Inference for repeated measures models under heteroscedasticity

This paper considers a widely used mixed effects model in repeated measures under heteroscedasticity. Hypotheses of the equality of the fixed effects and the simultaneous confidence intervals for all pair-wise differences are discussed.A generalized F-test has been proposed to test the equality of the fixed effects in the model,but simulation results for evaluating its performance have not been shown in the literature.Moreover,the generalized F-test cannot be used to deduce the simultaneous confidence intervals for all pair-wise differences of the fixed effects.The authors propose two new p-values to test the hypotheses of equality of the fixed effects and simultaneous confidence intervals of the differences of the effects based on the generalized pivotal quantities derived in this paper.The authors also compare the empirical performances of the proposed tests and the generalized F-test. The typeⅠerror rates and powers of these tests are evaluated using the Monte Carlo simulation.The simulation studies show that the generalized F-test does not perform well in terms of typeⅠerror rate under various sample size and parameter combinations.However,the typeⅠerror probabilities of the proposed tests are always close to the nominal value.It can also be seen that the simultaneous confidence intervals perform well.     

面板数据空间误差分量模型的空间相关性检验

将截面误差分量模型(spatial error components, SEC)扩展至面板数据, 推导其联合检验、边际检验及条件检验, 并通过Monte Carlo模拟实验证明: 当随机效应存在时, 条件检验更为有效; 当随机效应不存在时, 边际检验更为有效; 空间权重矩阵的选取与随机效应是否存在相关, 但未标准化的空间权重矩阵更适合检验空间相关性; 此外, 更大的N或T使得检验更为有效. 研究同时发现, 当真实数据生成过程为面板数据SEC模型时, 传统空间经济计量模型中的Moran I、LM-Error及LM-Lag检验均失效.     

导弹单发命中概率小子样问题研究

本文在较一般化的概率模型基础上建立了单发命中概率的一些统计模型,并据以分析了单发命中概率估值(?)的统计误差,给出了rms(?)的定量关系式和计算结果,指出了解决导弹单发命中概率小子样问题的途径和方法,为其决策提供了理论依据。文中所给有关统计模型应用于武器系统精度仿真试验时,还能大大提高该项试验的速度和精度。     

Generalized F-test for high dimensional regression coefficients of partially linear models

This paper proposes a test procedure for testing the regression coefficients in high dimensional partially linear models based on the F-statistic. In the partially linear model, the authors first estimate the unknown nonlinear component by some nonparametric methods and then generalize the F-statistic to test the regression coefficients under some regular conditions. During this procedure, the estimation of the nonlinear component brings much challenge to explore the properties of generalized F-test. The authors obtain some asymptotic properties of the generalized F-test in more general cases,including the asymptotic normality and the power of this test with p/n ∈(0, 1) without normality assumption. The asymptotic result is general and by adding some constraint conditions we can obtain the similar conclusions in high dimensional linear models. Through simulation studies, the authors demonstrate good finite-sample performance of the proposed test in comparison with the theoretical results. The practical utility of our method is illustrated by a real data example.     

一种无线通信仿真置信度通用评估方法

蒙特卡罗(MC)方法被广泛运用于无线通信系统的误码率仿真,由于信源、信道和系统发收机处理单元等存在时间相关性,仿真结果不服从经典MC估计,无法用已知结论评估其置信度,此问题目前尚缺乏一般性解决方法。首先提出了平稳有限相邻相关条件的概念,推导了该条件下MC估计置信度的若干结论,分析指出无线通信仿真通常满足该条件,最后基于该条件提出了一种通用仿真置信度分析方法,该方法在不增加仿真时间复杂度的前提下,在获得误码率估计的同时,可以给出估计的方差、置信区间、最大相对误差等置信度指标。该方法被运用于WiMAX系统的仿真中,仿真结果验证了结论的正确性。     

引战配合计算机仿真的静态一致性研究

给出了引战配合计算机仿真结果与真实试验结果进行静态一致性检验的方法，讨论了检验过程中的关键技术，即检验决策，验前概率，采伪概率的确定以及随机样本与再生子样的产生方法，对产开发的引战配合计算机仿真系统进行了检验并对检验结果进行分析，检验结果结果表明该系统具有良好的置信度。     

