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??We establish best-possible supremum bounds of copulas with the degree of non-exchangeabilityt=3/4, t=3/5 and t=3/6=1/2, and study the structures of these sets of copulas. The volumes between the upper and lower bounds are calculated to illustrate that the supremum bounds are specific practical and effective in narrowing the Fr\'{e}chet-Hoeffding bounds.     

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We propose a new estimation method for the parameters of a partial functional linear model when the parameter curve is subject to monotone constraint. The proposed estimators are implemented under the nonlinear mixed effects model framework. The small sample properties are illustrated through a simulation experiment.     

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??In this paper, we investigate a robust optimal portfolio and reinsurance problem under inflation risk for an ambiguity-averse insurer (AAI), who worries about uncertainty in model parameters. We assume that the AAI is allowed to purchase proportional reinsurance and invest his/her wealth in a financial market which consists of a risk-free asset and a risky asset. The objective of the AAI is to maximize the minimal expected power utility of terminal wealth. By using techniques of stochastic control theory, closed-form expressions for the value function and optimal strategies are obtained.     

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??Leverage effect often arises in many fields,such as financial risk management, portfolio and option pricing. However,it still remains to be studied that whether there is leverage effect or not in real data. Based on local polynomial regression estimation and Kolmogorov-Smirnov nonparametric test, this paper introduces a new nonparametric test statistic for the leverage effect, and some asymptotic properties are also presented. Simulation studies show that the proposed method performs well. Finally, empirical studies on SP500 index and Microsoft data imply that leverage effect exists in the real data, which is consistent with the idea in finance.     

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In this article, we develop efficient robust method for estimation of mean and covariance simultaneously for longitudinal data in regression model. Based on Cholesky decomposition for the covariance matrix and rewriting the regression model, we propose a weighted least square estimator, in which the weights are estimated under generalized empirical likelihood framework. The proposed estimator obtains high efficiency from the close connection to empirical likelihood method, and achieves robustness by bounding the weighted sum of squared residuals. Simulation study shows that, compared to existing robust estimation methods for longitudinal data, the proposed estimator has relatively high efficiency and comparable robustness. In the end, the proposed method is used to analyse a real data set.     

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As a new reliability test plan, generalized progressive hybrid censoring can improve test efficiency by allowing experimenters to observe a pre-specified number of failure samples before the final termination point. Based on a class of widely used life distribution in life data analysis --- generalized exponential distribution, this paper discusses its parameters inference issue under generalized progressive hybrid censoring scheme. EM Algorithm is used to estimate parameters of the considered model. Simulation studies and a real-data analysis are carried out to illustrate the performance of finite sample for the proposed procedure.     

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??Coherent systems are very important in reliability,survival analysis and other life sciences. In this paper, we consider the number of working components in an $(n-k+1)$-out-of-$n$ system, given that at least $(n-m+1)$ components are working at time $t$, and the system has failed at time $t$. In this condition, we compute the probability that there are exactly $i$ working components. First the reliability and several stochastic properties are obtained. Furthermore, we extend the results to general coherent systems with absolutely continuous and exchangeable components.     

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A cured model is a useful approach for analysing failure time data in which some subjects could eventually experience and others never experience the event of interest. All subjects in the test belong to one of the two groups: the susceptible group and the non-susceptible group. There has been considerable progress in the development of semi-parametric models for regression analysis of time-to-event data. However, most of the current work focuses on right-censored data, especially when the population contains a non-ignorable cured subgroup. In this paper, we propose a semi-parametric cure model for current status data. In general, treatments are developed to both increase the patients' chances of being cured and prolong the survival time among non-cured patients. A logistic regression model is proposed for whether the subject is in the susceptible group. An accelerated failure time regression model is proposed for the event time when the subject is in the non-susceptible group. An EM algorithm is used to maximize the log-likelihood of the observed data. Simulation results show that the proposed method can get efficient estimations.     

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??In this paper, we consider the optimal investment strategy which maximizes the utility of the terminal wealth of an insurer with SAHARA utility functions. This class of utility functions has non-monotone absolute risk aversion, which is more flexible than the CARA and CRRA utility functions. In the case that the risk process is modeled as a Brownian motion and the stock process is modeled as a geometric Brownian motion, we get the closed-form solutions for our problem by the martingale method for both the constant threshold and when the threshold evolves dynamically according to a specific process. Finally, we show that the optimal strategy is state-dependent.     

