SETAR model selection-A bootstrap approach

Summary  The aim of this paper is to propose new selection criteria for the orders of selfexciting threshold autoregressive (SETAR) models. These criteria use bootstrap methodology; they are based on a weighted mean of the apparent error rate in the sample and the average error rate obtained from bootstrap samples not containing the point being predicted. These new criteria are compared with the traditional ones based on the Akaike information criterion (AIC). A simulation study and an example on a real data set end the paper.     

熔池自激振荡的力学模型

本文提出熔池内钢水波动过程中的粘性损耗、回流运动与气泡上浮的能量可互为补偿,形成接近于无损的“自激振荡”式的波动。经过近似处理,推导出自激振荡的力学模型。在水模实验中可以看到,气泡上浮激发的是A型波,而生产实践中一般也激发A型波。按本力学模型所进行的流场速度计算,与在水模实验中所进行的二维激光测速的实测流场相比较,其分布与数值相当一致。     

A sequential software release policy

Most existing studies on software release policies use models based on the non-homogeneous Poisson process. In this paper, we discuss a software release policy based on a state space model. The state space model has a Gamma-Gamma type invariant conditional distribution. A cost model that removes errors in software systems and risk cost due to software failure is used. The optimal release time to minimize the expected cost in every test-debugging stage is discussed.     

截断δ冲击模型标值过程的协方差

在自激滤过泊松过程协方差研究的基础上,推导出了截断δ冲击模型标值过程的协方差的显式表达式,拓展了δ冲击模型理论。     

机械密封对转子轴承系统动力学性能的影响

采用集总质量模型和传递矩阵法建立了考虑机械密封影响的转子轴承系统动力学方程,并采用广义逆迭代法求解出上述线性方程组的特征值.在考察系统的响应时,采用Gauss消元法计算不平衡激励下系统的强迫振动响应.结合某典型的八字形螺旋槽式液体机械密封的动特性参数计算结果,给出了机械密封对高速转子轴承系统动力学行为的影响,并同时分析了结构参数对系统动力学性能的影响,以及在不平衡激励下考虑机械密封系统时转子轴承系统的强迫振动响应.结果表明,机械密封的存在对高速转子轴承系统动力学行为有一定的影响.例如,对于柔性转子系统,考虑机械密封系统时可使系统的一阶阻尼临界转速提高60%～80%.     

Limit theorems for inverse process <Emphasis Type="Italic">T</Emphasis><Subscript><Emphasis Type="Italic">n</Emphasis></Subscript> of Hawkes process

We consider linear Hawkes process N _t and its inverse process T _n . The limit theorems for N _t are well known and studied by many authors. In this paper, we study the limit theorems for T _n . In particular, we investigate the law of large numbers, the central limit theorem and the large deviation principle for T _n . The main tool of the proof is based on immigration-birth representation and the observations on the relation between N _t and T _n .     

A Spatially Correlated Model with Generalized Autoregressive Conditionally Heteroskedastic Structure for Counts of Crimes

Crime is a negative phenomenon that affects the daily life of the population and its development. When modeling crime data, assumptions on either the spatial or the temporal relationship between observations are necessary if any statistical analysis is to be performed. In this paper, we structure space–time dependency for count data by considering a stochastic difference equation for the intensity of the space–time process rather than placing structure on a latent space–time process, as Cox processes would do. We introduce a class of spatially correlated self-exciting spatio-temporal models for count data that capture both dependence due to self-excitation, as well as dependence in an underlying spatial process. We follow the principles in Clark and Dixon (2021) but considering a generalized additive structure on spatio-temporal varying covariates. A Bayesian framework is proposed for inference of model parameters. We analyze three distinct crime datasets in the city of Riobamba (Ecuador). Our model fits the data well and provides better predictions than other alternatives.     

自激滤过泊松过程的协方差

主要利用特征函数与协方差的关系,以及重积分的性质,得到了自激滤过的泊松过程的协方差的显示表达式。     

A space-time clustering model for historical earthquakes

This paper describes a generalization of Hawkes' self-exciting process in which each event creates a process of offspring with conditional intensity governed by a diffusion kernel. The process may be described as a space-time branching process with immigration, the immigration representing a background series of independent events. The model can be fitted by likelihood methods. As an illustration it is fitted to the catalogue of historical Italian earthquakes.     

Moderate deviations for marked Hawkes processes

We consider a linear Hawkes process with random marks. Some limit theorems have been studied by Karabash and Zhu [Stoch. Models, 31, 433–451 (2015)]. In this paper, we obtain a moderate deviation principle for marked Hawkes processes.