20 September 2009, Volume 25 Issue 5
    

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    学术论文
  • A Location Invariant Pickands-Type Estimator
    Tao Bao
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2009, 25(5): 449-460.
    Abstract ( ) Download PDF ( ) Knowledge map Save
    In this paper, the author proposes
    a location invariant Pickands-type estimator as the extreme index is
    positive. Its weak and strong convergence are proved. Asymptotical
    representation and strong convergence rate are derived, and the
    optimal choice of $k_2$ is found. At last simulation and comparison
    of this new kind of Pickands-type estimator with other known
    Pickands-type estimators are considered by using the adaptive
    algorithm.
  • The CUSUM Control Chart for the Autocorrelated Data\\with Measurement Error
    Liu Xiaohong:Wang Zhaojun
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2009, 25(5): 461-474.
    Abstract ( ) Download PDF ( ) Knowledge map Save
    As we know, the measurement error often
    exists in practice, and affects the performance of quality control
    in some cases. The autoregressive process with the measurement error
    is investigated in this paper. For detecting the step shift of the
    autoregressive process mean with measurement error, a CUSUM control
    chart based on the maximum log-likelihood ratio test is obtained.
    Simulated in-control and out-of-control ARL's are made for various
    measurement error and autocorrelation coefficients. The simulation
    results show that this new CUSUM scheme works well when the process
    is negatively autocorrelated.
  • Assessing Occupational Exposure Via the Unbalanced\\One-Way Random Models
    Li Xinmin
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2009, 25(5): 475-484.
    Abstract ( ) Download PDF ( ) Knowledge map Save
    A unbalanced one-way random model is considered
    for assessing the proportion of workers whose mean exposure exceed
    the occupational exposure limit (OEL) based on exposure measurements
    to the worker. Hypothesis testing for the relevant parameter of
    interest is proposed when the exposure data are unbalanced. The
    method is based on the generalize inference. A simulation study is
    conducted to compare it with that of Krishnamoorthy and Guo (2005).
    Simulation results suggest that the proposed method appears to be
    better, especially in very unbalanced design.
  • New Multivariate Skew t Distributions Generated\\from Skew Pearson VII Distributions
    Wen Yangjun:Zhu Daoyuan
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2009, 25(5): 485-498.
    Abstract ( ) Download PDF ( ) Knowledge map Save
    In general, there are a large number of skew
    elliptically contoured distributions with hard calculated integral
    forms, while skew normal, skew normal scale mixtures, skew Pearson
    type VII and skew Pearson type II distributions possess good
    structures. Skew t distributions belong to skew Pearson type VII
    distributions, therefore, this paper proposes new multivariate skew
    t distributions based on multivariate skew Pearson type VII
    distributions. Backgrounds and definitions are given, two stochastic
    representations and their equivalence are derived.
  • The Gerber-Shiu Function for a Sparre Andersen\\Risk Model
    Fan Qingzhu:Yin Chuancun
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2009, 25(5): 499-512.
    Abstract ( ) Download PDF ( ) Knowledge map Save
    In this paper, we consider a Sparre Andersen risk model in which
    the claim inter-arrival distribution is a mixture of an Erlang($n$)
    distribution and an Erlang($m$) distribution. Our purpose is to
    study the Gerber-Shiu function $\phi_\delta(u)$. First, we show that
    $\phi_\delta(u)$ satisfies a higher-order integro-differential
    equation, and then we discuss the roots of the generalized
    Lundberg's equation. On this basis, we drive the Laplace transform
    of $\phi_\delta(u)$ and prove that $\phi_\delta(u)$ satisfies a
    renewal equation. Finally, we consider an example.
  • Admissibility of Linear Estimators in Multivariate\\Linear Models with Respect to an Incomplete\\Ellipsoidal Restriction
    Wu Jianhong
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2009, 25(5): 513-518.
