单形深度中位数在封闭式基金排名中的应用

本文介绍了单形深度函数理论,通过改进夏普指数公式,利用单形深度函数中位数稳健性的特点,将单形深度函数中位数应用于改进的夏普指数公式,对国内的封闭式基金进行了排名与评级,并将其与中信星级和样本星级进行了对比.最后,通过定义基金业绩偏离度提出将其用于评价基金捕捉市场机遇的能力的观点.     

��λ���ع�ı�Ҷ˹����ѡ�񷽷�

??When the data has heavy tail feature or contains outliers, conventional variable selection methods based on penalized least squares or likelihood functions perform poorly. Based on Bayesian inference method, we study the Bayesian variable selection problem for median linear models. The Bayesian estimation method is proposed by using Bayesian model selection theory and Bayesian estimation method through selecting the Spike and Slab prior for regression coefficients, and the effective posterior Gibbs sampling procedure is also given. Extensive numerical simulations and Boston house price data analysis are used to illustrate the effectiveness of the proposed method.     

Median Unbiased Estimation of Bivariate Predictive Regression Models with Heavy-tailed or Heteroscedastic Errors

In this paper, we consider median unbiased estimation of bivariate predictive regression models with non-normal, heavy-tailed or heteroscedastic errors. We construct confidence intervals and median unbiased estimator for the parameter of interest. We show that the proposed estimator has better predictive potential than the usual least squares estimator via simulation. An empirical application to finance is given. And a possible extension of the estimation procedure to cointegration models is also described.     

层析三维数字化仪层析图像滤波器的设计及研究

提出一种新型的递归中值滤波器，抛掉了统计参数的制约，将滤波算法转化为一种优化处理。该方法兼顾了滤波处理的光滑连续性及抑制噪声的累积特性，可有效地消除脉冲型干扰的影响，同时也从理论的角度上对该算法进行了分析。为消除加性高斯噪声，提出了一种基于图像边缘方向的小波线性滤波器，它仅仅处理边缘信息。该算汉的极大优点是克服了边缘模糊效应，小波的去噪逆向重构的处理方法对边缘为跃型的层析图象非常实用。     

关联实验数据的4种χ^2形式及其性质

研究了关联实验数据的四种因子化形式的χ^2表达式及其极小化性质，同时讨论了极小化估计值的有偏性与无偏性．利用简化的R值测量定量地检验了相关的理论结果．     

L2—cross—validation最近邻中位数估计的渐近最优性

本文研究固定设计点模型的最近邻中位数估计的光滑参数的选择问题。在一定的正则性条件下得到了Ｌ２－ｃｒｏｓｓ－ｖａｌｉｄａｔｉｏｎ最近邻中位数估计的渐近最优性。同时还得到了最近邻中位数估计的弱Ｂａｈａｄｕｒ表示。     

An Improved Lower Bound for the Multimedian Location Problem

We consider the problem of locating, on a network, n new facilities that interact with m existing facilities. In addition, pairs of new facilities interact. This problem, the multimedian location problem on a network, is known to be NP-hard. We give a new integer programming formulation of this problem, and show that its linear programming relaxation provides a lower bound that is superior to the bound provided by a previously published formulation. We also report results of computational testing with both formulations.     

The affine equivariant sign covariance matrix: asymptotic behavior and efficiencies

We consider the affine equivariant sign covariance matrix (SCM) introduced by Visuri et al. (J. Statist. Plann. Inference 91 (2000) 557). The population SCM is shown to be proportional to the inverse of the regular covariance matrix. The eigenvectors and standardized eigenvalues of the covariance matrix can thus be derived from the SCM. We also construct an estimate of the covariance and correlation matrix based on the SCM. The influence functions and limiting distributions of the SCM and its eigenvectors and eigenvalues are found. Limiting efficiencies are given in multivariate normal and t-distribution cases. The estimates are highly efficient in the multivariate normal case and perform better than estimates based on the sample covariance matrix for heavy-tailed distributions. Simulations confirmed these findings for finite-sample efficiencies.     

可变样本容量和抽样区间的联合和R控制图

作者在前文[1] 中研究了可变样本容量 (VSS)和抽样区间 (VSI)的中位值 (～x)和极差 (R)控制图 ,指明其功效均大于常规 (FSS)控制图。本文将前文的研究方法推广到联合 ～x 和R图 ,记作CVSSI～x -R图 ,它能更快地发现过程平均值和方差的变化 ,从而减少不合格品数     

Asymptotics for the Tukey Median

The asymptotic distribution of the Tukey median has recently been obtained by Nolan in a bivariate setting and by Bai and He in the general multivariate case. To establish their theorem, these authors made a strong symmetry hypothesis on the distribution and, in the case of Bai and He, assumed the existence of a density function with a gradient satisfying a finite-moment condition. This paper extends the above result by deriving the asymptotic distribution of the above location estimate without making any symmetry or differentiability assumption on the distribution.