随机时间剩余寿命的分布类性质

得出了随机时间剩余寿命XY的随机比较性质和矩不等式．当Y是指数分布时求出了XY的故障率的界．     

Nonparametric Estimation of Hazard Rate Under the Constraint of Monotonicity

This article shows how to smoothly “monotonize” standard kernel estimators of hazard rate, using bootstrap weights. Our method takes a variety of forms, depending on choice of kernel estimator and on the distance function used to define a certain constrained optimization problem. We confine attention to a particularly simple kernel approach and explore a range of distance functions. It is straightforward to reduce “quadratic” inequality constraints to “linear” equality constraints, and so our method may be implemented using little more than conventional Newton–Raphson iteration. Thus, the necessary computational techniques are very familiar to statisticians. We show both numerically and theoretically that monotonicity, in either direction, can generally be imposed on a kernel hazard rate estimator regardless of the monotonicity or otherwise of the true hazard rate. The case of censored data is easily accommodated. Our methods have straightforward extension to the problem of testing for monotonicity of hazard rate, where the distance function plays the role of a test statistic.     

Sato Processes in Default Modelling

Abstract

In reduced form default models, the instantaneous default intensity is the classical modelling object. Survival probabilities are then given by the Laplace transform of the cumulative hazard defined as the integrated intensity process. Instead, recent literature tends to specify the cumulative hazard process directly. Within this framework we present a new model class where cumulative hazards are described by self-similar additive processes, also known as Sato processes. Furthermore, we analyse specifications obtained via a simple deterministic time change of a homogeneous Lévy process. While the processes in these two classes share the same average behaviour over time, the associated intensities exhibit very different properties. Concrete specifications are calibrated to data on all the single names included in the iTraxx Europe index. The performances are compared with those of the classical Cox–Ingersoll–Ross intensity and a recently proposed class of intensity models based on Ornstein–Uhlenbeck-type processes. It is shown that the time-inhomogeneous Lévy models achieve comparable calibration errors with fewer parameters and with more stable parameter estimates over time. However, the calibration performance of the Sato processes and the time-change specifications are practically indistinguishable.     

Analytic hierarchy based policy design method (AHPo) for solving societal problems that require a multifaceted approach

This paper proposes an AHP based statistical method for the design of a comprehensive policy alternative, AHPo, for solving societal problems that require a multifaceted approach. In the proposed method, criteria relevant to the goal or focus are structured in the same way as in the conventional AHP. However, these two methods are quite different in regard to the method of quantification. The new method predicts or analyses the impact of the policy alternatives on the overall goal. In other words, it predicts or rationalizes the way people appreciate the situation in which an alternative is adopted and implemented. It will serve as a tool for supporting (especially political) decision making.     

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??In this paper, we compare the smallest order statistics arising from multiple-outlier models when the numbers of independent and identically distributed random variables are different. Let and denote the smallest order statistics among, and, respectively, whereand. We then prove that $ and are ordered in terms of the usual stochastic order, hazard rate order and likelihood ratio order under the majorization relationship between and.     

金融风险度量的建模理论与方法的一些进展及其应用

本文综述了金融风险度量的建模的理论和方法最近的发展。介绍了常用的矩度量和现代风险度量技术,包括在险价值VaR、预期不足ES和期望分位数Expectile等现代风险度量技术和方法,以及复杂风险因素下的非/半参数风险度量方法。违约概率和违约相关性是信用风险度量中的两个基本概念,本文还介绍了信用违约风险中违约概率和违约相关性的常用度量方法。最后,通过一些应用案例介绍如何在金融风险度量中应用现代风险度量技术度量和识别风险。     

有害废弃物处理站选址近似帕累托集合的有效产生

本文研究有害废弃物处理站选址问题。在Ravi等研究的MAX—MIN问题的基础上,考虑了处理站点容量的因素,建立了双目标优化问题,并给出了一个多项式时间算法,该算法能够产生一个（1,ε）一近似帕累托解集合。所得结论对实际的有害废弃物处理站选址决策具有理论意义,同时也完善了已有相关研究结果。     

Consumer heterogeneity and the shape of purchase rate functions

This study suggests that non-monotonic purchase rates, frequently observed in empirical studies of consumer purchase timing, can be an artifact of consumer heterogeneity. We use a theoretical purchase timing model with consumer heterogeneity to develop market scenarios under which non-monotonic rates may obtain. The results suggest that non-monotonic rates are more likely to observe in product markets that are either highly concentrated or where the heavy buyer segment is large. In such markets, therefore, one should not rely on non-monotonic rate curves to predict household purchase incidence. © 1998 John Wiley & Sons, Ltd.     

左截断右删失下乘积限过程的振动模的强极限定理

本文在左截断右删失模型下获得了乘积限过程和累积失效率过程的振动模和Ｌｉｐｓｃｈｉｔｚ－１２模的强一致收敛的精确速度．作为定理的应用，推导了各种核密度估计和失效率估计的强一致收敛的精确速度．     

表面增强拉曼光谱技术在食品痕量化学危害检测中的应用

表面增强拉曼光谱(surface-enhanced Raman spectroscopy, SERS)技术是基于被测分子吸附在某些经特殊处理、具有纳米结构的金属表面具有极强拉曼散射增强效应的分子振动光谱技术。因SERS技术具有前处理简单、操作简便、检测时间短、灵敏度高等优点,在食品安全检测领域具有良好的应用前景。食品中化学危害残留超标是主要的食品安全问题之一,已引起全球的关注,SERS技术对食品中痕量化学危害的分子识别及定量分析检测的相关研究报道数量近年来呈上升趋势。本综述概括了应用SERS对食品中常被检出的非法添加物、农药残留、抗生素及其他药物残留检测中的应用和研究进展,涉及的拉曼散射增强基底体系多种多样,如金或银等纳米溶胶体系、金纳米固体表面基底、双金属或磁性内核等复合基底。研究对象一般以化学危害物的标准溶液为起点,扩展到常被检出该化学危害物的相应食品中,如乳制品、鱼、果蔬等。由于表面增强拉曼散射强度受多种因素的影响,SERS谱图的重现性还是一个亟需解决的难题,而食品复杂体系中非目标组分对被分析物拉曼散射信号的干扰导致SERS技术还不能成为一种有效的常规快速分析方法,但SERS为食品及其他复杂体系中痕量化学物的检测提供了一个新的极具潜力的工具。