20 April 2010, Volume 26 Issue 2
    

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    学术论文
  • Wang Wei,Zhang Chunsheng
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2010, 26(2): 113-122.
    Abstract ( ) Download PDF ( ) Knowledge map Save
    In this paper, we study the
    adjustment coefficient as a function of the retention levels for
    combinations of quota-share with excess of loss reinsurance in the
    compound Poisson model perturbed by diffusion. We calculate the
    quota-share on original terms and the excess of loss reinsurance
    premium according to the expected value principle. Then the result
    that the adjustment coefficient is a unimodal function of the
    retention limit for excess of loss reinsurance in this risk model is
    obtained. In the last part of this paper, an upper bound for the
    probability of ruin in finite horizon is given.
  • Zheng Ming,Yu Wen
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2010, 26(2): 123-137.
    Abstract ( ) Download PDF ( ) Knowledge map Save
    In many applications
    involving follow-up studies, individuals' lifetimes may be subject
    to both left and right censoring. In this paper we consider
    regressing the median of the lifetime variable or a transformation
    thereof on the corresponding covariates when the lifetimes are
    subject to both left and right censoring and the values of both
    censoring variables are always observable. A semiparametric
    inferential procedure is proposed and the asymptotic properties of
    the proposed method are discussed. We also propose an alternative
    empirical likelihood based inferential procedure for the regression
    coefficients vector. Moreover, we make some discussion on classical
    doubly censored data whose censoring variables cannot always be
    observed. The proposed methods are illustrated by some simulation
    studies.
  • Chen Guanglei,Wang Zhaojun
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2010, 26(2): 138-150.
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    A multivariate partially linear model is
    considered in this paper. The B-spline least squares estimator for
    both the parametric and the noparametric components is proposed.
    Moreover, we investigate the the asymptotic normality of the
    estimator of the parametric component and the convergence rate of
    the estimator of nonparametric function.
  • Liu Xin,Yue Rongxian
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2010, 26(2): 151-158.
    Abstract ( ) Download PDF ( ) Knowledge map Save
    This paper discusses optimal design problems
    for the linear regression model with two responses, in which each
    response is expressed by a linear combination of Haar-wavelets. It
    is shown that the obtained design is D-, A- and Q-optimal
    simultaneously. Moreover, this design is independent of the
    covariance matrix of the responses.
  • Xiao Cuiliu,Zhao Xiaobing,Wang Jinglong
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2010, 26(2): 159-170.
    Abstract ( ) Download PDF ( ) Knowledge map Save
    Recurrent event data are often encountered in
    longitudinal follow-up studies related to biomedical science,
    econometrics, insurance claims, reliability and demography. The
    longitudinal pattern of gaps between successive recurrent events is
    often of great research interest. In this paper, we propose an
    alternative model which can accommodate ``cure fraction'' in gaps,
    and a nonparametric method is employed to the statistical inference.
    The proposed model and methodology are demonstrated by a small
    simulation result and the tumor recurrent data.
  • Fu Junhe
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2010, 26(2): 171-178.
    Abstract ( ) Download PDF ( ) Knowledge map Save
    This paper makes research on modification
    of $P$-value of two-sided test with restricted parameter space and
    reconciling Bayesian test with classical test based on modified
    $P$-value, which shows that there exist critical defects in modified
    $P$-value put forward by Wang in 2006. This paper sets forth another
    modified $P$-value, which has comparative reasonable
    characteristics, based on which the conflict of Bayesian test and
    classical test can be reconciled to some extent.
  • Li Jihong, Ren Gaixian,Wang Yu
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2010, 26(2): 179-189.
    Abstract ( ) Download PDF ( ) Knowledge map Save
    In this paper, the property of BH estimator
    in unreplicated two-level factorial experiments was studied. The
    necessary and sufficient condition of the unbiasedness property was
    given. The variance of BH estimator was presented. Finally, the
    comparison of BH and MH estimators was taken through simulation.
  • Li Gaorong,Feng Sanying,Xue Liugen
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2010, 26(2): 190-206.
    Abstract ( ) Download PDF ( ) Knowledge map Save
    In this paper, the single-index model
    for longitudinal data is considered, three empirical log-likelihood
    ratio statistics for the unknown parameters in the model are
    suggested to accommodate the independence of different subjects for
    longitudinal data. It is proved that the proposed statistics are
    asymptotically chi-square distribution under some suitable
    conditions, and hence they can be used to construct the confidence
    regions of the parameters. Furthermore, it is shown that the bias
    corrected empirical log-likelihood ratio shares some desired
    features. A simulation study is conducted to illustrate our
    methods.
  • Wang Jingle,Liu Weiqi
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2010, 26(2): 207-219.
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    We propose two estimators, an integral
    estimator and a discretized estimator, for the wavelet coefficient
    of volatility in time series models. These estimators can be used to
    detect the changes of volatility in time series models. The location
    estimators of the jump points, we proposed, have been shown to have
    the minimax convergence rate, which is the optimal rate for the
    estimation of change points. The jump sizes and locations of change
    points can be consistently estimated by wavelet coefficients. The
    convergency rates of these estimators are derived and the asymptotic
    distributions of the statistics are established.