中国股市收益率分布特征的实证研究

金融数据除了具有尖峰厚尾特性以外,也表现出了尾部概率的非对称性,即偏尾特征。本文采用非对称Lap lace分布对我国沪深股市的样本收益率数据进行了实证分析,研究表明,我国股市的中长期收益率数据存在明显偏尾特征,与Compell的行为金融学解释恰恰相反,这种偏尾特征的具体表现不是左尾比右尾厚,而是右尾比左尾厚,研究还表明深市收益率偏尾特征对时间水平的灵敏度比沪市要高。     

近壁湍流脉动的概率分布函数

采用大涡模拟方法,模拟槽道湍流,获得了不同雷诺数情形下的槽道流大涡模拟数据库．在此基础上,获得了流向和垂向脉动速度的概率分布函数,并运用假设检验,分析了其与正态分布的定量差别．进一步计算了流向和垂向脉动速度的偏斜度、平坦度,讨论了二者在粘性子层、过渡区和对数律区的变化．同时,讨论了粘性子层、过渡区和对数律区流向和垂向脉动速度概率分布函数的特点及其与湍流猝发的高速流下扫和低速流喷发事件的关系．最后,分析了雷诺数对流向、垂向脉动速度分布的影响．     

Generalized skew-elliptical distributions and their quadratic forms

This paper introduces generalized skew-elliptical distributions (GSE), which include the multivariate skew-normal, skew-t, skew-Cauchy, and skew-elliptical distributions as special cases. GSE are weighted elliptical distributions but the distribution of any even function in GSE random vectors does not depend on the weight function. In particular, this holds for quadratic forms in GSE random vectors. This property is beneficial for inference from non-random samples. We illustrate the latter point on a data set of Australian athletes.     

Turbulent flow in a conical diffuser: A review

This is a review of experimental studies of turbulent flow in a conical diffuser by eight Ph.D. students, eleven M.Sc. students, one M.Eng. student, and myself in the past 29 years. During this time, two conical diffusers were constructed: the first was of cast aluminum construction, and the second was of plastic fabrication. These two diffusers were basically the same in geometry except that the pipe section was constructed as an integral part of the plastic diffuser to avoid the lip at the junction of the inlet pipe and the diffuser. The conical diffuser had a total divergence angle of 8°, an area ratio of 4:1, and an inlet diameter of 0.1016 m (4 in.).

The flow at the inlet of the diffuser was usually fully developed pipe flow, but sometimes it was boundary layer grown on the pipe wall. Hot-wire and pulse-wire anemometry together with computer facilities were used to obtain the results of complex flow present in the conical diffuser. Mean velocity profiles were obtained throughout the diffuser, which in turn were used to obtain strain rates and their principal direction. Turbulence moments up to fourth order were measured. The results were used to assess momentum, turbulent kinetic energy, and shear stress equations. Other features such as instantaneous flow reversals in the wall region, relative strength of large eddies, extra strain rate, and the production of kinetic energy also were investigated to find the dynamical picture in the diffuser flow.     

粗糙磨损表面特征的双谱分析

采用双谱分析技术，结合表面粗糙度偏斜度评定参数的定义，给出了偏斜度函数的双谱表达式；在对工程粗糙表面的偏斜度进行理论研究的基础上，分析了精密车削和磨削加工试件磨损前后表面高度分布的偏斜度．结果表明，可以用双谱和偏斜度函数对粗糙磨损表面非对称高度分布进行直观和便捷的评价．     

PROBABILITY DISTRIBUTION FUNCTION OF NEAR-WALL TURBULENT VELOCITY FLUCTUATIONS

IntroductionNear-wall turbulence plays an important role in environmental engineering due to itsgreat impact on the transport of pollutants,nutrients,sediments,etc.Therefore,peoplehave long been studying the wall-bounded turbulence[1,2],in which the proba…     

Study of the Second-Order Nonlinear Characteristics of Ocean Waves (Ⅰ)——Theoretical Derivation

This paper investigates the second-order nonlinear characteristics of random waves. Based upon the solutions derived strictly for 3-dimensional random waves in water of arbitrary uniform depth , the sea surface skewness and the second-order spectrum are exactly rededuced in a more reasonable way, and the bispectrum of sea surface elevation is theoretically given for the first time.     

Likelihood ratio tests for symmetry against one-sided alternatives

A random variableX is said to have a symmetric distribution (about 0) if and only ifX and –X are, identically distributed. By considering various types of partial orderings between the distributions ofX and –X, one obtains various notions of skewness or one-sided bias. In this paper we study likelihood ratio tests for testing the symmetry of a discrete distribution about zero against the alternatives, (i)X is stochastically greater than –X; and (ii) pr(X=j)pr(X=–j) for allj>0. In the process, we obtain maximum likelihood estimators of the distribution function under the above alternatives. The asymptotic null distributions of the test statistics have been obtained and are of the chi-bar square type. A simulation study was performed to compare the powers of these tests with other tests.     

基于Beta分布形状的拟合优度检验

本文指出了拟合优度检验中选用经验频率公式时存在的误区,对顺序统计量失效概率分布进行了偏态和峰态分析,提出了一个基于Beta分布形状特征的经验分布函数,给出了精确值和近似值两种计算方法,在此基础上建立新的极值型检验统计量．利用Monte Carlo方法进行数值模拟,得到0．01、0．05、0．1显著度水平下检验统计量的临界值,并利用常用的分布模型进行检验功效比较,数值模拟结果表明基于分布形状的经验频率公式能更好地反映顺序统计量失效概率分布的集中趋势,证明了本文提出的两种检验统计量在中小样本条件下具有更优的检验功效．     

结构随机分析的概率与复合重要度及其求解

针对基于方差方法的重要度信息量不足而矩独立重要度计算量大、求解难的缺点,将响应量的偏度和蜂度信息引入灵敏度分析中,定义了概率重要度和复合重要度,用于衡量基本变量对响应量分布形状的主要影响趋势及在该影响趋势下的影响程度.同时针对传统方法求解矩的困难,将控制理论中的状态依存参数模型运用于本文所提重要度的求解,极大程度地化筒了计算.最后,通过算例中与基于方差方法的重要度与矩独立重要度的比较,可知本文所提重要度涵盖了基于方差方法重要度和矩独立重要度的主要信息,说明本文重要度的合理性和正确性,算例与Monte Carlo数值模拟方法的比较,表明状态依存参数模型求解方法具有较好的计算精度和效率.