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  • 学术论文
    Luo Ji
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2008, 24(3): 312-318.
    EM algorithm is one of the data augmentation algorithms, which usually are used to obtain estimate of the posterior mode of observed data recent years. However, because of its difficulty in calculating the explicit expression of the integral in E step, the application of EM algorithm is limited. While Monte Carlo EM algorithm solves the problem well. Owing to effectively facilitating the integral in E step of EM algorithm by Monte Carlo simulating, Monte Carlo EM algorithm has been successfully used to a wide range of applications. There is, however, the same shortage for EM algorithm and Monte Carlo EM algorithm, that the convergence rate of the two algorithms is linear. So this paper proposes the acceleration of Monte Carlo EM Algorithm, which is based on Monte Carlo EM Algorithm and Newton-Raphson algorithm, to improve the convergence rate. Thus the acceleration of Monte Carlo EM Algorithm has the advantages of both Monte Carlo EM Algorithm and Newton-Raphson algorithm, that is to say it facilitates E step by Monte Carlo simulation and also has quadratic convergence rate in a neighborhood of the posterior mode. Later its excellence in convergence rate is illustrated by a classical example.
  • article
    Cui Ruwei, Jiang Hui
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST.

    In this article, using the limit theory of martingales, we study the
    moderate deviation for maximum likelihood estimator of unknown parameter in the stochastic
    partial differential equation driven by additive fractional Brownian motion with Hurst
    parameter , and the rate function can be calculated. Moreover, we apply our
    main result to several examples.

  • 综合报告
    Zhang Jianfang,Wang Xiuxiang
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2009, 25(2): 201-214.
    Histogram is the most widely used density estimator and data analysis tool. It is completely determined by two parameters: the bin width and one of the bin edges. However, many professional statisticians have no really definitive answers and simply give some intuitive advises when face to choose these two parameters. Even most statistical packages use the rules of thumbs for selecting the number of bins as a default. In this paper, we will present the histogram theories and optimal histogram construction algorithms that have been recently proposed. The methods of how to construct the data-based histograms are the
    emphasis of this paper.
  • article
    Pan Dongdong, Li Zhengbang, Zhang Wei, Li Qizhai
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2014, 30(1): 84-103.

    This paper presents a systematic overview
    of the genome-wide association study. We mainly focus on the
    statistical methods. Some problems and challenges are also
    provided.

  • 学术论文
    Cui Henjian, Chan Laikow
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2007, 23(2): 113-122.
    In this paper, a short production run process and some kinds of existed
    control charts for short run process are introduced which includes plotted
    statistics and control limits for subgroup and individual cases respectively.
    Some comparisons are also addressed.
  • 学术论文
    Lu Zhifeng,Wang Juan
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2009, 25(4): 354-364.
    This paper extends the (generalized)
    Beta distribution to the (generalized) multivariate Beta
    distribution. We also study the moment generating function of
    multivariate Beta distribution, obtain the marginal distribution,
    conditional distribution and regression function of the generalized
    multivariate Beta distribution.
  • 学术论文
    Wang Zhanfeng,Wu Yaohua,Zhao Lincheng
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2010, 26(1): 66-80.
    Censored regression (``Tobit'') model
    is one of important regression models and has been widely used in
    econometrics. However, studies for variable selection problem in
    censored regression model are rare at the present references. In
    this paper, for censored regression model we propose a LASSO-type
    approach, diverse penalty $L_1$ constraint method (DPLC), to select
    variables and estimate the corresponding coefficients. Furthermore,
    we obtain the asymptotic properties of nonzero elements' estimation
    of regression coefficient. Finally, extensive simulation studies
    show that DPLC method almost possesses the same performance of
    selecting variables and estimation as generally best subset
    selection method (GBSS).
  • 学术论文
    Xie Fengchang,Wei Bocheng,Lin Jinguan
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2009, 25(6): 659-671.
    ZI (zero-inflated) data are data with overmuch zeroes.
    The ZI data have been commonly encountered in a wide variation of
    disciplines, and have been a hot topic since last decade. In this
    paper, we first present the actual significance of ZI data via two
    examples. Then we demonstrate the general situation and latest
    improvement of statistical analysis for zero-inflated data.
    Additionally, zero-inflated models, zero-inflated mixed models, and
    the estimation methods and some diagnostic problems are surveyed
    systematically. The relevant work done by authors in recent years
    are also introduced. Finally, several potential topics to be studied
    are listed.
  • article
    Ding Fangqing,Yao Dingjun
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2011, 27(2): 210-223.

