Non-aqueous emulsions have a wide range of applications in cosmetics,drug-controlled release,and the preparation of functional nanoparticles.However,due to the weaker polarity of non-aqueous solvents,these emulsions o...Non-aqueous emulsions have a wide range of applications in cosmetics,drug-controlled release,and the preparation of functional nanoparticles.However,due to the weaker polarity of non-aqueous solvents,these emulsions often exhibit inferior stability compared to their aqueous counterparts.In this experiment,the properties of quaternary ammonium surfactants in glycerol were investigated through surface tension measurements,to further enhance the stability of n-decane/glycerol emulsions,hydrophilic nanoparticles SiO_(2) were modified in situ using double tailed quaternary ammonium surfactants Di-C_(12)DAB and Di-C_(16)DAB.Stable n-decane/glycerol Pickering emulsions were successfully prepared.These emulsions were stable at 45℃for over six months,and no significant changes in droplet size occurred.The minimum droplet size of the emulsion was only 2-3μm.Contact angle measurements showed that the wettability of the silica surface was tremendously affected by the concentration and the alkyl chain length of the double-tailed surfactants.In the presence of Di-C_(12)DAB,the contact angle of glycerol on the silica surface increased monotonically with the surfactant concentration.This explains the phenomenon that the Pickering emulsions containing Di-C_(12)DAB and silica particles were stable within the contact angle range of 80°-120°.Comparatively,the contact angle of the glycerol on the silica surface in the presence of Di-C_(16)DAB first increased with surfactant concentrations and then decreased,reaching a maximum at 0.6 mmol/L.It can be concluded that Di-C_(12)DAB formed monolayers at the surface of silica particles within all investigated concentrations.On the contrary,Di-C_(16)DAB formed monolayers at concentrations below 0.6 mmol/L and formed double layers at concentrations above 0.6 mmol/L,leading to a non-monotonic change in the contact angle with respect to concentration.Using these stable non-aqueous Pickering emulsions as templates,polymer microspheres with a particle size of 2-3μm were successfully prepared with high yield.This work is helpful to expand the potential applications of non-aqueous emulsions in the encapsulation of drug,controlled release,material preparation,and cosmetic formulations.展开更多
High-dimensional heterogeneous data have acquired increasing attention and discussion in the past decade.In the context of heterogeneity,semiparametric regression emerges as a popular method to model this type of data...High-dimensional heterogeneous data have acquired increasing attention and discussion in the past decade.In the context of heterogeneity,semiparametric regression emerges as a popular method to model this type of data in statistics.In this paper,we leverage the benefits of expectile regression for computational efficiency and analytical robustness in heterogeneity,and propose a regularized partially linear additive expectile regression model with a nonconvex penalty,such as SCAD or MCP,for high-dimensional heterogeneous data.We focus on a more realistic scenario where the regression error exhibits a heavy-tailed distribution with only finite moments.This scenario challenges the classical sub-gaussian distribution assumption and is more prevalent in practical applications.Under certain regular conditions,we demonstrate that with probability tending to one,the oracle estimator is one of the local minima of the induced optimization problem.Our theoretical analysis suggests that the dimensionality of linear covariates that our estimation procedure can handle is fundamentally limited by the moment condition of the regression error.Computationally,given the nonconvex and nonsmooth nature of the induced optimization problem,we have developed a two-step algorithm.Finally,our method’s effectiveness is demonstrated through its high estimation accuracy and effective model selection,as evidenced by Monte Carlo simulation studies and a real-data application.Furthermore,by taking various expectile weights,our method effectively detects heterogeneity and explores the complete conditional distribution of the response variable,underscoring its utility in analyzing high-dimensional heterogeneous data.展开更多
