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This paper develops a covariate-adjusted precision matrix estimation using a two-stage estimation procedure. Firstly, we identify the relevant covariates that affect the means by a joint l_1 penalization. Then, the estimated regression coefficients are used to estimate the mean values in a multivariate sub-Gaussian model in order to estimate the sparse precision matrix through a Lasso penalized D-trace loss. Under some assumptions, we establish the convergence rate of the precision matrix estimation under different norms and demonstrate the sparse recovery property with probability converging to one. Simulation shows that our methods have the finite-sample performance compared with other methods.
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Leverage effect often arises in many fields,such as financial risk management, portfolio and option pricing. However,it still remains to be studied that whether there is leverage effect or not in real data. Based on local polynomial regression estimation and Kolmogorov-Smirnov nonparametric test, this paper introduces a new nonparametric test statistic for the leverage effect, and some asymptotic properties are also presented. Simulation studies show that the proposed method performs well. Finally, empirical studies on SP500 index and Microsoft data imply that leverage effect exists in the real data, which is consistent with the idea in finance.
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We establish best-possible supremum bounds of copulas with the degree of non-exchangeabilityt=3/4, t=3/5 and t=3/6=1/2, and study the structures of these sets of copulas. The volumes between the upper and lower bounds are calculated to illustrate that the supremum bounds are specific practical and effective in narrowing the Fr\'{e}chet-Hoeffding bounds.
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hen the distribution of random variable V_1,V_2 and V_3 composes an I\times J\times K contingency table, this paper research the collapsibility of entropy, and present necessary and sufficient conditions for simple collapsibility and strong collapsibility of mutual information by the research on collapsibility of entropy, which are considered under the condition of sub-independence.
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We consider the structure learning problem of the \mbox{PM}_{2.5} pollution data over 31 provincial capitals in China. Specifically, we make use of the graphical model tools to study the hubs and the community structures of the \mbox{PM}_{2.5} pollution networks. The results show that the hubs in the \mbox{PM}_{2.5}pollution networks are always seriously polluted cities, and the \mbox{PM}_{2.5} pollution networks have significant community structures which consist of cities which in some sense can be regarded as blocks with similar cause of pollution. In view of the results, we suggest that the government should strengthen the
effort to treat the seriously polluted areas and western China areas. Moreover, the management of the \mbox{PM}_{2.5} pollution should be region-dependent.
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It is assumed that both an insurance company and a reinsurance company adopt the variance premium principle to collect premiums. Specifically, an insurance company is allowed to investment not only in a domestic risk-free asset and a risky asset, but also in a foreign risky asset. Firstly, we use a geometry Brownian motion to model the exchange rate risk, and assume that the insurance company could control the insurance risk by transferring the insurance business
into the reinsurance company. Secondly, the stochastic dynamic programming principle is used to study the optimal investment and reinsurance problems
in two situations. The first is a diffusion approximation risk model and the second is a classical risk model. The optimal investment and reinsurance strategies are obtained under these two situations. We also show that the exchange rate risk has a great impact on the insurance company's investment strategies, but has no effect on the reinsurance strategies. Finally, a sensitivity analysis of some parameters is provided.
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We develop a deposit insurance pricing model that explicitly considers regulatory capital and bankruptcy costs. Based on the pricing deposit insurance model, we calculate the deposit insurance premiums of China's 16 listed banks with time span of 2011 to 2017 in this paper. The results demonstrate that the deposit insurance premiums of state-owned banks is lower than joint-stock commercial banks and city commercial banks, however, the deposit insurance premiums of joint-stock commercial banks is higher than city commercial banks. Numerical simulation shows that, ceteris paribus, the value of deposit insurance decreases with regulatory capital ratios and the insured deposits ratios, but it increases with interest rate and bankruptcy costs.
