应用概率统计
          Home |   About Journal | Editorial | Instruction | Subscription | Contact Us | Chinese
应用概率统计
 

Office Online

 
 

Journal Online

 
 
  Current Issue
 
2007 Vol.23 Issue.1,Published 2007-02-20

学术论文
1 Some Measures of the Severity of Ruin and the Cost of Recovery in the Classical Risk Model Disturbed by Diffusion
Zhang Chunsheng, Chen Xuemin
In this paper we consider the maximal severity of ruin and the cost of recovery
which are proposed by Picard (1994). We will improve and extend the results in
Picard (1994) from the classical risk model to the model disturbed by diffusion.
2007 Vol. 23 (1): 1-10 [Abstract] ( 1970 ) [HTML 0KB] [ PDF 289KB] ( 1689 )
11 The Central Limit Theorem for Markov Chains in Markovian Environments
Guo Mingle
In this paper, a central limit theorem for function of countable Markov chains in
Markovian environments is investigated. Moreover, some sufficient conditions on
the jointly Markov chains and sample function of the jointly Markov chains are given.
At last, $R_{\theta}$-chains are systematically studied, some sufficient contions
for the central limit theorem to hold for function of Markov chains in Markovian
environments are obtained.
2007 Vol. 23 (1): 11-17 [Abstract] ( 2203 ) [HTML 0KB] [ PDF 444KB] ( 1531 )
18 A Test for Rigid Structure of the Grouped Points in High-Dimensional Data
Zhu Lixin, Wang Huiwen, Liu Qiang
In this paper, we propose a test to check whether in motion, the point groups of
high-dimensional longitudinal data keep a rigid structure and suggest a definition
of transmutation coefficient of the groups. In terms of testing the rigid structure,
the major characters of the motion of the groups can be handled so that the prediction for the motion in future can be expected. To demonstrate the rationale and potential use of the method, simulations and an analysis for the diversity of economic changes between the city group in the east China and the city group in the west China have been carried out.
2007 Vol. 23 (1): 18-24 [Abstract] ( 2356 ) [HTML 0KB] [ PDF 760KB] ( 1376 )
25 The Variable Selection in Covariance Adjusted Estimates

Yin Suju, Wang Songgui

In this paper we study the problem about how to select the covariables. A new test approach by using the canonical correlation is proposed, the approximate distribution of the test statistics is gived. A simulation comparision is made under three forms of covariance matrices which are adopted very often in the economy, biology and medicine. Our results show that the necessity of covariable selection and the good properity of the canonical correlation test method.
2007 Vol. 23 (1): 25-30 [Abstract] ( 2495 ) [HTML 0KB] [ PDF 583KB] ( 1614 )
31 Efficient Portfolio and No-Arbitrage Analysis in General M-V Model

