股票市场的长记忆及其动态结构

本文提出了结合平均小波系数法和自回归原始自助法的稳健长记忆检验,蒙特卡罗模拟显示该方法对于短期记忆过程具有稳定性。基于该方法对2005年4月8日至2015年6月30日的中国、美国、香港和德国股市进行了实证分析。全局检验结果表明仅中国的股票市场存在显著的长记忆,并且风险因素无法对长记忆解释,而美国、德国和香港的股市不存在长记忆。基于递增窗口的动态Hurst指数分析显示,金融危机时期4个股市都存在显著的长记忆。2010年后,除中国股市外,其余三个股市几乎不存在长记忆现象。     

The periodic solution bifurcated from homoclinic orbit for coupled ordinary differential equations

We consider the problem of the periodic solutions bifurcated from a homoclinic orbit for a pair of coupled ordinary differential equations in . Assume that the autonomous system has a degenerate homoclinic solution γ in . A functional analytic approach is used to consider the existence of periodic solution for the autonomous system with periodic perturbations. By exponential dichotomies and the method of Lyapunov–Schmidt, the bifurcation function defined between two finite dimensional subspaces is obtained, where the zeros correspond to the existence of periodic solutions for the coupled ordinary differential equations near . Copyright © 2016 John Wiley & Sons, Ltd.     

Distributions of maximum likelihood estimators of Lorenz curve and Gini index of exponential distribution

Summary This paper presents the maximum likelihood estimators (MLEs) of the Lorenz curve and Gini index of the exponential distribution, their exact distributions and moments. All these MLEs are shown to converge almost surely and in therth mean. Further their asymptotic distributions are obtained. Here we use only very simple arguments to derive certain results that are very useful in statistical study of ‘inequality’.     

Exponential sums and prime divisors of sparse integers

We obtain a new lower bound on the number of prime divisors of integers whose g-ary expansion contains a fixed number of nonzero digits.      

Modified constructions of binary sequences using multiplicative inverse

Two new families of finite binary sequences are constructed using multiplicative inverse. The sequences are shown to have strong pseudorandom properties by using some estimates of certain exponential sums over finite fields. The constructions can be implemented fast since multiplicative inverse over finite fields can be computed in polynomial time.     

一个新的指数削减椭圆形分布族

A new family of univariate exponential slash distribution is introduced, which is based on elliptical distributions and defined by means of a stochastic representation as the scale mixture of an elliptically distributed random variable with respect to the power of an exponential random variable. The same idea is extended to the multivariate case. General properties of the resulting families, including their moments and kurtosis coefficient, are studied. And inferences based on methods of moment and maximum likelihood are discussed. A real data is presented to show this family is flexible and fits much better than other related families.     

关于广义三项指数和的四次幂均值

The main purpose of this paper is using estimates for trigonometric sums and properties of congruence to study the computation of one kind of fourth power mean of a generalized three-term exponential sum, and give an interesting identity for it.     

一个奇摄动微分方程非线性混合边值问题

研究了一个三阶半线性微分方程的奇摄动非线性混合边值问题.利用边界层函数法构造了该问题的形式渐近解,并采用微分不等式理论证明了解的存在性,给出了渐近解的误差估计,最后得出了边界层函数指数型衰减的结论.     

求解广义纳什均衡问题的指数型惩罚函数方法

本文利用指数型惩罚函数部分地惩罚耦合约束,从而将广义纳什均衡问题(GNEP)的求解转化为求解一系列光滑的惩罚纳什均衡问题 (NEP)。我们证明了若光滑的惩罚NEP序列的解序列的聚点处EMFCQ成立,则此聚点是 GNEP的一个解。进一步,我们把惩罚 NEP的KKT条件转化为一个非光滑方程系统,然后应用带有 Armijo 线搜索的半光滑牛顿法来求解此系统。最后,数值结果表明我们的指数型惩罚函数方法是有效的。     

Global exponential stability of a delay reduced SIR model for migrant workers’ home residence

The paper is concerned with a reduced SIR model for migrant workers. By using differential inequality technique and a novel argument, we derive a set of conditions to ensure that the endemic equilibrium of the model is globally exponentially stable. The obtained results complement with some existing ones. We also use numerical simulations to demonstrate the theoretical results.