Order Determination for Multivariate Autoregressive Processes Using Resampling Methods

LetX₁, …, X_nbe observations from a multivariate AR(p) model with unknown orderp. A resampling procedure is proposed for estimating the orderp. The classical criteria, such as AIC and BIC, estimate the orderpas the minimizer of the function[formula]wherenis the sample size,kis the order of the fitted model, Σ²_kis an estimate of the white noise covariance matrix, andC_nis a sequence of specified constants (for AIC,C_n=2m²/n, for Hannan and Quinn's modification of BIC,C_n=2m²(ln ln n)/n, wheremis the dimension of the data vector). A resampling scheme is proposed to estimate an improved penalty factorC_n. Conditional on the data, this procedure produces a consistent estimate ofp. Simulation results support the effectiveness of this procedure when compared with some of the traditional order selection criteria. Comments are also made on the use of Yule–Walker as opposed to conditional least squares estimations for order selection.     

Reciprocal cooperation in the Prisoner's Dilemma repeated with random horizon

Summary A standard assumption on the Iterated Prisoner's Dilemma is that the probability of further interaction is constant. Then, cooperation via reciprocity can be guaranteed if and only if this probability is sufficiently high. In this paper we analyze a more realistic model: a discrete random variable, not necessarily geometric, governs the number of interactions. We obtain necessary conditions and sufficient conditions for reciprocal cooperation based on the use of TFT strategy by both players. The obtained conditions are particularized to classes of distributions with monotonous failure rate and to some relevant probability models.     

Some stochastic aspects of quantization

From the advent of quantum mechanics, various types of stochastic-dynamical approach to quantum mechanics have been tried. We discuss how to utilize Nelson’s stochastic quantum mechanics to analyze the tunneling phenomena, how to derive relativistic field equations via the Poisson process and how to describe a quantum dynamics of open systems by the use of quantum state diffusion, or the stochastic Schrödinger equation.     

Wealth distributions in asset exchange models

A model for the evolution of the wealth distribution in an economically interacting population is introduced, in which a specified amount of assets are exchanged between two individuals when they interact. The resulting wealth distributions are determined for a variety of exchange rules. For “random” exchange, either individual is equally likely to gain in a trade, while “greedy” exchange, the richer individual gains. When the amount of asset traded is fixed, random exchange leads to a Gaussian wealth distribution, while greedy exchange gives a Fermi-like scaled wealth distribution in the long-time limit. Multiplicative processes are also investigated, where the amount of asset exchanged is a finite fraction of the wealth of one of the traders. For random multiplicative exchange, a steady state occurs, while in greedy multiplicative exchange a continuously evolving power law wealth distribution arises. Received: 13 August 1997 / Revised: 31 December 1997 / Accepted: 26 January 1998     

A heuristic approach for airport gate assignments for stochastic flight delays

To make good flight to gate assignments, not only do all the relevant constraints have to be considered, but stochastic flight delays that occur in actual operations also have to be taken into account. In past research, airport gate assignments and stochastic disturbances have often been handled in the planning and the real-time stages separately, meaning that the interrelationship between these stages, as affected by such delays, has been neglected. In this research, we develop a heuristic approach embedded in a framework designed to help the airport authorities make airport gate assignments that are sensitive to stochastic flight delays. The framework includes three components, a stochastic gate assignment model, a real-time assignment rule, and two penalty adjustment methods. The test results are based on data supplied by a Taiwan international airport, and show that the proposed framework performs better than the current manual assignment process and the traditional deterministic model.     

Effect of Detachments in Asymmetric Simple Exclusion Processes

Asymmetric simple exclusion processes are important for understanding low-dimensional multi-particle dynamic phenomena. The effect of irreversible detachments of particles on dynamics of asymmetric simple exclusion processes is studied using analytical and computer simulation techniques. In the simplest model, where particles can only detach from a single site in the bulk of the system, a theory is presented and used to calculate explicitly phase diagrams and particle density profiles. The complexity of the phase behavior is discussed in terms of a recent domain-wall theory for driven lattice systems. The theoretical results qualitatively and quantitatively agree with computer Monte Carlo simulations.     

两指标点过程的停止及σ-域

本文给出两指标点过程的跳线刻划、停止方法,论述了跳线的可测性及点过程有关的σ-域的结构和特征。     

On the spectral function of the Poisson–Voronoi cells

Denote by (t)=∑_n1e^−λ_nt, t>0, the spectral function related to the Dirichlet Laplacian for the typical cell of a standard Poisson–Voronoi tessellation in . We show that the expectation E(t), t>0, is a functional of the convex hull of a standard d-dimensional Brownian bridge. This enables us to study the asymptotic behaviour of E(t), when t→0⁺,+∞. In particular, we prove that the law of the first eigenvalue λ₁ of satisfies the asymptotic relation lnP{λ₁t}−2^dω_dj_(d−2)/2^d·t^−d/2 when t→0⁺, where ω_d and j_(d−2)/2 are respectively the Lebesgue measure of the unit ball in and the first zero of the Bessel function J_(d−2)/2.     

Designing delivery districts for the vehicle routing problem with stochastic demands

This paper considers the problem of designing districts for vehicle routing problems with stochastic demands. In particular, demands are assumed to be uncertain at the time when the districts are made, and these are revealed only after the districting decisions are determined. Tabu search and multistart heuristics for this stochastic districting problem are developed and compared. Computational results show that tabu search is superior over multistart.     

s~(1/2)=630GeV pp碰撞中微喷注的新分析

根据喷注判定的圆锥法来判断喷注，重新分析了ＵＡ１－１９８５年的６３０ＧｅＶ非单衍ｐｐ碰撞实验数据。分析发现对事件样本，单事件平均横动量ｐ与多重数ｎ是正关联的，而对喷注事件子样本则是负关联的；分析了微喷注产生嵉墓亓屯斯亓砻魑⑴缱⒉丛从诜侨砉毯透呓仔вΓ徊⑹状未邮笛樯瞎鄄獾轿⑴缱⒓浯嬖诖罂於燃涓裟谖蘖Ｗ拥氖吕治隽宋⑴缱⒉贝嬖诖罂於龋纾幔鸬募Ｏ蟆