    This article considers the compound Poisson
    insurance risk model perturbed by diffusion with investment and
    constant dividend barrier. Integro-differential equations for the
    high order moments of the discounted dividend payments prior to ruin
    are derived. Closed form solutions are formulated when the
    individual claim amount distribution is exponential. Some satisfying
    results about the distribution of the aggregate dividend are
    obtained, even for general claim size distributions. We also
    investigate the number and the amount of the dividend streams. Both
    the time of ruin and the deficit at ruin are considered in some
    special cases. Confluent hypergeometric functions play a key role in
    this paper.

  • article
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2011, 27(2): 113-123.
  • article
    Li Feng,Lu Yiqiang,Li Gaorong
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2012, 28(6): 614-624.

    Partially linear model is a class of commonly
    used semiparametric models, this paper focus on variable selection
    and parameter estimation for partially linear models via adaptive
    LASSO method. Firstly, based on profile least squares and adaptive
    LASSO method, the adaptive LASSO estimator for partially linear
    models are constructed, and the selections of penalty parameter and
    bandwidth are discussed. Under some regular conditions, the
    consistency and asymptotic normality for the estimator are
    investigated, and it is proved that the adaptive LASSO estimator has
    the oracle properties. The proposed method can be easily
    implemented. Finally a Monte Carlo simulation study is conducted to
    assess the finite sample performance of the proposed variable
    selection procedure, results show the adaptive LASSO estimator
    behaves well.

  • article
    Ye Zhongxing, Zhuang Ruixin
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2012, 28(1): 79-86.

    This paper discusses the pricing of total
    return swap which is one of the credit derivatives. As the total
    return swap contracts are exposed to both interest rate risk and
    default risk, this paper characterizes the interest rate risk
    through HJM model. Intensity model and hybrid model are used to
    characterize the default risk and to derive the corresponding
    pricing formula for two cases when the default time and interest
    rate are independent or correlated, respectively. Monte Carlo
    simulation method is used here to derive the numerical solution of
    the pricing problem.

  • 学术论文
    Su Yan,Yang Zhenghai
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2010, 26(3): 234-244.

    The $\chi^{2}$ conditional test for
    multivariate normality is suggested. The transformed sample
    $\mathbf{Y}_{d}=R\mathbf{V}_{d}$ from a $d$-variate normal
    distribution has a symmetric multivariate Pearson type II
    distribution, the result that $R^{2}$ has a beta distribution is
    proved, the asymptotic Chi squared distribution of the statistic
    $\chi^{2}$ based on beta distribution and sphere uniform
    distribution is obtained. The Monte Carlo power study for
    multivariate normality suggests that our test is a powerful
    competitor to existing tests. The goodness-of-fit for multivariate
    normality of iris data is analyzed.

  • 应用简报
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2008, 24(6): 666-670.
    对于非线性、非稳定的时间序列, 门限自回归模型具有较好的预测效果. 本文根据四川省1952--2005年商品零售物价指数的资料, 运用门限自回归分析方法对四川省近五十年来的商品零售物价指数进行了时间序列分析, 得到的模型拟合效果较好, 并适合于短期预测, 从而为政府管理物价提供了较精确的数量依据.
  • article
    Liu Yajun, Sun Dongchu
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2014, 30(1): 1-11.

    This paper improves the convergence
    of two variance parameters in He and Sun (2000) by applying the
    ancillarity-sufficiency interweaving strategy (ASIS in Yu and Meng
    (2011)) algorithm to the Gibbs sampling steps. The performance of
    the ASIS algorithm is compared with the regular Gibbs sampling by
    the potential scale reduction factor, trace plots and posterior
    estimates. The convergence of one parameter improves greatly, but
    the other one does not have a very significant improvement. However,
    the overall sampling performance has improved greatly since it needs
    much fewer iterations than using regular Gibbs sampling to achieve
    convergence.