In an effort to simplify the procedure and to reduce the cost of fluorescence SSR analysis, the conditions of the multiplex PCR and the multiplex gel electrophoresis were optimized in the genetic analysis of sunflower...In an effort to simplify the procedure and to reduce the cost of fluorescence SSR analysis, the conditions of the multiplex PCR and the multiplex gel electrophoresis were optimized in the genetic analysis of sunflower (Helianthus annuus L.) inbred lines. Results indicated that factors for a successful multiplex PCR assay were related to the cycling touchdown annealing temperature, the balance of primer concentration at the various loci, the concentration of PCR buffer and the Taq DNA polymerase. Based on the optimization, a tailed primer strategy was outlined, and the effective ways were proposed to overcome the troubleshootings commonly encountered in the multiplex PCR and the multiplex gel electrophoresis.展开更多
Abstract A hybrid sheath model, including a fluid model and a Monte Carlo （MC） method, is proposed to study ion energy distributions （IEDs） driven by a radiofrequency （RF） with a tailed pulse-bias on an insulati...Abstract A hybrid sheath model, including a fluid model and a Monte Carlo （MC） method, is proposed to study ion energy distributions （IEDs） driven by a radiofrequency （RF） with a tailed pulse-bias on an insulating substrate, where a charging effect is obviously caused by the ions accumulated. This surface charging effect will significantly affect the IEDs on the insulating substrate. In this paper, a voltage compensation method is employed to eliminate the charging effect by making the pulse-bias waveform have a certain gradient. Furthermore, we investigate the IEDs under the condition of different pulse-bias duty ratios, waveforms, amplitudes, and cycle proportions. It is found that the parameters of the pulsed source can effectively modulate the IEDs on the insulating substrate and the charging effect, and more desired IEDs are obtained by using the voltage compensation method with modulations of pulse parameters.展开更多
Three new 'tailed' porphyrins and their corresponding Mn(Ⅲ) metalloporphyrins were synthesized and characterized. The potentiometric response characteristics of the PVC membrane electrode based on the Mn(Ⅲ...Three new 'tailed' porphyrins and their corresponding Mn(Ⅲ) metalloporphyrins were synthesized and characterized. The potentiometric response characteristics of the PVC membrane electrode based on the Mn(Ⅲ) complexes of the three new 'tailed' porphyrins toward SCN- have been studied.展开更多
This paper considers a Manpower system where “exits” of employed personnel produce some wastage or loss. This system monitors these wastages over the sequence of exit epochs {t0 = 0 and tk;k = 1, 2,…} that form a r...This paper considers a Manpower system where “exits” of employed personnel produce some wastage or loss. This system monitors these wastages over the sequence of exit epochs {t0 = 0 and tk;k = 1, 2,…} that form a recurrent process and admit recruitment when the cumulative loss of man hours crosses a threshold level Y, which is also called the breakdown level. It is assumed that the inter-exit times Tk = tk-1 - tk, k = 1, 2,… are independent and identically distributed random variables with a common cumulative distribution function (CDF) B(t) = P(Tk t) which has a tail 1 – B(t) behaving like t-v with 1 v as t → ∞. The amounts {Xk} of wastages incurred during these inter-exit times {Tk} are independent and identically distributed random variables with CDF P(Xk X) = G(x) and Y is distributed, independently of {Xk} and {tk}, as an exponentiated exponential law with CDF H(y) = P(Y y) = (1 - e-λy)n. The mean waiting time to break down of the system has been obtained assuming B(t) to be heavy tailed and as well as light tailed. For the exponential case of G(x), a comparative study has also been made between heavy tailed mean waiting time to break down and light tailed mean waiting time to break down values. The recruitment policy operating under the heavy tailed case is shown to be more economical in all types of manpower systems.展开更多
In this article, the dependent steps of a negative drift random walk are modelled as a two-sided linear process. Xn=-u＋∑j=-∞^∞ φn-jεj, where { ε, εn; -∞〈n〈＋∞} is a sequence of independent, identically di...In this article, the dependent steps of a negative drift random walk are modelled as a two-sided linear process. Xn=-u＋∑j=-∞^∞ φn-jεj, where { ε, εn; -∞〈n〈＋∞} is a sequence of independent, identically distributed random variables with zero mean, u 〉 0 is a constant and the coefficients {φi; -∞〈i〈∞} satisfy 0〈 ∑j=-∞^∞ ｜jφj｜〈 ∞ . Under the conditions that the distribution function of ｜ε｜ has dominated variation and ε satisfies certain tail balance conditions, the asymptotic behavior of P{sup n≥0 （-qu＋∑j=-∞^∞ εj βnj）〉x} is discussed. Then the result is applied to ultimate ruin probability.展开更多
In this paper, we study the precise large deviations for the prospectiveloss process with consistently varying tails. The obtained results improve some related known ones.
