Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error

Efficient estimation of tail probabilities involving heavy tailed random variables is amongst the most challenging problems in Monte-Carlo simulation. In the last few years, applied probabilists have achieved considerable success in developing efficient algorithms for some such simple but fundamental tail probabilities. Usually, unbiased importance sampling estimators of such tail probabilities are developed and it is proved that these estimators are asymptotically efficient or even possess the desirable bounded relative error property. In this paper, as an illustration, we consider a simple tail probability involving geometric sums of heavy tailed random variables. This is useful in estimating the probability of large delays in M/G/1 queues. In this setting we develop an unbiased estimator whose relative error decreases to zero asymptotically. The key idea is to decompose the probability of interest into a known dominant component and an unknown small component. Simulation then focuses on estimating the latter ‘residual’ probability. Here we show that the existing conditioning methods or importance sampling methods are not effective in estimating the residual probability while an appropriate combination of the two estimates it with bounded relative error. As a further illustration of the proposed ideas, we apply them to develop an estimator for the probability of large delays in stochastic activity networks that has an asymptotically zero relative error.      

Recent radiochemical studies of the fission process

This article summarizes the recent radiochemical investigations on mass, charge kinetic energy and fragment angular distributions in low energy fission of actinides.     

Skew Models II

If g and G are the pdf and the cdf of a distribution symmetric around 0 then the pdf 2g(u)G(λ u) is said to define a skew distribution. In this paper, we provide a mathematical treatment of the skew distributions when g and G are taken to come from one of Pearson type II, Pearson type VII or the generalized t distribution.      

A Rapid Solid-phase Synthesis to Soluble Oligothiophene Molecular Wires

A novel method for the preparation of oligothiophene molecular wires is described via a bi-directional solid-phase synthesis. Using an alternating sequence of bromination and Stille coupling reactions, oligomers were obtained up to the heptamer in excellent yield and purity.     

介绍一种二元阈值方法在股票指数上的应用

二元极值的阈值方法的一个发展是用来考虑两个变量的联合分布。这个方法是建立在二元极值的点过程表示法的基础上。本文用参数 (Logistic模型 )和非参数模型对 1992 1999年的上海、深圳日收盘指数对数收益进行分析并给出分析结果。     

有Edgeworth展式的分布的随机加权逼近的重对数律

本文研究了未知分布的逼近问题，利用随机加权法，给出了有Edgeworth展式的一类（未知）分布的模拟分布，证明了在一定条件下，模拟分布与未知分布的逼近精度达到O(n^-1√lnlnn），称之为随机加权逼近的重对数律。     

基于超分子结构共掺杂纳米复合薄膜的制备与荧光特性

为改善功能分了的特性,提出一种基于金属纳米粒子-偶氮染料复合物共掺杂超分子结构功能材料的设计新方法.并依照此方法制备出复合材料,观测了其显微结构,测量了其紫外-可见光吸收,研究了该超分子结构复合体系的荧光特性.实验发现,由于金属银纳米粒子的掺杂,使得超分子结构复合体系中功能分子甲基橙在溶液态体系的荧光强度增强近5倍,而在两种不同结构(共混结构和包覆结构)的薄膜态超分子结构体系中,其荧光强度分别被猝灭15%和20%.研究结果表明,复合膜中采用超分子结构完全能够改善功能分子的特性.     

F+H2→HF+H反应的全量子态分辨的散射动力学研究

利用高灵敏度的氢原子里德堡飞渡时间谱方法研究了 F H_2→HF H 反应碰撞能在5.02kJ/mol 下的交叉分子束反应态态散射动力学.所有在时间飞渡谱中被观测到的谱峰可以归属为 HF 产物的振转态结构.还观测到了明显的 HF(v’=3)前向散射,以及少许的 HF(v’=2)前向散射.     

On bulk-service MAP/PH L,N /1/N G-Queues with repeated attempts

We consider a retrial queue with a finite buffer of size N, with arrivals of ordinary units and of negative units (which cancel one ordinary unit), both assumed to be Markovian arrival processes. The service requirements are of phase type. In addition, a PH^L,N bulk service discipline is assumed. This means that the units are served in groups of size at least L, where 1≤ L≤ N. If at the completion of a service fewer than L units are present at the buffer, the server switches off and waits until the buffer length reaches the threshold L. Then it switches on and initiates service for such a group of units. On the contrary, if at the completion of a service L or more units are present at the buffer, all units enter service as a group. Units arriving when the buffer is full are not lost, but they join a group of unsatisfied units called “orbit”. Our interest is in the continuous-time Markov chain describing the state of the queue at arbitrary times, which constitutes a level dependent quasi-birth-and-death process. We start by analyzing a simplified version of our queueing model, which is amenable to numerical calculation and is based on spatially homogeneous quasi-birth-and-death processes. This leads to modified matrix-geometric formulas that reveal the basic qualitative properties of our algorithmic approach for computing performance measures. AMS Subject Classification: Primary 60K25 Secondary 68M20 90B22.     

An expansion in the exponent for compound binomial approximations

The purpose of this paper is two-fold. First, we introduce a new asymptotic expansion in the exponent for the compound binomial approximation of the generalized Poisson binomial distribution. The dependence of its accuracy on the symmetry and shifting of distributions is investigated. Second, for compound binomial and compound Poisson distributions, we present new smoothness estimates, some of which contain explicit constants. Finally, the ideas used in this paper enable us to prove new precise bounds in the compound Poisson approximation. Published in Lietuvos Matematikos Rinkinys, Vol. 46, No. 1, pp. 67–110, January–March, 2006.