面向空气质量数据分析的广义零膨胀二项模型研究

针对化工园区气体超标排放的质量监控和超排计数问题,构建了广义零膨胀二项分布模型。在统计气体超标排放次数时,发现超标次数具有典型的零膨胀特征。传统的零膨胀泊松模型和负二项回归模型等会低估零膨胀概率,将传统的二项回归模型推广到更为一般的形式,构建了广义零膨胀二项分布模型。该模型满足了期望小于方差的特性,较好解决了超标排放中出现的既有过离散又有零膨胀的问题。实验表明,广义零膨胀二项分布模型具有较好的拟合效果,适应性和鲁棒性均较强。     

考虑时间相关故障的多状态系统可靠性与任务成功性仿真评估方法

针对考虑时间相关故障、多状态性能输出、系统冗余储备等因素的系统可靠性与任务成功性评估问题使用解析法难以建模求解, 而一般仿真方法又存在抽样效率慢和估值精度低的问题, 提出具有时间相关故障抽样与统计方差减小相结合的蒙特卡罗仿真评估方法。首先,设计了非指数剩余分布抽样的数值计算方法, 实现了时间相关故障的随机事件抽样。其次,在此基础上结合受迫转移、失效偏倚等方差减小方法, 提高了小概率事件的仿真抽样效率, 改善了仿真评估方法的估值精度。最后,通过舰船航渡任务的算例, 验证了该方法对评估复杂系统行为和故障机制条件下系统可靠性及任务成功性的合理性和有效性。     

The ANOVA-type inference in linear mixed model with skew-normal error

Linear mixed effect models with skew-normal errors and distribution-free random effects are considered. The ANOVA-type F-tests are proposed to test the significance of random effects and the hypothesis on fixed effects of interest, respectively. Both tests are proved to be exact F-tests under this model, and the exact confidence interval for fixed effects of interest is derived. Simulation results are given to study the powers of ANOVA-type tests.     

面板数据的空间Hausman检验

在空间相关性存在的情形下,经典Hausman检验不再有效。以面板数据空间误差分量(Spatial ErrorComponents,SEC)模型为例,提出面板数据的空间Hausman检验,并通过Monte Carlo模拟实验比较空间Hausman检验与经典Hausman检验的有限样本性质。研究结果表明,空间Hausman检验具有较小的水平扭曲和良好的检验功效,空间权重矩阵的选取将影响检验的有限样本性质,增大样本量使得检验更为有效;经典Hausman检验虽然检验功效较大,但存在较大的水平扭曲,不适用于空间相关性存在的个体效应判定。     

最大值约束的广义延拓逼近GNSS码鉴相算法

针对GNSS码跟踪环高精度鉴相需求,提出了一种最大值约束的广义延拓逼近码鉴相算法,利用5个相关臂的相关结果建立广义延拓逼近模型,拟合得到相关值分布函数,进而得到码相位差。同时利用相关结果最大的相关节点对拟合的相关值分布函数进行约束,进一步提高了码相位差的估计精度和适应性。将新算法与常用的归一化超前减滞后包络鉴相算法从鉴相线性范围、牵引范围和鉴相误差三方面进行了对比。蒙特卡罗仿真和在GPS软件接收机上对实际GPS信号采样数据进行测试的结果表明,结合最大值约束的广义延拓逼近鉴相误差性能大大优于传统的归一化超前减滞后包络鉴相,可以有效地提升码鉴相器的鉴相精度。     

Statistical Inference for a Simple Step Stress Model with Competing Risks Based on Generalized Type-Ⅰ Hybrid Censoring

This paper investigates a simple step-stress accelerated lifetime test(SSALT) model for the inferential analysis of exponential competing risks data. A generalized type-I hybrid censoring scheme is employed to improve the efficiency and controllability of the test. Firstly, the MLEs for parameters are established based on the cumulative exposure model(CEM). Then the conditional moment generating function(MGF) for unknown parameters is set up using conditional expectation and multiple integral techniques. Thirdly, confidence intervals(CIs) are constructed by the exact MGF-based method, the approximate normality-based method, and the bias-corrected and accelerated(BCa) percentile bootstrap method. Finally, we present simulation studies and an illustrative example to compare the performances of different methods.     