  • 学术论文
    Lu Shulong, Liu Wenli
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2008, 24(6): 621-630.
    Least square estimator (LSE) is disturbed easily by singular point; least absolute deviation estimator (LADE) can overcome the influence of singular point, but it is difficult in calculation. A convergent algorithm for LADE based on the stable
    pole theorem of LADE under non-degenerate model is obtained in this paper. The progress of algorithm and comparison of linear programming are derived. Further this algorithm makes LADE more effective.
  • article
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2011, 27(2): 124-126.
  • article
    Shi Jingtao,Wu Zhen
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2011, 27(2): 127-137.

    An optimal control problem motivated by a
    portfolio and consumption choice problem in the financial market
    where the expected utility of the investor is assumed to be the
    Constant Relative Risk Aversion (CRRA) case is discussed. A local
    stochastic maximum principle is obtained in the jump-diffusion
    setting using classical variational method. The result is applied to
    make optimal portfolio and consumption choice strategy for the
    problem and the explicit optimal solution in the state feedback form
    is given.

  • article
    Li Xiaohu,Huang Yanyan,Zhao Xueyan
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2011, 27(5): 511-521.

    The probability of success in a Binomial
    model is often viewed as a continuous random variable when
     needs to be considered. In this note, we study the
    mixed Binomial model with the probability of success having the
    Kumaraswamy distribution. Stochastic orders and dependence in this
    model are discussed; Further, the new models are employed to fit
    some real data sets, and the numerical results reveal that KB models
    perform better than Beta-Binomial model in some occasions.

  • article
    Wang Lihong,Gu Chengzu
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2011, 27(6): 642-656.

    This paper considers the state space representation
    for the ARFIMA-GARCH model, which combines both the long memory time
    series and the conditional heteroscedastic processes. Although this
    state space representation is infinite dimensional, an exact maximum
    likelihood (ML) estimator based on this kind of representation can
    be computed in a finite number of iterations. Quasi ML estimators
    based on the autoregressive approximation for the likelihood
    function are proposed. Due to the facility of the state space
    representation, these estimation approaches can be easily applied to
    the missing data case. Simulation results of both the non-missing
    data case and the missing data case are reported. A real data
    example from stock market illustrates the proposed method.

  • 学术论文
    Yu Peng, Tong Xinwei, Feng Jufu
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2008, 24(5): 475-483.
    In this paper we propose an unsupervised classification algorithm which is based on Gaussian mixture models. Thinking that EM algorithm will result in a local optimal resolution of Gaussian mixture models in parameter estimations, we substitute invert Wishart distribution for Jeffery prior. Experiments show that this
    algorithm improves correct rates and decreases time while estimating
    classifications.
  • 学术论文
    Ji Yunqi, Zhu Zhongyi
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2008, 24(5): 541-553.
    Marginal regression model and its associated generalized estimating equation (GEE) are becoming increasingly being used in longitudinal studies. Pepe and Anderson (1994) pointed out that there is an important assumption called PA condition behind GEE method. If the assumption is violated and nondiagonal working correlation matrix is used in GEE, the statistical inference may be
    deficient. This paper focused on PA condition's influence on the testing of regression coefficients in GEE method by theoretic and numeric analysis. Due to the violation of the PA condition, the distributions of Wald statistics and Score statistics based on GLS estimators are noncentral $\chi^{2}$ distributions. The efficiency of testing based on the GEE method is largely influenced.
  • 论文
    WANG Wensheng
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2006, 22(4): 347-357.
    In this paper, by applying the Skorohod martingale embedding theorem, we prove a strong invariance principle for an associated sequence of Gaussian random variables under the restrictions that the sequence is Gaussian and the covariance coefficients of the sequence decay with power decay rates. As consequences, the law of the iterated logarithm and Chung's law of the iterated logarithm for associated sequences of Gaussian random variables are obtained.
  • article
    Xu Qunfang
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2011, 27(1): 61-71.

    The conditional mean, variance and higher-conditional
    moment functions are often of special interest in regression. In
    this paper,we generalize central mean subspace and focus especial
    attention on the k th-conditional moment function. For this, we
    first borrow the new concept --- the central k th-conditional
    moment subspace, and study its basic properties. To avoid computing
    the inverse of the covariance of predictors with large
    dimensionality and highly collinearity, we develop a method called
    the $k$th-moment weighted partial least squares to handle with the
    estimation of the central k th-conditional moment subspace.
    Finally, we obtain strong consistency

  • 应用简报
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2010, 26(2): 220-224.
    文给出了一个新的指数型分布,
    它是整参数贝塔分布$\mbox{Be}(k+1,n-k)$对于整数$n$的截0至$k$的截尾泊松分布的混合分布.
    论文给出了这一分布的统计意义和数字特征,
    并通过一个例子说明了它的一个应用.
  • article
    Shi Daoji,Guo Hui,Luo Junpeng
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2010, 26(5): 459-468.