    Abstract ( ) Download PDF ( ) Knowledge map Save
    This paper studies the admissibility of
    linear estimators in multivariate linear models with respect to an
    incomplete ellipsoidal restriction
    $\mbox{tr}(\Theta-\Theta_1)'N(\Theta-\Theta_1)\leq\sigma^2$.
    Specifically, we study the influence of the matrix $N$ and
    $\Theta_1$ which is the center of a restricted set to the
    admissibility of linear estimators in multivariate linear models
    with respect to the incomplete ellipsoidal restriction
    $\mbox{tr}(\Theta-\Theta_1)'N(\Theta-\Theta_1)\leq\sigma^2$. The
    main results show that the class of admissible linear estimators
    with the restriction
    $\mbox{tr}(\Theta-\Theta_1)'N(\Theta-\Theta_1)\leq\sigma^2$ is the
    same as the one with the restriction
    $\mbox{tr}(\Theta-\Theta_2)'N(\Theta-\Theta_2)\leq\sigma^2$ for
    $\Theta_1$ and $\Theta_2$ with certain relationship.
  • A Note on Weighted Invariance Principle
    Li Linyuan:Chen Ping
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2009, 25(5): 519-530.
    Abstract ( ) Download PDF ( ) Knowledge map Save
    In this note we generalize Davydov's\ucite{1}
    weak invariance principle for stationary processes to a weighted
    partial sums of long memory infinite moving average processes. This
    note also contains some bounds on the second moments of increments
    of some weighted partial sum processes of a general long memory time
    series, not necessarily moving average type. These bounds are useful
    in proving the tightness in uniform metric of these processes. As a
    consequence of continuous mapping theorem, the probability bounds on
    certain functions of random variables can be established.
  • Inference in Varying-Coefficient Mixed Models\\by Using Smoothing Spline
    Lu Yiqiang:Xu Wangli
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2009, 25(5): 531-543.
    Abstract ( ) Download PDF ( ) Knowledge map Save
    Varying-coefficients mixed model (VCMM) is
    proposed for longitudinal data and the other correlated data. This
    model allows flexible functional dependence of the response variable
    on the covariates by using varying-coefficients linear part to
    present the covariates effects, while accounting the within-subject
    correlation by using random effect. In this article, the coefficient
    functions are estimated by using smoothing spline and restricted
    maximum likelihood is used to estimate the smoothing parameters and
    the variance components simultaneously. The performance of the
    proposed method is evaluated though some simulation studies, which
    show that both the coefficient functions and variance components
    could be estimated well for the VCMMs with all kinds of covariance
    structures.
  • Expected discounted Penalty Function\\for a Thinning Risk Model
    Pan Jie:Wang Guojing
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2009, 25(5): 544-552.
    Abstract ( ) Download PDF ( ) Knowledge map Save
    In this paper, we consider a risk model in
    which the premium arriving number process is a Poisson process with
    parameter $\lambda>0$ while the claim number process is the thinning
    of the pre- mium arriving number process. Under such a model, we
    obtain the integral equation, the integro- differential equation and
    the recursive formula for the expected discounted penalty function.
    Using the integro-differential equation we get the closed form
    expressions for the Laplace transform of the time of ruin and the
    deficit at ruin when the premium and the claim sizes are
    exponentially distributed.
  • The Credibility Model under Balance Loss Function
    Wen Limin:Lin Xia:Wang Jinglong
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2009, 25(5): 553-560.
    Abstract ( ) Download PDF ( ) Knowledge map Save
    When the insurance company determine the
    premium of corresponding risks, the target premium will be usually
    considered. In this article, we derived the credibility estimators
    under the balanced loss function by means of credibility theory. We
    also estimated the unknown parameters and got the empirical Bayes
    credibility estimators. Finally, we simulated the results under the
    normal case which showed the desired conclusions.
Chinese Journal of Applied Probability and Statistics (Bimonthly)
（started publication in 1985）
Superintendent: Chinese Society of Probability and Statistics
Editor-in-Chief: Chen Mufa
ISSN 1001-4268
CN 31-1256
Mailing code: 4-414
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