Jiang Chunfu, Dai Yonglong

In this paper, we investigate efficient portfolio in general M-V model with singular
covariance matrix. This paper not only establishes the necessary and sufficient condition for existing efficient portfolio in the stock market, but derives the general solutions of efficient portfolio and some properties of efficent frontier. Finally we make no-arbitrage analysis for the stock market with singular covariance matrix, obtain the necessary and sufficient condition for not existing abritarge portfolio, which proves the conjecture proposed by Szeg\"{o}.
2007 Vol. 23 (1): 31-41 [Abstract] ( 2046 ) [HTML 0KB] [ PDF 854KB] ( 2145 )
42 Coverage Accuracy of Confidence Intervals for a Conditional Probability Density Function
Lei Qingzhu, Qing Yongsong
Point-wise confidence intervals for a conditional probability density function are
considered. The confidence intervals are based on the empirical likelihood. Their
coverage accuracy is assessed by developing Edgeworth expansions for the coverage probabilities. It is shown that the empirical likelihood confidence intervals are Bartlett correctable.
2007 Vol. 23 (1): 42-50 [Abstract] ( 2429 ) [HTML 0KB] [ PDF 281KB] ( 1615 )
51 Bayes Statistical Inference on General $\xd$-Shock Model with Zero-Failure Data
Li Zhehui, Liu Zhi, Niu Yi
In this paper, we use Bayesian method to study the estimation problem of the parameters $\xd_1$ and $\xd_2$ of the $\xd$-shock model associated with a Poisson process with intensity $\xl$ under zero-failure data, where the system fails when the length of an interval between two success shocks does not fall in a prespecified interval $[\xd_1, \xd_2]$. By choosing $U(0,1)$ and a Beta distribution as the prior distribution of the parameters respectively, we obtain the Bayesian and hierarchical Bayesian estimators of threshold level $\xd_1$ and $\xd_2$.
2007 Vol. 23 (1): 51-58 [Abstract] ( 2536 ) [HTML 0KB] [ PDF 509KB] ( 1455 )
59 The Robustness of Bayes Linear Unbiased Estimations under Misspecified Prior Assumption
Zhang Weiping, Wei Laisheng
The Bayes linear unbiased estimator (BLUE) of parameters is derived for general linear model under misspecified prior assumption. The robustness of BLUE over ordinary least square estimator (LSE) are shown in terms of mean square error matrix criterion and Pitman closeness criterion, the bounds of the relative efficiency of estimators are obtained.
2007 Vol. 23 (1): 59-67 [Abstract] ( 2108 ) [HTML 0KB] [ PDF 628KB] ( 1594 )
68 Likelihood Ratio Test and Power Analysis of Repeated Measures Models
He Zhiyan, Liao Jingyu
For the repeated measures experimental model with compound symmetry sample covariance matrix, asymptotic null distributions and non-null distributions of likelihood ratio test statistic are given, and the power are analyzed.
2007 Vol. 23 (1): 68-76 [Abstract] ( 2220 ) [HTML 0KB] [ PDF 476KB] ( 1326 )
77 The Two-Step Sequential Mesh Test for A Proportion
Pu Xiaolong, et.al
The sequential probability ratio test (SPRT) is widely used, while the
sequential mesh test is much powerful. In this article we propose the
two-step sequential mesh test. The results show that it is better than
the sequential mesh test.
2007 Vol. 23 (1): 77-83 [Abstract] ( 1803 ) [HTML 0KB] [ PDF 670KB] ( 1375 )
84 Optimal Utility with Side Information and its Affect
Xiong Dewen
We first consider the problem of representation of the $Q$-martingale $\{\wt{\Lambda}_t :=\ep^Q[\Lambda_T|{\cal G}_t]\}$. Then we consider a market of a stock price affected by a stochastic factor, in which there exists a insider who only knows the price information and a side information. We consider his problem of optimal utility for terminal wealth with and without side-information, and obtain a form of optimal terminal wealth in two cases. Finally, we compare these two cases for the logarithmic utility, and analyze the influence of the `side information'.
2007 Vol. 23 (1): 84-90 [Abstract] ( 1889 ) [HTML 0KB] [ PDF 443KB] ( 1326 )
91 The Statistical Analysis of Orthogonal Saturated Design
Zhang Xiaoqing

The paper uses the non-central $F$ statistic to research the multi-levels orthogonal saturated design, and has produced a kind of estimate about the variance and the non-central parameter. Some satisfying results are obtained when it is applied in the orthogonal saturated design.

2007 Vol. 23 (1): 91-101 [Abstract] ( 1748 ) [HTML 0KB] [ PDF 662KB] ( 1391 )
应用简报
102
Yang Zhiling, Yang Sanling
2007 Vol. 23 (1): 102-106 [Abstract] ( 2131 ) [HTML 0KB] [ PDF 394KB] ( 1396 )
应用概率统计
 

News

 
 
·
·
·
· New and modified homepage for APS comes
                More  
 

Download

 
   Instruction
   Template
   Copyright Agreement
          More  
 

Links

 
   CNKI
   WANFANGDATA
   Beijing Magtech Co.ltd
          More  
  Copyright © 2006 Editorial By��CHINESE JOURNAL OF APPLIED PROBABILITY AND STATISTICS��
Support by Beijing Magtech Co.ltd  support@magtech.com.cn