    Semiparametric Archimedean copulas, which have a fexible
    dependence structure because of the special way constructed by using
    the existing archimedean generator, can describe the dependence
    structure between the financial data auto-adaptively. The empirical
    results on the exchange rate market suggest that the semiparametric
    Archimedean copula is more flexible than the other three copulas,
    and is suggestive when selecting copulas.

  • article
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2011, 27(1): 103-105.
  • article
    Shi Jianhong,Lin Hongmei
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2013, 29(1): 87-96.

    Methods for interval estimation and hypothesis
    testing about the ratio of expected lifetimes of two independently
    distributed two-parameter exponential distribution based on the
    concept of generalized variable approach are proposed. As assessed
    by simulation, the coverage probabilities of the proposed approach
    are found to be very close to the nominal level even for small
    samples. The proposed new approaches are conceptually simple and are
    easy to use. Similar procedures are developed for constructing
    confidence intervals and hypothesis testing about the difference
    between means of two independent two-parameter exponential
    distribution.

  • article
    Zhang Yu, Xia Chuanxiao, Zeng Linrui
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2013, 29(4): 433-442.

    The varying-coefficient single-index
    models (VCSIM) have been applied in many fields since they combine
    the advantages of single-index models and varying-coefficient
    models. In this paper, their estimation method is proposed based on
    B-spline approximation technique and two calculation methods can be
    used. The first one is to directly calculate the parametric and
    nonparametric parts simultaneously by Newton-Raphson iteration
    algorithm. The second one is to calculate the two parts by profile
    method individually. We suggest that the second method is for our
    preference when the large amount of parameters are involved,
    otherwise the first method will be more convenient. Two simulated
    examples are given to illustrate the performances of the proposed
    estimation methodologies and calculation procedures.

  • 学术论文
    Wei Bocheng
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2009, 25(4): 441-448.
    Based on data analysis, using the theory and method of
    ``equivalent test on two independent binomial populations'', this
    paper provides a strong evidence that there are significant
    differences on the writing of sights between first 80 chapters and
    last 40 chapters in 《Dream of Red Mansions》. The confidence
    probability of this conclusion is greater than 98\%.
  • 应用简报
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2008, 24(5): 554-558.
  • article
    Du Zhikuo,Zhang Dixin
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2011, 27(4): 425-434.

    This paper extends Hull-White interest
    rate model to cover cross-currency case. In the extended model we
    discuss valuation of cross-currency Bermudan swaptions. Since the
    closed-form pricing formula is hard to obtain, we apply the Least
    Squared Monte-Carlo approach to find the optimal exercising time.
    Some numerical results with different parameters are presented.

  • 论文
    DING Zhaopeng
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2006, 22(4): 372-386.
    In the classical risk theory, the risk of the accumulative claims follows Poission
    process. We will consider Erlang(2) risk process with the time between two claims
    following Erlang(2) distribution which always appears in control theory. In this paper,we consider an auxiliary function $\phi(\cdot)$ which involves the time of ruin, the surplus immediately before ruin, and the deficit at the time of ruin for our model within the three variables are essential and principal for the study of risk process.This auxiliary function has been studied by Willmot and Lin (1999) in the classical continuous time risk model. Motivated by the exposition in Gerber and Shiu (1997)and Willmot and Lin (2000), the first important result is to find the joint distributiondensity function of $U(T-)$ and $|U(T)|$ which is convenient to get the expression of $\phi(\cdot)$. But our approach is rather different from the technique for the classical risk model because of the distinct internal characteristic between two models. Influenced by the ideas in Gerber and Landry (1998) and Gerber and Shiu (1999), we will determine the optimal exercise price for an American put option whose foundation property price follows some risk process as an application.
  • 学术论文
    Bao Wenqing
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2008, 24(1): 12-20.
    To deal with optimal selection for empirical distribution, we propose ``mean square distance'' by introducing square loss function, and derive a ``new'' empirical distribution function, which is shown to be optimal. For comparisons of five empirical distribution functions, we adopt another measure in the sense of
    ``Minimax'', and simulation is used to illustrate the domination of the ``new'' empirical distribution function in continuous population.
  • article
    CAO Xuefei; LI Jihong; WANG Ruibo; NIU Qian; WANG Yu
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. https://doi.org/10.3969/j.issn.1001-4268.2022.03.001

