基于时变Copula模型的 基金收益率相依关系的应用研究

基于时变Copula模型,获得预测方差,确定单个基金收益率序列的边缘分布.利用常见的静态Copula和时变Copula模型对基金收益率序列间两两相依关系进行建模并进行对比分析.应用研究表明,基于MCMC方法的时变Copula模型能更有效地度量基金收益率序列的风险.     

Calibrating software reliability models when the test environment does not match the user environment

Software failures have become the major factor that brings the system down or causes a degradation in the quality of service. For many applications, estimating the software failure rate from a user's perspective helps the development team evaluate the reliability of the software and determine the release time properly. Traditionally, software reliability growth models are applied to system test data with the hope of estimating the software failure rate in the field. Given the aggressive nature by which the software is exercised during system test, as well as unavoidable differences between the test environment and the field environment, the resulting estimate of the failure rate will not typically reflect the user‐perceived failure rate in the field. The goal of this work is to quantify the mismatch between the system test environment and the field environment. A calibration factor is proposed to map the failure rate estimated from the system test data to the failure rate that will be observed in the field. Non‐homogeneous Poisson process models are utilized to estimate the software failure rate in both the system test phase and the field. For projects that have only system test data, use of the calibration factor provides an estimate of the field failure rate that would otherwise be unavailable. For projects that have both system test data and previous field data, the calibration factor can be explicitly evaluated and used to estimate the field failure rate of future releases as their system test data becomes available. Copyright © 2002 John Wiley & Sons, Ltd.     

Comparison of two models for managing reliability growth during product design

Relying on reliability growth testing to improve system designis neither usually effective nor efficient. Instead it is importantto design in reliability. This requires models to estimate reliabilitygrowth in the design that can be used to assess whether goalreliability will be achieved within the target timescale forthe design process. Many models have been developed for analysisof reliability growth on test, but there has been much lessattention given to reliability growth in design. This paperdescribes and compares two models: one motivated by the practicalengineering process; the other by extending the reasoning ofstatistical reliability growth modelling. Both models are referencedin the recently revised edition of international standard IEC61164. However, there has been no reported evaluation of theirproperties. Therefore, this paper explores the commonalitiesand differences between these models through an assessment oftheir logic and their application to an industrial example.Recommendations are given for the use of reliability growthmodels to aid management of the design process and to informproduct development.     

一种基于图论与熵的专家判断客观可信度的确定方法

本文给出一种群决策中确定专家判断可信度的方法，其主要思路是首先通过图论中最小生成树的方法提取专家判断矩阵的全部信息，其次，使用相对熵指标确定获得专家判断的最终结果，并同时衡量专家自身判断的统一程度，从而确定专家判断的相对客观可信度。最后，文章给出一个典型的算例以说明该方法的可行性和有效性。     

一类二元相关威布尔分布的可靠性问题

本文考虑生存函数为${\ol{F}(x_{1},x_{2})}=\exp\{-[(x_{1}^{1/\alpha}/\theta_{1})^{1/\delta}+(x_{2}^{1/\alpha}/\theta_{2})^{1/\delta}]^{\delta}\},\;x_{i}>0,\;\alpha>0$, $1\geq\delta>0,\;\theta_{i}>0\;(i=1,2)$的二元威布尔分布的两种可靠性问题, 提出可靠度$\pr$的估计并讨论了它们的渐近性, 最后还作了模拟计算.     

抽样调查中最佳测量次数的确定

现场抽样调查中，由于测量误差的存在，使得所测变量实测值的方差增大，通过增加每个体的测量次数可以控制测量误差，但这样每个体调查费用增大。本文对测量信度Ｒ，每个体测量次数ｍ与相应所需的样本含量ｎｍ、调查费用Ｔｎ的关系进行了探讨，并介绍了如何根据Ｒ，及每个体测量费用占其总费用构成比Ｃ，确定最佳测量次数ｍ值，以达到最佳控制调查费用的目的，这对我们在大型现场调查中进行经济效益分析具有重大的理论指导意义。     

串联系统可靠性虚拟系统法置信下限的小样本性质

本文讨论了具有r个成败型元件串联系统可靠性的置信下限问题。研究了虚拟系统法置信下限的小样本性质,证明了,在通常情况下虚拟系统法置信下限要大于常见的L-M法置信下限.更一般地,本文证明了在成败型试验中,当成功数与试验数之比保持不变时,试验次数的增加将直接缩小成功率置信区间的长度。     

Practical stopping criteria for validating safety-critical software by estimating impartial reliability

In this research, we investigate stopping rules for software testing and propose two stopping rules from the aspect of software reliability testing based on the impartial reliability model. The impartial reliability difference (IRD-MP) rule considers the difference between the impartial transition-probability reliabilities estimated for both software developer and consumers at their predetermined prior information levels. The empirical–impartial reliability difference (EIRD-MP) rule suggests stopping a software test when the computed empirical transition reliability is tending to its estimated impartial transition reliability. To insure the high-standard requirement for safety-critical software, both rules take the maximum probability (MP) of untested paths into account.     

Robustness and exponentiality in redundant repairable systems

A redundant system of independent repairable components with general failure time and repair time distributions is considered. It is shown that the system failure time has an expectation dependent only on the mean failure times and mean repair times of the components and not on their distributions. An intuitive argument is provided, based on the time of onset of the quasi-stationary distribution on the set of working states, to show that for highly reliable systems, the system failure time is exponentially distributed to good approximation. The argument also justifies a simple figure of merit for the quality of the exponential approximation. A key ingredient in the analysis is the system relaxation time, an informal review of which is provided.