极值理论(EVT)方法用于受险价值(VaR)计算的实证比较与分析

讨论了根据极值理论 ( EVT)计算受险价值 ( Va R)的两类不同的方法 :基于矩估计的“两次子样试算法”和极大似然估计法 ,并给出了各自理论推导过程和计算步骤 .同时 ,把这两类方法与正态分布和经验分布的结果进行了比较 .应用四种汇率历史数据进行的实证计算表明 ,在极端条件下 ,用极值理论方法估计 Va R具有很高的准确性 ,而矩估计法的结果又优于极大似然估计法 .     

我国通货膨胀的GARCH模型

从实证上说明了我国通货膨胀存在 GARCH现象 ,并建立了一个 GARCH( 1 ,1 )模型 .将估计的 GARCH( 1 ,1 )模型与回归模型比较 ,得出通货膨胀的 GARCH( 1 ,1 )模型优于回归模型 .     

多星载光学传感器系统误差极大似然配准算法

针对低轨星座协同探测弹道目标过程中存在系统误差的问题,提出多星载光学传感器系统误差极大似然配准（maximum likehood registration,MLR）算法。通过一阶Taylor近似对非线性量测转换线性化,推导出目标状态的误差协方差与卫星轨道定向、姿态角测量和传感器测量等随机误差的关系,并基于视线交叉获得观测在状态空间中的近似投影,从而将MLR算法扩展到低轨星座多光学传感器的误差配准。通过引入各类测量误差的先验信息对目标状态的误差协方差进行修正,利用期望极大化迭代,实现了对系统误差的无偏有效估计及目标轨迹的融合估计。仿真验证了所提算法的有效性,且配准性能优越。     

Forecast Combination and Bayesian Model Averaging: A Prior Sensitivity Analysis

In this study we evaluate the forecast performance of model‐averaged forecasts based on the predictive likelihood carrying out a prior sensitivity analysis regarding Zellner's g prior. The main results are fourfold. First, the predictive likelihood does always better than the traditionally employed ‘marginal’ likelihood in settings where the true model is not part of the model space. Secondly, forecast accuracy as measured by the root mean square error (RMSE) is maximized for the median probability model. On the other hand, model averaging excels in predicting direction of changes. Lastly, g should be set according to Laud and Ibrahim (1995: Predictive model selection. Journal of the Royal Statistical Society B 57 : 247–262) with a hold‐out sample size of 25% to minimize the RMSE (median model) and 75% to optimize direction of change forecasts (model averaging). We finally apply the aforementioned recommendations to forecast the monthly industrial production output of six countries, beating for almost all countries the AR(1) benchmark model. Copyright © 2011 John Wiley & Sons, Ltd.     

相似产品步进应力加速寿命试验的统计分析

本文将单组样本的步进应力加速寿命试验(SSALT)拓展到双样本情形.基于累积失效模型(CEM),对两组指数产品的联合Ⅱ型截尾数据进行综合分析.首先,计算未知参数的极大似然估计(MLE),并利用矩母函数(MGF)建立其条件概率分布.然后,采用两种方法,基于概率分布的精确分析方法和参数的Bootstrap方法,构建参数的置信区间(CIs).以覆盖率作为评价标准,对两种方法的区间估计效果进行分析.最后,通过数值算例验证了本文方法的有效性.     

对称熵损失下两个指数总体均值的序约束估计

在对称熵损失下, 讨论了样本容量相等时, 两个指数总体均值λ_i(i=1,2)的约束极大似然估计i的险, 其中约束为λ₁≤λ₂. 证明了λ₁与λ₂具有比经典极大似然估计X₁与X₂ 更小的风险, 并给出了当λ₂/λ₁→∞和n→∞时,λ_i对X_i(i=1,2)渐近功效e(λ_i,X_i)的值.     

线性测量误差模型及其诊断

利用校正似然法对讨论了系统分析中测量误差的设计问题,在此基础上讨论了该模型的诊断,并给出了若干个诊断统计量,数值实例表明本文的方法是比较有效的。     

节育器系统的可靠性分析

对宫内节育器系统的寿命进行了分析、建模,并进行了参数估计,得到其寿命的Ｗｅｉｂｕｌ分布的解析表达式,最后对某地区的实际情况进行了分析,结果令人满意.     

METHODS OF ESTIMATION FOR QUASI-INDEPENDENCE IN CONTINGENCY TABLES

1.IntroductionAnUInberofauthorshaveconsideredtheproblemoffittingmodelsofquasi-independencetocontingenCytabledatawhichareeithertriangUlarorhaveanexcludeddiagonal.hithispaperthevariousmethodsproposedforfittingthesemodelsarecompared.ItisthenshoWnthstparameterestimatesarethesamefordifferentmodelsinsomecases.Anew,verysample,easytoimplemeDtalgoritlunispreseDted.Finallysomepreviousiterstivemethodsarecomparedwiththenewmethod.2.Quasi-IndependenceModeisforContingencyamblesSupposethatatwo-waycolltin…     

Prediction of sites under adaptive evolution in flavin-containing monooxygenases: Selection pattern revisited

Flavin-containing monooxygenase (FMO), like cytochrome P450 (CYP), is a monooxygenase that uses the reducing equivalents of NADPH to reduce one atom of molecular oxygen to water, while the other atom is used to oxidize the substrate. Recently, it was shown that some CYP isoforms have been subject to positive selection. However, it is unknown whether the highly conserved phase I detoxification enzyme, FMO, has undergone similar positive Darwinian selection. We used maximum-likelihood models of codon substitution, evolutionary fingerprinting, and cross species comparison to investigate the occurrence of adaptive evolution in FMO sequences. We used recent genomic data from a range of species, including vertebrates and invertebrates. We present the evidence for the occurrence of adaptive evolution in mammalian FMO 3, 4, 5, and fugu FMOs but not in mammalian FMO 1, FMO 2, frog FMOs, other fish FMOs and invertebrate FMOs. The sites under adaptive evolution were significantly associated with the insertion domain in mammalian FMO 5. We identified specific amino acid sites in FMOs 3–5 that are likely targets for selection based on the patterns of parallel amino acid change. The most likely role of adaptive evolution is the repair of mutations that permitted optimal NADP+ binding and improved catalytic efficiency. The occurrence of positive selection during the evolution of phase I detoxification enzymes such as FMOs 3–5 and fugu FMO suggests the occurrence of both high selection pressure acting on species within their unique habitats and significant changes in intensity and direction (forms of xenobiotics and drugs) resulting from changes in microhabitat and food.