    The bi-directional long short-term memory neural network model is widely used in natural language processing, but hyperparameter tuning of the model is difficult in practice. In this paper, we take the semantic role recognition task as an example, consider four candidate features (word, part of speech, target word and position) and two hyperparameters (the number of layers of the network and whether CRF classifier is used) as factors in robust design, and select the optimal combination of features and hyperparameters by setting levels of each factor and performing experiments. In particular, we perform 32 cross validation on a small datasets to select the optimal configuration combination of the model based on the SNR of robust design. Then, we analyze the influence of each factor on the performance of the model by quantitatively analyze so that the model has a certain degree of interpretability. Moreover, in order to verify the superiority of our tuning method, we use the standard segmentation of natural language processing on a big dataset, adopt the traditional greedy strategy to select the optimal configuration combination, and compare with our method on the test set. The results show that our method is better than the traditional tuning method.

  • article
    Xu Liang,Ding Xianwen,Lin Jinguan
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2011, 27(1): 91-102.

    The empirical likelihood method has been
    extensively applied to many models of statistical inference. This
    paper is based on empirical likelihood for partial linear models for
    statistical diagnosis. First, the estimating equations of the model
    are given and the maximum empirical likelihood estimates of the
    parameters are obtained; then, based on empirical likelihood method,
    the three different measures of influence curvatures are studied;
    last, stochastic simulation and data analysis are given to
    illustrate the validity of statistical diagnostic measures

  • article
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2014, 30(1): 40-56.

    In this paper, we consider two linear models with
    missing data, where the covariates are not missing, but response variables are missing
    at random(MAR). The inverse probability weighted imputation is used to impute the missing
    data of response variables, we can obtain the 'complete' data for two linear regression models.
    Then we can construct the empirical log-likelihood ratios of quantile differences of response
    variables. And the difference is that the asymptotic distributions for the empirical
    log-likelihood ratios of quantile differences of response variables are standard  comparing with the results of previous studies. The empirical likelihood confidence
    intervals for quantile difference of response variables is more accurate because the errors
    caused right of the coefficient estimates is reduced.

  • 学术论文
    CHEN Xia
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2006, 22(4): 337-346.
    This article advances an improved estimate $\wh\sigma_{n}(u)$ of $\sigma(u)$, and under some conditions, proves $\sup\limits_{u}|\wh\sigma_{n}(u)-\sigma(u)|\rightarrow0$in probability with faster speed.
  • article
    Xia Qiang,Liu Jinshan
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2011, 27(3): 276-282.

    Under the hypothesis of normal distribution,
    the change-point problems have four cases according to mean and
    variance changing. In this paper, we look upon the threshold
    nonlinearity test of TAR models as a change-point problem, which has
    a change-mean and constant-variance. We adopt reversible-jump Markov
    chain Monte Carlo (RJMCMC) methods to calculate the posterior
    probabilities of two competitive models, namely AR and TAR models.
    Posterior evidence favoring the TAR model indicates threshold
    nonlinearity. Simulation experiments demonstrate that our method
    works very well in distinguishing AR and TAR models.

  • article
    Zheng Guangyu, Shi Yimin
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2013, 29(4): 363-380.

    Based on adaptive type-II progressive
    hybrid censored data statistical analysis for constant-stress
    accelerated life test (CS-ALT) with products' lifetime following
    two-parameter generalized exponential (GE) distribution is
    investigated. The estimates of the unknown parameters and the
    reliability function are obtained through a new method combining the
    EM algorithm and the least square method. The observed Fisher
    information matrix is achieved with missing information principle,
    and the asymptotic unbiased estimate (AUE) of the scale parameter is
    also obtained. Confidence intervals (CIs) for the parameters are
    derived using asymptotic normality of the estimators and the
    percentile bootstrap (Boot-p) method. Finally, Monte Carlo
    simulation study is carried out to investigate the precision of the
    point estimates and interval estimates, respectively. It is shown
    that the AUE of the scale parameter is better than the corresponding
    two-step estimation, and the Boot-p CIs are more accurate than the
    corresponding asymptotic CIs.