Confidence intervals and ellipsoids for estimable functions and estimable vectors in models with orthogonal block structure

Sub-models of mixed linear models are considered. The independence of these sub-models leads to sufficient statistics for the parameters relevant for their densities. Using pivot variables, confidence regions are obtained as well hypothesis testing for variance components, estimable functions, and estimable vectors. In addition, to compare the estimators and the models, we present the histograms with the empirical joint densities for positive and negative parts of the estimators. The figures, for the two-dimensional charts, contain the corresponding UMVUE and are all unimodal with the UMVUE near the mode. The nearness of the estimators and the modes validates the presented methodology and allows the safe use of induced densities. A numerical example applied to real data is presented.     

A Complex Mode Method for Wind-Induced Responses of 6-Parameter Practical Viscoelastic Damping Energy Dissipation Structures Based on the Davenport Wind Speed Spectrum北大核心CSCD

针对六参数实用黏弹性阻尼耗能结构,基于Davenport风速谱系列响应问题进行了系统的研究.首先,利用六参数黏弹性阻尼器的微分型本构关系,建立了耗能结构基于Davenport风速谱激励下的运动方程;然后,运用复模态法将耗能结构的运动方程由二阶微分方程转化为一阶方程,获得了耗能结构系统对风振激励响应的频域解和功率谱密度函数表达式;最后,利用数学恒等式,基于随机振动理论获得了耗能结构系统在Davenport风速谱激励下的响应和阻尼器受力的解析解.该文方法不仅考虑了结构系统在风振激励作用下全振型展开的结果,表达式较现有结果更为简便,效率及精度更高,且适用于非经典阻尼结构.     

A Mellin transform approach to pricing barrier options under stochastic elasticity of variance

This article considers a problem of evaluating barrier option prices when the underlying dynamics are driven by stochastic elasticity of variance (SEV). We employ asymptotic expansions and Mellin transform to evaluate the option prices. The approach is able to efficiently handle barrier options in a SEV framework and produce explicitly a semi-closed form formula for the approximate barrier option prices. The formula is an expansion of the option price in powers of the characteristic amplitude scale and variation time of the elasticity and it can be calculated easily by taking the derivatives of the Black–Scholes price for a barrier option with respect to the underlying price and computing the one-dimensional integrals of some linear combinations of the Greeks with respect to time. We confirm the accuracy of our formula via Monte-Carlo simulation and find the SEV effect on the Black–Scholes barrier option prices.     

环形激光陀螺随机误差测试中的计数误差

详细讨论了环形激光陀螺（RLG）误差测试中的计数误差。首先提出了在角度随机游走为主要误差源的情况下，RLG的离散输出模型。在假设累积角度量化误差为白噪声的前提下推导了方差（或AIlan方差）分析中的量化误差模型。接着指出白噪声假设并不总能成立，特别是对于由计数器只能计整数引致的量化误差（特称为“计数误差”），由于量化间隔很大，这一假设通常不能成立。最后，给出了一种白噪声假设不能成立时的处理方法及仿真数据分析结果。     

多模式自适应重要抽样法及其应用

针对多模式的可靠性分析，研究了其失效概率计算的自适应重要抽样法，该方法用模拟退火 算法来自动调整每个失效模式的重要抽样函数，使其逐渐趋近于估计方差最小的重要抽样 函数. 对于多个模式系统失效概率的计算，采用混合加权自适应重要抽样的方法, 反映了每个 失效模式对系统失效概率的贡献；对于系统失效模式所含基本变量不全相同的情况，提出了 扩展自适应重要抽样法, 来统一所有失效模式中的基本变量，从而使得混合自适应 重要抽样, 可以方便地求解变量不全相同时的系统失效概率. 对估计值方差和变异系数的计算公 式进行了推导. 验证算例结果, 充分说明方法的合理性与可行性.     

Stochastic analysis of a displacement front in a randomly heterogeneous medium

The behavior of the interface in a two-phase immiscible fluid flow in a randomly heterogeneous porous medium is investigated. The medium is described by the permeability distribution which represents a random field with given statistical characteristics. When the approach proposed is used, it turns out to be possible to relate the statistical characteristics of the interface with the statistical characteristics of the permeability field and the properties of the phases. On the basis of this relation an important characteristic of the two-phase flow, namely, the average saturation distribution in the neighborhood of the interface, can be calculated.     

共沸点存在的充分条件

以纯液体蒸气压和亨利系数为出发点,讨论了二组分气液相图存在共沸点的充分条件。结合纯液体蒸气压和亨利系数的物理意义,对共沸点存在的条件进行了说明。     

The valuation of life contingencies: A symmetrical triangular fuzzy approximation

This paper extends the framework for the valuation of life insurance policies and annuities by Andrés-Sánchez and González-Vila (2012, 2014) in two ways. First we allow various uncertain magnitudes to be estimated by means of fuzzy numbers. This applies not only to interest rates but also to the amounts to be paid out by the insurance company. Second, the use of symmetrical triangular fuzzy numbers allows us to obtain expressions for the pricing of life contingencies and their variability that are closely linked to standard financial and actuarial mathematics. Moreover, they are relatively straightforward to compute and understand from a standard actuarial point of view.     

光纤陀螺随机游走系数的分析研究

分析了产生随机游走误差的机理,分别采用有关标准和Allan方差进行了随机游走系数的分析和计算。结果表明:随机游走系数是衡量光纤陀螺噪声水平的重要指标,其值的大小体现了陀螺的极限精度。采用Allan方法表述光纤陀螺的静态指标,物理概念清晰,方法简便。