基于Cox模型的虚拟响应算法

提供一种求解Cox模型的新方法:基于Cox模型的基本特征构造虚拟响应变量,在此基础上利用最小二乘迭代算法得到基准生存函数和回归系数的估计,并进一步将该算法推广到广义Cox模型,利用局部多项式方法拟合虚拟响应变量,解决了协变量作用形式为非参的情形.     

常利率下的Cox模型的破产概率

讨论了常利率下的Cox模型的破产概率 ,分别得到了条件破产概率和最终破产概率所满足的积分方程 .     

基于Cox模型研究财务困境的行业差异性

公司所属行业是陷入财务困境的一个重要的影响因素,本文主要运用Cox模型衡量不同行业的财务困境风险关系。我们以我国A股制造业上市公司为研究对象,选取制造业中样本量最大的两个次级行业:机械、设备、仪表行业以及石油、化学、塑料行业,以"月"作为生存时间基本单位,选取8个财务指标和一个行业虚拟变量进行实证研究。实证结果表明机械、设备、仪表行业陷入财务困境的风险为石油、化学、塑料行业的0.469倍,并且显著影响这两个行业的公司陷入财务困境的财务指标也不相同,表明研究财务困境考虑行业的重要性;稳健性检验表明这些结论具有可靠性。     

一类广义Swift-Hohenberg模型方程的时间周期问题

本文研究一类广义Swift-Hohenberg模型方程的时间周期问题，证明问题周期广义解和周期古典解的存在性与唯一性．     

常利率下带干扰的Cox模型的破产概率

讨论了常利率下带干扰的Cox模型的破产概率,分别得到了条件破产概率和最终破产概率所满足的微积分方程.     

广义随机Solow经济增长模型

本文在文[1]的基础上进一步拓广了随机Solow经济增长模型．利用白噪声分析理论建立的广义随机Solow经济增长模型，将随机Solow模型推广到包含广义白噪声泛函及具有非可料扩散系数的情形，并且借助U—泛函方法表明了Picard迭代法在此仍十分有效．     

带有污染协变量和辅助生存信息的Cox模型的改进估计方法研究

在流行病学、生物医学和临床试验等领域的研究中, Cox模型是最受欢迎的半参数回归模型之一.在建模过程中,观测到的协变量通常是被污染的,污染因子可测,但是污染函数未知,直接使用被污染的协变量进行参数估计,可能会造成错误的统计推断.研究者往往发现疾病治疗的最佳时刻点,如果忽略这些辅助生存信息,可能导致估计效率的降低.本文研究带有污染协变量和辅助生存信息的Cox模型的一种改进估计,通过核平滑方法校准受污染的协变量,并通过分组提取辅助生存信息用于参数估计,然后使用广义矩估计方法解决超维方程组求解的问题.模拟分析和实证研究结果表明:基于协变量校准后的Cox模型的广义矩估计方法比偏似然估计方法、协变量未调整的Cox模型的广义矩估计方法的效果更好.     

广义线性模型下模型平均的比较研究

模型平均以其稳健性好,预测精度高等诸多优点获得了当代统计学和计量经济学界的高度关注,在经济、金融、生物、医学等领域有着广泛的应用前景.模型平均的发展方向主要包括贝叶斯模型平均(BMA)和频率模型平均(FMA).文章介绍了贝叶斯模型平均方法,改进贝叶斯模型平均权重的D-概率方法,以及频率模型平均方法,并对BMA和FMA进...     

广义线性模型中方差函数的非参数估计

本文提出了$\sigma(u)$的一种改进的估计$\wh\sigma_n(u)$, 在一定的条件下证明了$\sup\limits_{u}|\wh\sigma_n(u)-\sigma(u)|$相对于[1]中的估计以更快的速度依概率收敛于0, 并修正了定义区间.     

变保费率Cox风险模型的研究

研究了当保费率随理赔强度的变化而变化时C ox风险模型的折现罚金函数,利用后向差分法得到了折现罚金函数所满足的积分方程,进而得到了破产概率,破产前瞬时盈余、破产时赤字的各阶矩所满足的积分方程.最后给出当理赔额服从指数分布,理赔强度为两状态的马氏过程时破产概率的拉普拉斯变换,对一些具体数值计算出了破产概率的表达式.     

Progressive Enlargement of Filtrations and Backward Stochastic Differential Equations with Jumps

This work deals with backward stochastic differential equations (BSDEs for short) with random marked jumps, and their applications to default risk. We show that these BSDEs are linked with Brownian BSDEs through the decomposition of processes with respect to the progressive enlargement of filtrations. We prove that the equations have solutions if the associated Brownian BSDEs have solutions. We also provide a uniqueness theorem for BSDEs with jumps by giving a comparison theorem based on the comparison for Brownian BSDEs. We give in particular some results for quadratic BSDEs. As applications, we study the pricing and the hedging of a European option in a market with a single jump, and the utility maximization problem in an incomplete market with a finite number of jumps.     

广义幂级数代数的滤链维数

In this paper, we study the properties of generalized power series modules and the filtration dimensions of generalized power series algebras. We obtain that [[△S,≤]]- gfd([[AS,≤]]) =△-gfd(A) if A is an R-module where R is a perfect and coherent commutative algebra, and(R, ≤) is standardly stratified.     

On the Existence of a Generalized Solution of the Saturated-Unsaturated Filtration Problem

We study the existence of a generalized solution of an initial–boundary value problem describing the process of unsteady filtration of a liquid in a bounded region of an n-dimensional space. We consider the case in which the Kirchhoff transformation used to determine the generalized solution takes the real axis into a semiaxis bounded below. An auxiliary problem is constructed. It is proved that any solution of the auxiliary problem is a solution of the problem under study. The solvability of the auxiliary problem is established by using the method of semidiscretization in time and the Galerkin method.     

双险种的Cox风险模型

由于保险公司经营规模的不断扩大，险种类型的增多，用古典风险模型及其其它推广的单一险种风险模型来研究其风险经营过程存在着局限性，因而需要建立多险种的风险模型。本文研究了一类两种险种且理赔次数服从Cox过程的模型。得到了破产概率满足推广的Lundberg不等式。以及在特殊情况时ψ（0）的明确表达式。     

Generalized Heisenberg Model

We consider the XXZ-model for a chain of particles whose spins are arbitrary with the anisotropy parameter equal to the root of minus one and generalized periodic boundary conditions. The conditions for the truncation of the functional fusion relations of the transfer matrices are obtained. The truncation results in a closed system of equations whose solution allows obtaining the energy spectrum.     

An Algorithm for Robust Inference for the Cox Model with Frailties

Abstract

This article proposes a robust method of statistical inference for the Cox's proportional hazards model with frailties. We use the Metropolis—Hastings algorithm and the bootstrap method. We present a computationally efficient algorithm with a customized data structure to implement this method and demonstrate this technique with real data.     

Extending the Iterative Convex Minorant Algorithm to the Cox Model for Interval-Censored Data

Abstract

The iterative convex minorant (ICM) algorithm proposed by Groeneboom and Wellner is fast in computing the NPMLE of the distribution function for interval censored data without covariates. We reformulate the ICM as a generalized gradient projection method (GGP), which leads to a natural extension to the Cox model. It is also easily extended to support Tibshirani's Lasso method. Some simulation results are also shown. For illustration we reanalyze two real datasets.