Estimation and testing of time-varying coefficient regression models in the presence of linear restrictions

A linear regression model with random walk coefficients is extended to allow for linear restrictions between the coefficients to be satisfied at each point in time. Estimation in this model is shown to be no more involved than estimation in the standard model. It is also demonstrated how, after a slight modification to the testing problem, classical test procedures may be applied to the problem of testing for such restrictions. The performance of the Lagrange Multiplier test for a variety of different restrictions is then investigated via simulation. An empirical application involving testing for homogeneity in a random walk coefficient version of the AIDS model is given.     

阶段Ⅰ/Ⅱ试验中成功曲线的探讨

在阶段Ⅰ/Ⅱ剂量反应问题中,我们的目的是通过成功曲线决定最优剂量。不同的成功曲线会得到不同的最优剂量,本文根据实际中的毒性和有效性来确定了适当的成功曲线。     

纺织锭杆超精机PLC控制系统的设计研究

简要介绍了纺织锭杆超精机的设计思想，给出了自动控制系统的软硬件结构的设计方法，对纺织企业具有一定的参考价值．     

DNA编码序列的关联特性

用ＤＮＡ行走方法和信息剩余度方法研究了核酸编码序列中的碱基关联，指出了这种关联的短程性．讨论了碱基组成漂变导致的表现关联效应和各种关联模的涨落限．对最近的有关文献作了评述．     

Two Tales of Return Predictability: The Case of Asia–Pacific Equity Markets

If past prices can successfully predict future price movements, it would contradict the notion of weak‐form market efficiency. Return predictability can be assessed via a variety of random walk statistical tests or via the application of mechanical trading rules. Findings of return predictability and state of market efficiency are compared by applying a battery of popular random walk statistical tests and a large set of mechanical trading rules to a family of equity indexes in Asia–Pacific equity markets over a 20‐year period of time. Inferences drawn from different random walk based econometric tests of market efficiency often disagree among themselves and tend to exaggerate the extent of predictability in returns. Testing of return predictability via a set of mechanical trading rules allows one to account for a possible data snooping bias, error measurements due to nonsynchronous trading and market frictions such as trading costs. Persistent predictability of returns that cannot be explained by the combination of data snooping bias, nonsynchronicity bias and moderate level of transaction costs is found in just two emerging equity markets in the region. Copyright © 2016 John Wiley & Sons, Ltd.     

近临界紧邻随机游动局部时的重整化极限

Lamperti于1961年证明了在适当条件下, 半直线上一类近临界的紧邻随机游动经过重整化会弱收敛到布朗运动. 考虑过程局部时重整化的极限问题, 运用随机游动的内蕴分枝结构以及非时齐分枝过程重整化极限的结果, 证明了其局部时经过适当的重整化会收敛到布朗运动的局部时.      

Semantic image annotation based on GMM and random walk model

Automatic image annotation has been an active topic of research in computer vision and patternrecognition for decades.A two stage automatic image annotation method based on Gaussian mixturemodel (GMM) and random walk model (abbreviated as GMM-RW) is presented.To start with,GMM fitted by the rival penalized expectation maximization (RPEM) algorithm is employed to estimatethe posterior probabilities of each annotation keyword.Subsequently, a random walk processover the constructed label similarity graph is implemented to further mine the potential correlations ofthe candidate annotations so as to capture the refining results, which plays a crucial role in semanticbased image retrieval.The contributions exhibited in this work are multifold.First, GMM is exploitedto capture the initial semantic annotations, especially the RPEM algorithm is utilized to train themodel that can determine the number of components in GMM automatically.Second, a label similaritygraph is constructed by a weighted linear combination of label similarity and visual similarity ofimages associated with the corresponding labels, which is able to avoid the phenomena of polysemyand synonym efficiently during the image annotation process.Third, the random walk is implementedover the constructed label graph to further refine the candidate set of annotations generated byGMM.Conducted experiments on the standard Corel5k demonstrate that GMM-RW is significantlymore effective than several state-of-the-arts regarding their effectiveness and efficiency in the task of automatic image annotation.     

半直线上独立随机环境中可逗留的随机游动的常返性

文章主要讨论半直线上独立随机环境中可逗留的随机游动的常返性与非常返性,进一步研究了常返性中的正常返和零常返准则,并推广了文献[4,6]中的有关结果。     

一类相关随机游动问题的母函数方法

定义并讨论了具有吸收壁的一类相关随机游动,并利用母函数的方法导出了在第 n 步被吸收的概率母函数表达式、最终吸收的概率及期望持续时间的明显表达式等.这些结果使得经典的随机游动的相应结论成为特殊情况.     

离散时间随机游动的遍历性

首次给出了离散时间的随机游动满足几何遍历性的显式判别准则,并且证明此类过程不可能一致遍历.