带相依利率结构风险模型的破产持续时间

在利率具有二阶自回归相依结构,同时考虑到保费、理赔支付时间的离散时间风险模型下,得到了在停时T,保险公司在初始准备金为u时,破产持续时间的分布的递推公式.     

基于数据列变换的自回归预测方法的改善

证明了利用反双曲正弦函数变换能提高数据列的光滑程度,获得结论:设｛x_(k)｝为递增数据列,x_(1)>0,y(k)=ln(x_(k) (x_(k)~2 1)~(1/2)),则数据列｛y_(k)｝比数据列｛x_(k)｝光滑.给出了改善的自回归预测方法,并且举例加以论证.     

具有相依利息率的离散时间保险风险模型的一个联合分布

研究了在利率具有一阶自回归结构的情况下的离散时间保险风险模型,得到了破产前最大盈余的分布以及破产前盈余,破产后赤字与破产前最大盈余的联合分布的递推公式及其积分方程.     

Convergence of Recursive Identification for ARMAX Process with Increasing Variances

The autoregressive moving average exogenous (ARMAX) model is commonly adopted for describing linear stochastic systems driven by colored noise. The model is a finite mixture with the ARMA component and external inputs. In this paper we focus on a parameter estimate of the ARMAX model. Classical modeling methods are usually based on the assumption that the driven noise in the moving average (MA) part has bounded variances, while in the model considered here the variances of noise may increase by a power of log n. The plant parameters are identified by the recursive stochastic gradient algorithm. The diminishing excitation technique and some results of martingale difference theory are adopted in order to prove the convergence of the identification. Finally, some simulations are given to show the reliability of the theoretical results.     

分段函数分段点处可导性的讨论

分段函数是高等数学中一种重要的函数,该文讨论了分段函数分段点处的可导性,并给出了求分段函数分段点处导数的几种方法.     

基于LabVIEW的造气炉温度辨识系统的研究

通过对造气炉的结构特点和反应机理分析,以及对测温干扰的估计,采用带受控项自回归滑动平均模型(CARMA)来表征其温度特性较为理想,但这种算法复杂,较难实现。基于任何CARMA模型都可以用高阶带受控项的自回归模型(CAR)逼近到任何精度,实现起来却又相对简单的特点,以LabVIEW为平台来完成对气化层温度的任意高阶CAR建模,能够很好的解决气化层温度难以直接测量的问题。     

Forecasting the 10‐year US Treasury rate

This study compares the performance of two forecasting models of the 10‐year Treasury rate: a random walk (RW) model and an augmented‐autoregressive (A‐A) model which utilizes the information in the expected inflation rate. For 1993–2008, the RW and A‐A forecasts (with different lead times and forecast horizons) are generally unbiased and accurately predict directional change under symmetric loss. However, the A‐A forecasts outperform the RW, suggesting that the expected inflation rate (as a leading indicator) helps improve forecast accuracy. This finding is important since bond market efficiency implies that the RW forecasts are optimal and cannot be improved. Copyright © 2009 John Wiley & Sons, Ltd.     

离散T-S模糊广义系统稳定性的一个新判别条件

利用离散广义Lyapunov方法和分段模糊Lyapunov函数,研究输入采用双交叠模糊分划的离散广义模糊系统的性质,得出新的判定离散T-S模糊广义系统稳定性的充分条件,即在最大交叠规则组内寻求公共正定矩阵,并用算例说明这种方法的有效性.     

一类具有逐段常值变元逻辑方程的全局稳定性

考虑一类具有逐段常值变元的逻辑方程，得到了它的正的平衡位置全局稳定的充分条件     

多维门限自回归序列核密度估计的渐近性质

通过研究多维门限自回归序列所构成的Ｍａｒｋｏｖ链的几何遍历性，得到了此序列的一致混合性，并在一致混合条件下，给出了其核密度估计的一些渐近性质