An imputation method for dealing with missing data in regression

We develop two methods for imputing missing values in regression situations. We examine the standard fixed-effects linear-regression model Y = X β + ?, where the regressors X are fixed and ? is the error term. This research focuses on the problem of missing X values. A particular component of market-share analysis has motivated this research where the price and other promotional instruments of each brand are allowed to have their own impact on the total sales volume in a consumer-products category. When a brand is not distributed in a particular week, only a few of the many measures occurring in that observation are missing. ‘What values should be imputed for the missing measures?’ is the central question this paper addresses. This context creates a unique problem in the missing-data literature, i.e. there is no true value for the missing measure. Using influence functions, from robust statistics we develop two loss functions, each of which is a function of the missing and existing X values. These loss functions turn out to be sums of ratios of low-order polynomials. The minimization of either loss function is an unconstrained non-linear-optimization problem. The solution to this non-linear optimization leads to imputed values that have minimal influence on the estimates of the parameters of the regression model. Estimates using the method for replacing missing values are compared with estimates obtained via some conventional methods.     

基于t-Copula的一篮子信用违约互换定价模型

为了刻画分布函数的厚尾特征和违约的传染性,构建了单因子t-Copula模型,以此研究一篮子信用违约互换(BDS)的定价问题。依据风险中性定价原理和顺序统计量方法,分别得到了第k次违约和n个参照实体中m个受保护的BDS价格的解析式.为了说明定价模型的有效性,用随机模拟方法分析了相应的数值算例.     

概率统计课程中数学创新思维训练方法及实践

从认识规律出发论述了几种数学创新型思维在大学数学教育中的必要性及可行性.介绍我校在《概率论与数理统计》课程中采用以原问题为主导的问题驱动式研究型教学方法,在该课程中训练学生数学创新思维的教学模式,并针对直觉、类比、归纳和发散等几种思维方式训练介绍了若干具体实践案例.     

概率论与数理统计实验教学案例设计

为克服传统数学教学模式局限于理论教学的弊端而倡导实践教学,设计出一个概率论与数理统计实验教学的案例,将线性回归分析应用于高光谱遥感图像的处理之中.     

降雨背景下诱骗态协议最优平均光子数的变色龙自适应策略

为了应对降雨给采用诱骗态协议的量子通信系统带来的突发性干扰,根据降雨分布模型和退极化信道的特性,本文提出了基于变色龙算法的每脉冲最优平均光子数自适应策略;建立了降雨强度、链路距离与最优平均光子数之间的自适应关系;并对采用变色龙算法前后,系统的性能参数进行了比较.仿真结果表明,当降雨强度J为30 mm/24 h、链路距离L为30 km时,通过采用变色龙算法,系统的安全密钥生成率由2×10~(-4)提高到3.5×10~(-4);当J为60 mm/24 h,L为20 km时,系统的信道生存函数值由0.52提高到0.63;当要求生存函数不低于0.5时,系统能够应对的最大雨强由62 mm/24 h提高到74 mm/24 h.因此,根据降雨强度和链路距离,通过变色龙算法自适应地调整系统发送端信号脉冲所含的平均光子数,可以提高量子通信系统在降雨背景下的有效性和可靠性.     

一种基于SSM的HMM训练算法

在Baum-Welch(BW)算法的基础上提出了一种基于态相关方法(State—Specific Method：SSM)的隐马尔可夫模型(Hidden Markov Mode：HMM)参数估计算法(简称SBW算法)．该算法在估计HMM不同状态的概率密度函数(probability density function：PDF)的参数时使用了与状态有关的维数较低的特征集合．与传统的BW算法相比，新算法避免了直接估计高维的PDF参数．仿真实验表明，在训练数据量不足的情况下，采用SBW算法的误识率明显低于BW算法．     

多元统计方法用于太湖梅梁湾水质特征识别

旨在识别太湖梅梁湾水质特征,为水质保护、规划、管理、利用提供决策参考.研究利用太湖梅梁湾区域9个监测点数据,以主成分分析探讨主要污染来源;以聚类分析划分监测点类别并识别其空间相似性;以比对各类别监测点数据,讨论了污染物类别及浓度变化情况.结果显示梅梁湾水质主要受农业非点源、浮游植物生长、外源输入的有机悬浮物、含氮有机污染物及土壤土质5方面影响;梅梁湾区域9个监测点位划归为4类,即：河流入湖口、入湖口近岸、远离入湖口近岸及湖心点类;梅梁湾水质主要超标污染物为N、P,且各指标浓度变异不大.由此可见,太湖梅梁湾水质具有明确的空间分布与特征.     

“统计信息”与“信息高速公路”

本文从我国统计信息事业的现状，提出了关于第一类统计与第二类统计。同时指出统计信息事业的迅速发展与繁荣，首先必须实现两类统计的相互渗透；其二必须与计算机技术密切结合，以建立起各级各类统计信息的高速公路，使统计信息更好地为我国的科技、经济、社会的全面发展提供有效的服务。     

Order statistics applications to queueing and scheduling problems

We prove several basic combinatorial identities and use them in two applications: the queue inference engine (QIE) and earliest due date rule (EDD) scheduling. Larson (1990) introduced the QIE. His objective was to deduce the behavior of a multiserver queueing system without observing the queue. With only a Poisson arrival assumption, he analyzed the performance during a busy period. Such a period starts once all servers are busy with the queue empty, and it ends as soon as a server becomes idle. We generalize the standard order statistics result for Poisson processes, and show how to sample a busy period in the M/M/c system. We derive simple expressions for the variance of the total waiting time in the M/M/c and M/D/1 queues given that n Poisson arrivals and departures occur during a busy period. We also perform a probabilistic analysis of the EDD for a one-machine scheduling problem with earliness and tardiness penalties. The schedule is without preemption and with no inserted idle time. The jobs are independent and each may have a different due date. For large n, we show that the variance of the total penalty costs of the EDD is linear in n. The mean of the total penalty costs of the EDD is known to be proportional to the square root of n (see Harel (1993)). This revised version was published online in June 2006 with corrections to the Cover Date.     

Rate of Convergence of Intermediate Order Statistics

Exact rates are derived for the uniform convergence of the density of intermediate order statistics towards the normal or lognormal density under certain smoothness conditions. Our methods also give the exact rate of convergence in the uniform metric and in the total variation metric.