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 2014 Vol.30 Issue.5,Published 2014-10-30 article
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 449 Dependence on Sum of Bivariate Random Vectors with FGM Copulas Mao Zechun, Li Lingli The dependence on the sum of bivariate random vectors with Farlie-Gumbel-Morgenstern copulas is studied in the paper. Firstly, the Kendall's $\fn_jvn \100dpi \inline \tau$ and the Spearman's $\fn_jvn \100dpi \inline \rho$ on two independent random vectors' sum with the copulas are deduced, and the specific equation with exponential marginal distribution is shown. Then, the proposition is proved that there exists no tail-dependence under some conditions on marginal distribution. Finally, we calculate some numerical instances for different marginal distributions by using Monte Carlo method. The conclusions and methods in this paper have theoretical significance for the dependence between two random indices of the combination of enterprise, and lay foundations for the further study. 2014 Vol. 30 (5): 449-460 [Abstract] ( 605 ) [HTML 1KB] [ PDF 491KB] ( 964 )
 461 A Distribution-Free Change-Point Model for Monitoring Dispersion Zhou Maoyuan, Geng Wei, Li Zhonghua Most distribution-free control charts in the literature are used to monitor process location parameters, such as mean or median, rather than process dispersion parameters. This paper develops a new distribution-free control chart by integrating a two-sample nonparametric test into the effective change-point model. Our proposed chart is easy in computation, convenient to use, and very powerful in detecting process dispersion shifts. As it avoids the need for a lengthy data-gathering step before charting and it does not require knowledge of the underlying distribution, the proposed chart is particularly useful in start-up or short-run situations. 2014 Vol. 30 (5): 461-468 [Abstract] ( 653 ) [HTML 1KB] [ PDF 362KB] ( 1372 )
 469 A Note on the Borel-Cantelli Lemma for Capacity Zhang Defei, Duan Xingde In this note, we prove the Borel-Cantelli lemma for capacity without pairwise independent assumption. The best lower bound about union for capacity is obtained. Classical Borel-Cantelli lemma is extended to the case of capacity. 2014 Vol. 30 (5): 469-475 [Abstract] ( 620 ) [HTML 1KB] [ PDF 372KB] ( 1212 )
 476 Nonparametric Regression Estimation with Missing Censoring Indicators Wang Jingle, Zheng Ming Nonparametric regression estimation has been studied intensively for the censored data. However, in some practical applications, some censoring indicators may be missing because of various reasons. In this paper, we propose two kernel estimators for the regression function when the censoring indicator is missing at random. The strong uniform convergence rates and the asymptotic normality of the estimators are established. Some simulations are carried out to assess the finite sample performances of the proposed methods. 2014 Vol. 30 (5): 476-490 [Abstract] ( 607 ) [HTML 1KB] [ PDF 461KB] ( 975 )
 491 Equivalent Properties of Bifurcating Markov Chains Indexed by a Binary Tree Dang Hui, Yang Weiguo In this paper, we give the discrete form of the definition of bifurcating Markov chains indexed by a binary tree, and then study the equivalent properties of it. Finally, we prove that tree-indexed Markov chains are bifurcating Markov chains indexed by a binary tree in certain situation. 2014 Vol. 30 (5): 491-496 [Abstract] ( 627 ) [HTML 1KB] [ PDF 406KB] ( 861 )
 497 Omega Model for a Jump-Diffusion Process Yu Jun A jump-diffusion Omega model is studied in this paper. In this model, the surplus process is a perturbation of a compound Poisson process by a Brown motion. For exponential claim size and constant bankruptcy rate function, several explicit formulae on bankruptcy probability for the model are derived. The relationship between bankruptcy probability and occupation time in the red is also discussed. Then numerical examples are given to show some comparisons for the model with the Omega model of Albrecher and Lautscham (2013). 2014 Vol. 30 (5): 497-509 [Abstract] ( 594 ) [HTML 1KB] [ PDF 474KB] ( 1011 )
 510 Pricing of Extension of European Exchange Option under Esscher Transforms Liu Guoxiang, Zhu Quanxin, Zhang Xiangqiang This paper studies the price of extension of the European exchange option (including generalized exchange option; compound exchange option; barrier exchange option; traffic-light option) with the geometric Brownian motion. Firstly, the reflection principle and property of the Browian motion with drift are given; Secondly, the definitions and properties of the Esscher transform of multidimensional processes with stationary and independent increments and two-dimensional Browian motion with drift are given by borrowing from the idea of Gerber and Shiu (1994); Finally, using related theory of Esscher transform, pricing formulas of extension of several European exchange options are obtained when the price of the underlying asset follows the geometric Brownian motion. 2014 Vol. 30 (5): 510-526 [Abstract] ( 609 ) [HTML 1KB] [ PDF 500KB] ( 950 )
 527 Balanced Augmented Empirical Euclidean Likelihood Shen Qunhai, Huang Yunsheng, Zhang Junjian Empirical (Euclidean) likelihood is a very popular nonparametric statistical method in recent years. In view of the convex hull restrictions and complex calculation of empirical (Euclidean) likelihood, the balanced augmented empirical Euclidean likelihood (BAEEL) is proposed by using the idea of Emerson and Owen (2009). Then the BAEEL method is investigated from two aspects of theory and simulation. In theory, the connection between BAEEL method and the empirical Euclidean likelihood method is deduced. That is, with fixed sample size and the continuous varied location of augmented points, the test can be varied from the simple mean augmented empirical Euclidean likelihood to empirical Euclidean likelihood test. Simulation results show that the distribution of the BAEEL converges its limit distribution more rapidly than that of the (adjusted) empirical Euclidean likelihood in most cases. 2014 Vol. 30 (5): 527-536 [Abstract] ( 521 ) [HTML 1KB] [ PDF 2650KB] ( 813 )
 537 Variable Selection of Quantile Varying Coefficient Models Based on Kernel Smoothing Zhao Weihua, Zhang Riquan, Liu Jicai Quantile varying coefficient model is one of the robust nonparametric modeling method. When one uses varying coefficient model to analyze data, a natural question is how to simultaneously select the relevant variables and separate the nonzero constant effect variables from nonzero varying effect variables. In this paper, we address the problem of both robustness and efficiency of estimation and variable selection procedure based on quantile regression. By combining the idea of the local kernel modeling and adaptive group Lasso method, we obtain penalized estimation through imposing double penalties on the quantile check function. With appropriate selection of tuning parameters by BIC criterion, the theoretical properties of the new variable selection procedure can be established. The finite sample performance of the new method is investigated through simulation studies and the analysis of body fat data. Numerical studies show that the new method can simultaneously identify unimportant variables and separate non-varying coefficient variables among important variables without any prior information about variables and irrespective of model error distribution. 2014 Vol. 30 (5): 537-560 [Abstract] ( 726 ) [HTML 1KB] [ PDF 524KB] ( 1807 )

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