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2008 Vol.24 Issue.3,Published 2008-06-15

学术论文
225 Strong Approximation and the Law of the Iterated Logarithm for Linear Processes
Tan Xili, Zhao Shishun, Yang Xiaoyun
In this paper, we prove strong approximations and the functional law
of the iterated logarithm for linear processes generated by i.i.d. random variables, and give the law of the iterated logarithm for linear processes generated by NA random variables.
2008 Vol. 24 (3): 225-239 [Abstract] ( 1915 ) [HTML 0KB] [ PDF 251KB] ( 1459 )
240 A Test of Association for Contingency Tables with Multiple Column Responses
Zhang Zhongzhan
We consider the test of independence in contengence tables with multiple column responses in this paper. For the case that the alternative hypothesis refers to monotone trends, we propose an approximate $F$ test based on artificial parameter and regression model. The method eliminates the estimation of correlative coefficients, which are hardly to estimate in contingency tables
with multiple column responses. Simulation results show that the true significant level of the test is near to the nominal one, and has good power.
2008 Vol. 24 (3): 240-246 [Abstract] ( 2472 ) [HTML 0KB] [ PDF 211KB] ( 1661 )
论文
247 Moment Estimation for a Bivariate Extreme Value Distribution in Mixed Model
Yin Jian
Extreme value theory has been wildly applied in many fields, especially the multivariate extreme value distributions. Moment estimation is a classical estimation method because of its simple calculations. The paper considers the bivariate extreme value distribution in mixed model with exponential margins. The estimator and asymptotic variance of the dependence parameter are given. We
also compare moment estimation with a maximum likelihood estimation in finite sample size. The results indicate that moment estimation is good for all practical purposes.
2008 Vol. 24 (3): 247-254 [Abstract] ( 2089 ) [HTML 0KB] [ PDF 452KB] ( 1135 )
学术论文
255 Convergence Rates of Empirical Bayes Two-Sided Tests for the Hazard Function of Exponential Distribution: In the Case of Type Ⅱ Censored
Chen Jiaqing, Liu Cihua
In this paper, by using the kernel-type density estimation, the empirical Bayes two-sided tests rules for the hazard function of exponential family in the case of type Ⅱ censored samples are constructed. The convergence rates of the proposed EB test rules are obtained under suitable conditions.
2008 Vol. 24 (3): 255-264 [Abstract] ( 2009 ) [HTML 0KB] [ PDF 223KB] ( 1413 )
265 {The Quadrature Complete Convergence for Record Time and the Associated Counting Process
Ji Yuqing, Cao Yusong
The paper gives the quadrature's precision and complete convergence general theorem, which is about the i.i.d. absolute continue variable arrange for the record time and the associated counting process.
2008 Vol. 24 (3): 265-273 [Abstract] ( 1745 ) [HTML 0KB] [ PDF 211KB] ( 1329 )
274 A Robust Control Chart Based on Wavelets for Preliminary Analysis of Individual Observations
Zhou Chunguang, Zou Changliang, Wang Zhaojun
A control chart based on wavelets for preliminary analysis of individual observations is proposed for detecting the shifts in the process mean. The basic motivation for our proposed method comes from the fact that the wavelets are able to detect the abnormal changes which may occur at multiple scales in a small number of relatively large wavelets coefficients. The chart proposed is preferable from a robustness point of view, has attractive detection performances and would be particularly useful in preliminary setting where we usually do not have knowledge of the underlying distribution.
2008 Vol. 24 (3): 274-288 [Abstract] ( 2376 ) [HTML 0KB] [ PDF 323KB] ( 1343 )
289 Partial Ridge-Type Spectral Decomposition Estimate in Linear Mixed Model
Yang Hu, Li Yalian
As to the linear model with its random effect being common balance multiple classification, Wang and Yin\ucite{1} introduced a new parameter estimation method called the spectral decomposition estimate (SDE). In this paper, we generalize the SDE into the situation when the design matrix is ill-conditioned and
propose the partial ridge-type spectral decomposition estimate. Through the model transformation of dimensionality reduction which is similar to the principal component estimate, we can easily get that the new estimate has stronger noise-rejection ability and some other important properties. Furthermore, the results we get in the paper can also be easily used in Panel model.
2008 Vol. 24 (3): 289-296 [Abstract] ( 2351 ) [HTML 0KB] [ PDF 228KB] ( 1639 )
297 A Multi-Chart Approach for Mean Shift Detection
Han Dong, Tsung Fugee, Hu Xijian
In this paper we consider a multi-chart for detecting a unknown shift in the mean of an identically distributed process. It is shown that the multi-chart has usually two advantages: one is in that it can much reduce computational complexity compared to the GLR (generalized likelihood ratio) and GEWMA (generalized exponentially weighted moving average) control charts when the in-control ARL (average run length) is large; the other is that it can quickly detect the size of the mean shift. Moreover, the numerical simulations show that the multi-chart can not only perform better than its constituent charts which consist of the multi-chart in the sense that the average of the ARLs of the constituent charts is large than that of the multi-chart, but also be superior on the whole to a single CUSUM, EWMA, EWMA multi-chart and GLR control charts in detecting the various mean shifts when the in-control ARL is not large.
2008 Vol. 24 (3): 297-311 [Abstract] ( 1993 ) [HTML 0KB] [ PDF 247KB] ( 1662 )
312 Acceleration of Monte Carlo EM Algorithm
Luo Ji
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.
2008 Vol. 24 (3): 312-318 [Abstract] ( 3586 ) [HTML 0KB] [ PDF 216KB] ( 5582 )
319 On the Expected Discounted Penalty Function Associated with the Time of Ruin for a Risk Model with Random Income
Yao Dingjun, Wang Rongming, Xu Lin
This paper studies the expected discounted penalty function associated with the time of ruin for a risk model with stochastic premium. The premium process is no longer a linear function of time in contrast with the classical Cram\'{e}r-Lundberg model. The aggregate premiums constitute a compound Poisson process which is also independent of the claim process. Integral equation for the penalty function is derived, which provides a unified treatment to the ruin quantities. Applications of the integral equation are given to the Laplace transform of the time of ruin, the deficit at ruin, the surplus immediately before ruin occurs. In some special cases with exponential distributions, closed form expressions for these quantities are obtained, which generalize some known results about the problems of ruin in Boikov (2003).
2008 Vol. 24 (3): 319-326 [Abstract] ( 2489 ) [HTML 0KB] [ PDF 192KB] ( 2279 )
327 Longitudinal Study of the External Pressure Effects on Children's Mathematics and Science Achievements Using Nonparametric Quantile Regression
Tian Maozai, Wu Xizhi, Li Yuan, Zhou Pengpeng
Many of the previous studies have emphasized the effects of students' economic background and psychological factors on their achievements. Less attention has been paid, however, to the external pressure factors, such as parent's push and peer's push on achievements. This article attempts to address the interesting and important research topic and to give an in-depth longitudinal study of American youth using a so called ``double-kernel'' nonparametric quantile regression approach. Several interesting findings are useful for parents, especially for
educational policy makers and consultants.
2008 Vol. 24 (3): 327-336 [Abstract] ( 2894 ) [HTML 0KB] [ PDF 1529KB] ( 1766 )
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