ^a , p ^a , 1)-RDS is equivalent to one arising from an LP cocycle, and list them all by equivalence class. For p = 2, a = 4, we list the 32 distinct equivalence classes which arise from field multiplication. We prove that, for any p, there are at least a equivalence classes of central (p ^a , p ^a , p ^a , 1)-RDS, of which one is abelian and a – 1 are non-abelian.     

On Korovkin Type Theorem in the Space of Locally Integrable Functions

It is shown that a Korovkin type theorem for a sequence of linear positive operators acting in weighted space L _p,w (loc) does not hold in all this space and is satisfied only on some subspace.     

GM(1,1)模型的理论缺陷及其基于时间响应函数的优化分析

分析了GM(1,1)预测模型存在的理论缺陷和禁区,指出在形成预测模型时规定X^(1)(1)为已知条件是不合理的,应根据实际情况选用其他数据.构建了基于时间响应函数的优化模型,按照变化系数阀值,界定了优化模型的有效区.经过数值模拟,发现优化的GM(1,1)模型优于传统GM(1,1)模型,因此,提出的新的优化模型,为提高GM(1,1)模型预测精度提供了新的途径.     

On Lower Bounds for Lp Norms in the Central Limit Theorem for Independent and m-Dependent Random Variables

We derive lower bounds for L_p norms , in the central limit theorem for independent and m–dependent random variables with finite fifth order absolute moments and for independent and m–dependent identically distributed random variables with fourth order moments.     

非等间距NGM(1,1,k)模型及其应用

针对近似非齐次指数律的非等间距序列预测问题,提出了一种非等间距NGM(1,1,k)模型.为进一步提高模型的预测精度,利用线性插值方法对模型的背景值进行重构,以平均相对误差最小化为目标,建立了关于插值系数的优化模型,并运用穷举算法确定模型的最优插值系数.最后通过两个实例表明了非等间距NGM(1,1,k)模型及其优化模型的有效性和实用性.     

Conductors and newforms for U(1,1)

Let F be a non-Archimedean local field whose residue characteristic is odd. In this paper we develop a theory of newforms forU (1, 1)(F), building on previous work onSL ₂(F). This theory is analogous to the results of Casselman forGL ₂(F) and Jacquet, Piatetski-Shapiro, and Shalika forGL _n(F). To a representation π ofU(1, 1)(F), we attach an integer c(π) called the conductor of π, which depends only on theL-packet π containing π. A newform is a vector in π which is essentially fixed by a congruence subgroup of level c(π). We show that our newforms are always test vectors for some standard Whittaker functionals, and, in doing so, we give various explicit formulae for newforms.     

上海未来短期客运量的预测分析——基于最小二乘法改进的GM(1,1)模型

客运量受诸多因素影响因此数据波动性大,并且具有小样本性及贫信息等特点.采用基于最小二乘法改进的GM(1,1)模型,对上海市的客运量进行短期预测.首先介绍了普通GM(1,1)模型的建立方法;然后通过最小二乘法的原理弱化波动较大的数据,减少随机性,加强规律性建立改进的新GM(1,1)模型;其次结合2005-201.4年数据建立预测模型;最后使用2014年数据对模型可靠性进行验证.结果表明该预测方法精度高误差小,改进的模型预测结果更加接近实际值.该模型为其他相关预测提供了理论依据,也便于上海市对未来交通运输的宏观调控.     

SU(3) limit ofsdgpf interacting boson model

TheSU(3) limit of thesdg-pf interacting boson model is proposed. Applications to the collective states of^236,238U are discussed. It is shown that the spectra can be well described by the model. Project sapported by the National Natural Science Foundation of China (Grant No. 19775025), Science Fund of China Nuclear Industry, Excellent Young University Teachers Fund of China National Education Commitee, Fok YingTung Education Foundation.     

Lp-Approximable Sequences of Vectors and Limit Distribution of Quadratic Forms of Random Variables

The properties of L₂-approximable sequences established here form a complete toolkit for statistical results concerning weighted sums of random variables, where the weights are nonstochastic sequences approximated in some sense by square-integrable functions and the random variables are “two-wing” averages of martingale differences. The results constitute the first significant advancement in the theory of L₂-approximable sequences since 1976 when Moussatat introduced a narrower notion of L₂-generated sequences. The method relies on a study of certain linear operators in the spaces L_p and l_p. A criterion of L_p-approximability is given. The results are new even when the weight generating function is identically 1. A central limit theorem for quadratic forms of random variables illustrates the method.     

GARCH(1,1)模型的稳健估计比较及应用

首先阐述了GARCH(1,1)模型稳健估计的构造方法,然后在模型有无异常值扩散效应约束和异常值比例不同的情况下,比较了传统QMLE估计和多种稳健M估计的表现,结果表明:在数据无异常值下,QMLE估计较优;随着异常值比例增加,稳健Andrew估计表现更好;模型施加异常值扩散效应约束对估计有一定改善但不显著.最后选取波动程度不同的两个阶段沪深300指数的收益率,用模型拟合进行了实例比较,在波动程度较大时,Andrew估计效果较优,在波动相对平稳时,LAD估计较优.