On spatial contagion and multivariate GARCH models

We propose a method for defining and measuring spatial contagion between two financial markets via conditional copulas. Some theoretical results on monotonicity and asymptotic properties of Gaussian copulas with respect to conditioning are presented. Next, we combine the spatial contagion approach with time series models. We investigate which model from a large family of multivariate GARCH is the best tool for modelling spatial contagion. In an empirical study, we show that among models designed for general fit, a two‐step model fitting procedure reduces the ability to describe the contagion effect. This is a feature of copula‐GARCH models. Copyright © 2013 John Wiley & Sons, Ltd.     

Spectral analysis for the Gauss problem on continued fractions

We present a new derivation of the formula appearing in Babenko (1978) and Mayer and Roepstorff (1987) that gives the probability distribution of τ⁻ⁿ${\tau }^{-n}$ in terms of the eigenvalues of a symmetric operator. Here τ$\tau$ is the well-known Gauss-map.     

A semilocal convergence result for Newton’s method under generalized conditions of Kantorovich

From Kantorovich’s theory we establish a general semilocal convergence result for Newton’s method based fundamentally on a generalization required to the second derivative of the operator involved. As a consequence, we obtain a modification of the domain of starting points for Newton’s method and improve the a priori error estimates. Finally, we illustrate our study with an application to a special case of conservative problems.     

The first eigenvalue of Finsler p-Laplacian

The eigenvalues and eigenfunctions of p-Laplacian on Finsler manifolds are defined to be critical values and critical points of its canonical energy functional. Based on it, we generalize some eigenvalue comparison theorems of p-Laplacian on Riemannian manifolds, such as Lichnerowicz type estimate, Obata type theorem and Mckean type theorem, to the Finsler setting. Not only that, the Lichnerowicz type estimate we obtained is even better than the corresponding one in Riemannian geometry.     

基于FHW的火箭发动机环境载荷评估

针对固体火箭发动机环境载荷的诸多不确定性,提出了环境载荷FHW量化评估算法.对比分析了火箭发动机的典型环境条件及其影响,采用熵值法确定了指标权重,基于FHW方法建立了火箭发动机的环境载荷评估模型,根据环境因素的分布特征给出评估指标的隶属函数,并获取其相应的灰色关联系数.算例验证了不同环境载荷因素对火箭发动机的影响程度,结果表明FHW评估策略和算法简单易行、精度高,在装备环境载荷量化评估中具有参考和应用价值.     

一种基于相关系数矩阵的TOPSIS决策方法

在多属性决策分析中,传统的TOPSIS法是基于欧氏距离来计算各方案到正负理想点的距离,但欧氏距离没有考虑各属性之间的相关性;从这一角度出发,将相关系数矩阵与欧式距离结合,从而弥补了欧氏距离的不足,最后进行了实例分析.     

操作风险计量研究——基于贝叶斯Copula方法

商业银行操作风险的计量存在两个重要的问题,一个问题是损失数据缺乏,另一个问题是各部分之间的风险相关问题.结合Bayes估计和Copula函数解决了上述两个问题并基于中国商业银行操作风险的损失数据对对操作风险的计量进行了实证分析.实证分析的结果表明无论考虑风险相关与否,基于极大似然估计的VaR与基于Bayes估计的VaR具有一定的差距.     

关于一些概率统计理论的一点认识

近来,林群从哲学的角度用公式相对真理/绝对真理=0.9阐述了微积分的内涵,并探究了计算数学、概率统计等学科领域乃至日常生活现象也同样蕴藏着该哲学公式.基于林群等在《概率论初步设想》中对大数定律和中心极限定理等概率统计学理论的哲学内涵分析,用一些数值算例展示概率统计学中这些常用理论所蕴含的这一哲学公式.