基于高斯混合模型的光纤罗经误差概率分布建模

针对船用光纤罗经误差的概率分布不完全符合高斯分布的情况, 提出了一种基于高斯混合模型(Gaussian mixture model, GMM)的光纤罗经误差概率分布函数(probability distribution function, PDF)建模方法。该方法使用多个高斯分布的线性叠加来拟合光纤罗经误差的概率分布, 并结合一种鲁棒性的期望最大化(expectation maximization, EM)算法来估计GMM中的参数。仿真分析和实测数据验证, 相比于使用单一的高斯分布, 基于所提方法建立的光纤罗经误差概率分布更加符合该导航设备误差的实际概率分布。     

基于步进加速退化建模的剩余寿命在线预测

针对同类产品在步进应力加速退化试验中观测数据,采用非线性Wiener过程,建立了带测量误差的加速退化模型;采用两步极大似然估计法,求解出退化模型中固定系数估计值和随机系数先验值;基于首达时的概率分布,推导出剩余寿命的概率密度函数近似表达式;引入随机系数贝叶斯更新方法,利用目标产品当前观测数据来更新随机系数后验值,实现剩余寿命预测结果在线更新;结合某型激光器仿真实例分析,验证了所建模型的正确性和优势。     

基于模糊反馈校正的广义预测控制

针对具有纯时滞和非线性的复杂系统，提出一种基于广义预测控制和模糊反馈校正相结合的控制策略，目的在于抑制模型失配的影响，增强广义预测控制的鲁棒性，建立一种适于实时生产过程的控制方法。仿真结果表明了这一算法的有效性。     

非线性时间序列建模的混合GARCH方法

在文献[1]的基础上，首次提出混合广义自回归务件异方差（Mixture Generalized Autoregressive Conditional Heteroscedastic Model简记MGARCH）模型；给出并证明了MGARCH模型的一阶平稳性的充分必要条件及二阶平稳性的充分务件；给出该模型参数估计的EM算法：利用BIC定阶准则对MGARCH模型的各成份进行定阶；计算结果表明该模型对金融非线性时间序列中存在的变异率现象具有较强的描述能力，有广阔的应用前景。     

Statistical analysis of generalized exponential distribution under progressive censoring with binomial removals

The estimation of generalized exponential distribution based on progressive censoring with binomial removals is presented,where the number of units removed at each failure time follows a binomial distribution.Maximum likelihood estimators of the parameters and their confidence intervals are derived.The expected time required to complete the life test under this censoring scheme is investigated.Finally,the numerical examples are given to illustrate some theoretical results by means of Monte-Carlo simulation.     

AMSAA-BISE模型及其统计推断

本文将AMSAA模型推广到多台系统同步开发的可靠性增长试验的情况,所以,命名为AMSAA-BISE~2模型。文中对定数及定时截尾数据给出了Weibull过程参数的极大似然(ML)估计和无偏估计,系统达到MTBF的置信区间和拟合优度检验方法。     

成败型武器性能评估中的“淹没”问题研究

武器性能评估中,当真实试验数据样本量不足时,可利用Bayes方法将仿真试验数据作为先验信息.但若先验信息处理不当,就会出现大量仿真试验数据"淹没"真实试验数据的情况,使评估结果失去意义.提出一种基于全概率思想的先验信息综合方法,通过在成败型武器性能评估中的应用,表明该方法能合理考虑仿真系统可信度的影响和仿真试验数据的重要性,较好地解决了真实试验数据的"淹没"问题.     

基于Monte Carlo仿真的随机S曲线研究

PB-S曲线是随项目进展变化的累计预算成本曲线和累计工期曲线,它综合考察了成本、工期和项目进展百分比三个变量之间的关系.SS曲线提供了与各个项目进展百分比对应的累计预算成本和累计工期的概率分布.采用Monte Carlo仿真和统计分析方法,结合一个费用和时间随机分布的网络计划,详细研究了PB-S曲线和SS曲线的仿真建模和统计分析过程.进一步,基于SS曲线,考察了费用偏差和进度偏差的统计特征,为项目绩效的预测和监测提供更详细的偏差信息.同时针对均值曲线作为基准计划曲线的局限性,提出了两种新方法用于选择一定置信度要求的PB-S曲线作为项目的基准计划曲线.