Monotonicity of certain integrals involving gamma distributions and their applications in multiple comparisons

Barlow and Gupta (1969) and Alam (1970) studied the monotonicity of two integrals, involving gamma distributions, that arise in certain ranking and selection problems. In this paper, we shall unify their results by studying the monotonicity of two generalized versions of integrals considered by them. We will also provide applications of derived results in study of certain multiple comparison procedures.     

有效因子综合偏好强度与CVaR整合优化模型

本文从股票多维特征因子中选择有效因子,融合形成最大化有效因子综合偏好强度(IPS)的附加理性,构建并验证IPS-均值-CVaR投资组合优化模型。基于沪深300股2006~2015年数据分析显示:(1)有效因子IPS投资组合优越于单因子投资组合;(2)IPS方法相较于因子打分法,具有更优的多维数据整合功效;(3)IPS-均值-CVaR投资组合优化模型相对于均值-CVaR模型具有更优越的资产选择能力,也拓展了投资组合模型的多维数据处理能力和适用性。     

On generalized Nash equilibrium problems with linear coupling constraints and mixed-integer variables

ABSTRACT

We define and discuss different enumerative methods to compute solutions of generalized Nash equilibrium problems with linear coupling constraints and mixed-integer variables. We propose both branch-and-bound methods based on merit functions for the mixed-integer game, and branch-and-prune methods that exploit the concept of dominance to make effective cuts. We show that under mild assumptions the equilibrium set of the game is finite and we define an enumerative method to compute the whole of it. We show that our branch-and-prune method can be suitably modified in order to make a general equilibrium selection over the solution set of the mixed-integer game. We define an application in economics that can be modelled as a Nash game with linear coupling constraints and mixed-integer variables, and we adapt the branch-and-prune method to efficiently solve it.     

Non parametric estimation of the diffusion coefficients of a diffusion with jumps

In this article, we consider a jump diffusion process ${\left(X_t\right)}_{t\ge 0}$, with drift function $b$, diffusion coefficient $\sigma$ and jump coefficient ${\xi }^2$. This process is observed at discrete times $t=0,\Delta ,\dots ,n\Delta$. The sampling interval $\Delta$ tends to 0 and the time interval $n\Delta$ tends to infinity. We assume that ${\left(X_t\right)}_{t\ge 0}$ is ergodic, strictly stationary and exponentially $\beta$-mixing. We use a penalized least-square approach to compute adaptive estimators of the functions ${\sigma }^2+{\xi }^2$ and ${\sigma }^2$. We provide bounds for the risks of the two estimators.     

多种分布下选择后变量显著性分析及其在CEPS数据中的应用

在使用变量选择方法选出模型后,如何评价模型中变量系数的显著性是统计学重点关注的前沿问题之一.文章从适应性Lasso变量选择方法的选择结果出发,在考虑实践中误差分布多样性的前提下,基于选择事件构造了模型保留变量系数的条件检验统计量,并给出了该统计量的一致收敛性质的证明过程.模拟研究显示,在多种误差分布下所提方法均可进一步优化变量选择结果,有较强的实用价值.应用此方法对CEPS学生数据进行了实证分析,最终选取了学生认知能力等10个变量作为影响中学生成绩的主要因素,为相关研究提供了有益的参考.     

3种现场快速水质检测仪的性价对比

选择了市场上口碑好、占有率高的3款便携式水质现场应急检测设备,通过准确度、精密度、检测时长及价格等指标,以权重积分法对3款仪器进行了比选,结果表明德国MN公司的PF-12型便携式多参数分光光度计的综合性能最优.     

A robust decentralized reputation management system for service selection

Reputation mechanism is a novel approach to automate QoS-aware service selection in service oriented computing. The reputation system collects ratings on QoS that consumers feedback and aggregates them to derive a reputation value, which can in turn assist other consumers in service selection in future. However, current approaches fail to combat the malicious ratings and hence the calculated reputation values can be biased severely or even manipulated. Moreover, the centralized management of rating data restricts its application to large open environment. In this paper, we present a robust decentralized reputation system which can resist various unfair ratings and manipulation behaviours. It can evolve and become more mature against malicious ratings with the system running continuously. At last, we experimentally verify the robustness of the proposed approach through a simulation study.     

三维荧光光谱的特征区域选择方法

将数学中的二元凸函数判定和数据挖掘中的聚类分析方法结合,提出了针对三维荧光的光谱区域选择方法,并利用此种方法从光谱图中提取出含有丰富光谱信息的凸集区域。对水体中总有机碳的检测和白酒中黄曲霉素的检测进行了实验研究,实验结果表明,采用本文提出的三维荧光光谱区域选择方法提高了模型的精度,与利用全光谱所建立的回归模型相比,模型精度分别提高了6.17%和4.97%。