A note on natural risk statistics

Recently Heyde, Kou and Peng [C.C. Heyde, S.G. Kou, X.H. Peng, What is a good external risk measure: Bridging the gaps between robustness, subadditivity, and insurance risk measures, 2007, preprint.] proposed the notion of a natural risk statistic associated with a finite sample that relaxes the subadditivity assumption in the classical coherent risk statistics. In this note we use convex analysis to provide alternate proofs of the representation results regarding natural risk statistics.     

A note on testing for constant hazard against a change-point alternative

Summary The problem of testing for constant hazard against a change-point alternative is considered. It is shown that this problem is related to another one in quality control. Based on this relationship, a test is proposed. The main advantages of this test are its computational simplicity and the ready availability of small and large sample distribution theory.     

Perturbation method for determining the group of invariance of hierarchical models

We propose a perturbation method for determining the (largest) group of invariance of a toric ideal defined in [S. Aoki, A. Takemura, The largest group of invariance for Markov bases and toric ideals, J. Symbolic Comput. 43 (5) (2008) 342–358]. In the perturbation method, we investigate how a generic element in the row space of the configuration defining a toric ideal is mapped by a permutation of the indeterminates. Compared to the proof by Aoki and Takemura which was based on stabilizers of a subset of indeterminates, the perturbation method gives a much simpler proof of the group of invariance. In particular, we determine the group of invariance for a general hierarchical model of contingency tables in statistics, under the assumption that the numbers of the levels of the factors are generic. We prove that it is a wreath product indexed by a poset related to the intersection poset of the maximal interaction effects of the model.     

The uniform convergence and precise asymptotics of generalized stochastic order statistics

Let X(i,n,m,k), i=1,…,n, be generalized order statistics based on F. For fixed r∈N, and a suitable counting process N(t), t>0, we mainly discuss the precise asymptotic of the generalized stochastic order statistics X(N(n)−r+1,N(n),m,k). It not only makes the results of Yan, Wang and Cheng [J.G. Yan, Y.B. Wang, F.Y. Cheng, Precise asymptotics for order statistics of a non-random sample and a random sample, J. Systems Sci. Math. Sci. 26 (2) (2006) 237-244] as the special case of our result, and presents many groups of weighted functions and boundary functions, but also permits a unified approach to several models of ordered random variables.     

学生学习成绩相关性的研究

从大学生学习成绩出发,应用广义线性回归模型研究了学生学年间成绩的相关性,揭示了大学一年级,尤其是一年级的二学期是影响学生后期学习的关键阶段.进一步应用聚类分析,得到学生成绩在大学一年级就已经埋下了两极分化的隐患,应用判别分析得出了两极分化的关键课程.该结论为教育教学和学生管理提供决策依据.     

负二项分布类的条件概率封闭性

在研究只允许部分服务台进入休假状态的多服务台M／M／c排队系统时，我们发现了条件Erlang分布的一些有趣的性质，进一步研究我们发现相对应离散随机状态的负二项分布也具有很好的性质（概率封闭性．本文证明了一类负二项分布的概率封闭性．它们对导出复杂排队系统中离散状态下顾客等待时问分布及保险公司中破产概率上界的计算起着重要作用．     

Intermittency at critical transitions and aging dynamics at the onset of chaos

We recall that at both the intermittency transitions and the Feigenbaum attractor, in unimodal maps of non-linearity of order ζ > 1, the dynamics rigorously obeys the Tsallis statistics. We account for theq-indices and the generalized Lyapunov coefficients λ^q that characterize the universality classes of the pitchfork and tangent bifurcations. We identify the Mori singularities in the Lyapunov spectrum at the onset of chaos with the appearance of a special value for the entropic indexq. The physical area of the Tsallis statistics is further probed by considering the dynamics near criticality and glass formation in thermal systems. In both cases a close connection is made with states in unimodal maps with vanishing Lyapunov coefficients.     

On social percolation and small world network

The social percolation model is generalized to include the propagation of two mutually exclusive competing effects on a one-dimensional ring and a two-dimensional square lattice. It is shown that the result depends significantly on which effect propagates first i.e. it is a non-commutative phenomenon. Then the propagation of one effect is studied on a small network. It generalizes the work of Moore and Newman of a disease spread to the case where the susceptibility of the population is random. Three variants of the Domany-Kinzel model are given. One of them (delayed) does not have a chaotic region for some value of the delay weight. Received 24 February 2000     

Economic and economic-statistical design of a chi-square chart for CBM

In this paper, the economic and economic-statistical design of a χ² chart for a maintenance application is considered. The machine deterioration process is described by a three-state continuous time Markov chain. The machine state is unobservable, except for the failure state. To avoid costly failures, the system is monitored by a χ² chart. The observation process stochastically related to the machine condition is assumed to be multivariate, normally distributed. When the chart signals, full inspection is performed to determine the actual machine condition. The system can be preventively replaced at a sampling epoch and must be replaced upon failure; preventive replacement costs less than failure replacement. The objective is to find the optimal control chart parameters that minimize the long-run average maintenance cost per unit time. For the economic-statistical design, an additional constraint guaranteeing the occurrence of the true alarm signal on the chart before failure with given probability is considered. For both designs, the objective function is derived using renewal theory.     

Persistence in financial markets

Persistence is studied in a financial context by mapping the time evolution of the values of the shares quoted on the London Financial Times Stock Exchange 100 index (FTSE 100) onto Ising spins. By following the time dependence of the spins, we find evidence for power law decay of the proportion of shares that remain either above or below their 'starting' values. As a result, we estimate a persistence exponent for the underlying financial market to be θ_f∼0.5.