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本文利用广义p值和广义置信区间的概念构造含有三个随机效应的Panel数据模型中方差分量的几种新的精确检验和置信区间,并讨论它们在尺度变换下的不变性.通过模拟给出检验的功效和置信区间的覆盖率. 模拟结果表明,广义p值理论方法应用于含有冗余参数的Panel数据模型参数检验问题是灵活而有效的.     

Gompertz分布顺序统计量的一些随机比较

考虑两组相互独立的来自非齐次总体Gompertz分布的样本,给出了最小顺序统计量的反向失效率序、散度序以及凸变换序之间的比较和最大顺序统计量的普通随机序的比较.     

两比例失效率元件组成串联系统元件冗余与系统冗余的随机比较

针对两个比例失效率元件组成的串联系统,在热冗余的情形下,讨论了串联系统的元件冗余与系统冗余两种方案,并基于随机序的方法,对普通随机序、失效率序、反失效率序建立了元件冗余优于系统冗余的随机比较理论.     

A note on likelihood ratio ordering of order statistics from two samples

The purpose of this paper is to establish the stochastic comparisons of order statistics from two samples in the sense of likelihood ratio order. We strengthen and complement some results in Zhao and Balakrishnan (2012) and Ding et al. (2013).     

逆Weibull分布随机变量的随机比较

研究了两个相互独立的逆Weibull分布随机变量间的随机序,似然比序,危险率序以及凸序之间的相互关系,给出了两个相互独立但不同分布的随机变量满足各种随机序时其分布所含参数间的相应关系．也给出了两组相互独立但不同分布的随机变量极值间在一般随机序下的大小关系．     

逆Weibull分布随机变量的随机比较(英文)

研究了两个相互独立的逆Weibull分布随机变量间的随机序,似然比序,危险率序以及凸序之间的相互关系,给出了两个相互独立但不同分布的随机变量满足各种随机序时其分布所含参数间的相应关系.也给出了两组相互独立但不同分布的随机变量极值间在一般随机序下的大小关系.     

Fisher-Z分布次序统计量的普通多元随机序

本文研究了Fisher-Z分布次序统计量的随机比较问题.利用Beta随机变量的性质以及比例风险率模型的次序统计量随机比较的结论,获得了Fisher-Z分布次序统计量向量的普通多元随机序的比较,推广了文献中的相关结果.     

Ⅰ型极值分布随机变量的随机比较(英文)

研究了两个相互独立的Ⅰ型极大值分布随机变量间的随机序,似然比序,危险率序及凸序之间的相互关系,给出了两个相互独立但不同分布的随机变量满足各种随机序时其分布所含参数间的相应关系.文中也给出了两组相互独立但不同分布的随机变量极值间在一般随机序下的大小关系.     

Ⅰ型极值分布随机变量的随机比较

研究了两个相互独立的Ⅰ型极大值分布随机变量间的随机序,似然比序,危险率序及凸序之间的相互关系,给出了两个相互独立但不同分布的随机变量满足各种随机序时其分布所含参数间的相应关系．文中也给出了两组相互独立但不同分布的随机变量极值间在一般随机序下的大小关系．     

SOME COMPARISONS BETWEEN GENERALIZED ORDER STATISTICS

Some stochastic comparisons of generalized order statistics under the right spread order,the location independent riskier order and the total time transform order are investigated in this paper.The underlying distributions and parameters on which generalized order statistics are based are also surveyed to obtain the conditions for increasing the expectations of spacings between the first two generalized order statistics and between the last two generalized order statistics.     

On allocating redundancies to k‐out‐of‐ n reliability systems

For two components in series and one redundancy with their lifetimes following the proportional hazard models, we build the likelihood ratio order and the hazard rate order for lifetimes of the redundant systems. Also, for k ‐out‐of‐ n system with components’ lifetimes having the arrangement increasing joint density and the redundancies having identically distributed lifetimes, allocating more redundancies to weaker components is shown to help improve the system's reliability. Copyright © 2014 John Wiley & Sons, Ltd.