Test for Parameter Change in Diffusion Processes by Cusum Statistics Based on One-step Estimators

In this paper, we consider the problem of testing for a parameter change using the cusum test based on one-step estimators in diffusion processes. It is shown that under regularity conditions the cusum test statistic has the limiting distribution of a functional of Brownian bridge.     

一种单因子异方差模型的分析方法

本文提出了一种单因子异方差模型,导出这种异方差分析方法,并给出了模型中均值与方差的估计.通过对仿真和数字化设计模型数据进行检验,结果表明,采用此方法比传统方法更有效.     

具有ARIMA(0,1,0)误差的非线性模型的异方差检验

本文讨论随机误差是 ARIMA( 0 ,1 ,0 )序列的非线性回归模型的异方差检验问题 .首先导出了检验的 score统计量 ,然后利用参数的正交变换 ,得到了调整的 score统计量 .最后 ,利用氯化物数据 ( Bates &Watts,1 988)说明了检验方法的应用     

Mechanical behaviors and damage constitutive model of ceramics under shock compression

One-stage light gas gun was utilized to study the dynamic mechanical properties of AD90 alumina subjected to the shock loading. Manganin gauges were adopted to obtain the stress-time histories. The velocity interferometer system for any reflector （VISAR） was used to obtain the free surface velocity profile and determine the Hugoniot elastic limit. The Hugoniot curves were fitted with the experimental data. From Hugoniot curves the compressive behaviors of AD90 alumina were found to change typically from elastic to ＂plastic＂. The dynamic mechanical behaviors for alumina under impact loadings were analyzed by using the path line principle of Lagrange analysis, including the nonlinear characteristics, the strain rate dependence, the dispersion and declination of shock wave in the material. A damage model applicable to ceramics subjected to dynamic compressive loading has been developed. The model was based on the damage micromechanics and wing crack nucleation and growth. The effects of parameters of both the micro-cracks nucleation and the initial crack size on the dynamic fracture strength were discussed. The results of the dynamic damage evolution model were compared with the experimental results and a good agreement was found.     

TESTING SPHERICITY IN A GMANOVA-MANOVA MODEL WITH NORMAL ERROR

This article presents a statistic for testing the sphericity in a GMANOVA- MANOVA model with normal error. It is shown that the null distribution of this statistic is beta and its nonnull distribution is given in series form of beta distributions.     

One‐way analysis of variance with long memory errors and its application to stock return data

Recent empirical results indicate that many financial time series, including stock volatilities, often have long‐range dependencies. Comparing volatilities in stock returns is a crucial part of the risk management of stock investing. This paper proposes two test statistics for testing the equality of mean volatilities of stock returns using the analysis of variance (ANOVA) model with long memory errors. They are modified versions of the ordinary F statistic used in the ANOVA models with independently and identically distributed errors. One has a form of the ordinary F statistic multiplied by a correction factor, which reflects slowly decaying autocorrelations, that is, long‐range dependence. The other is a test statistic such that the degrees of freedom of the denominator in the ordinary F test statistic is calibrated by the so‐called effective sample size. Empirical sizes and powers of the proposed test statistics are examined via Monte Carlo simulation. An application to German stock returns is presented. Copyright © 2007 John Wiley & Sons, Ltd.     

上海股市波动的周日效应检验

与以往日历异常现象的研究大多集中在股市收益率上不同,本文对上海股市波动的周日效应进行实证研究,无条件波动的修正Levene检验和条件波动的GARCH模型被应用。结果显示上海股市存在显著的星期一高波动现象,利用混合分布模型对此现象进行了解释,周末信息的积累对星期一交易的影响可能是其高波动的原因。     

Structure initiale et propriétés de liquéfaction statique d'un sableInitial structure and static liquefaction properties of sand.

Based on the use of two different preparation procedures for reconstituting triaxial samples of sand, i.e. wet tamping and dry pluviation, significant differences in associated mechanical behaviour are observed on a reference sand with respect to the phenomenon of ‘static’ liquefaction. Wet tamping favours the initiation of liquefaction instability, whereas dry pluviation favours a more stable behaviour, less susceptible to liquefaction. Microscopic observation of corresponding sand specimens allows us to identify two well differentiated structures, i.e., for wet tamping, an irregular structure with predominance of aggregates (aggregated grains) and macropores, very contractant and unstable and, for dry pluviation, a more regular structure, without macropores, more dilatant and more stable. These observations show the importance of further characterization, based on the introduction of appropriate parameters, of the initial structure of sandy materials, strongly dependant upon their mode of formation (natural or artificial). To cite this article: N. Benahmed et al., C. R. Mecanique 332 (2004).     

A bootstrap approach to model checking for linear models under length-biased data

In this paper, we propose two bootstrap-based model checking tests for a parametric linear model when data are affected by length-bias. These tests are based on the measure of the discrepancy between nonparametric and parametric estimators for the regression function when the data are drawn under a length-biased mechanism. We consider two different discrepancy measures: the supremum and the integral of the quadratic difference between the parametric and nonparametric estimators.