One hundred and eleven users of IUD were recruited and classified into two groups. 40 cases were in the tailed group, and 71 cases in the tailless group. The samples ol each case were obtained from vaginal vault, the ...One hundred and eleven users of IUD were recruited and classified into two groups. 40 cases were in the tailed group, and 71 cases in the tailless group. The samples ol each case were obtained from vaginal vault, the internal os of the cervix and uterine cavity. The cultures for detection of aerobic and anaerobic micro-morganisms were indentified.The results indicated that 11 cases were of positive test in the internal os samples. Among them 8 cases were in the tailed group and 3 cases in the tailless group. There was a very signilicant difference (P<0.01). 7 cases were found to be positive cultivation in the uterine cavity group among which 5 were in the tailed group and 2 in the tailless group. There was a signilicant difference (P<0.05).It is noteworthy that the increased incidence of bacteria ascending from the internal os to the uterine cavity was lound in the tailed group than that in the tailless group. However, severe pelvic inflammatory diseases in general have not been observed.展开更多
Sudden and uncertain events often cause cross-contagion of risk among various sectors of the macroeconomy.This paper introduces the stochastic volatility shock that follows a thick-tailed Student’s t-distribution int...Sudden and uncertain events often cause cross-contagion of risk among various sectors of the macroeconomy.This paper introduces the stochastic volatility shock that follows a thick-tailed Student’s t-distribution into a high-order approximate dynamic stochastic general equilibrium(DSGE)model with Epstein–Zin preference to better analyze the dynamic effect of uncertainty risk on macroeconomics.Then,the high-dimensional DSGE model(DSGE-SV-t)is developed to examine the impact of uncertainty risk on the transmission mechanism among macroeconomic sectors.The empirical research found that uncertainty risk generates heterogeneous impacts on macroeconomic dynamics under different inflation levels and economic states.Among them,a technological shock has the strongest impact on employment and consumption channels.The crowding-out effect of a fiscal policy stimulus on consumption and private investments is relatively weakened when considering uncertainty risk but is more pronounced during periods of high inflation.Uncertainty risk can partly explain the decline in investments and the increase in interest rates and employment rates,given the impact of an agent’s risk preferences.Compared with external economic conditions,the inflation factor has a stronger impact on the macro transmission mechanism caused by uncertainty risk.展开更多
Abstract Let X1, X2,... be a sequence of dependent and heavy-tailed random variables with distributions F1, F2,.. on （-∞,∞）, and let T be a nonnegative integer-valued random variable independent of the sequence {X...Abstract Let X1, X2,... be a sequence of dependent and heavy-tailed random variables with distributions F1, F2,.. on （-∞,∞）, and let T be a nonnegative integer-valued random variable independent of the sequence {Xk, k 〉 1}. In this framework, the asymptotic behavior of the tail probabilities of the quantities Sn = fi Xk and S（n） =∑ k=1 n 〉 1, and their randomized versions ST and S（τ） are studied. Some risk theory are presented. max Sk for 1〈k〈n applications to the展开更多
We study the tail probability of the stationary distribution of nonparametric nonlinear autoregressive functional conditional heteroscedastic (NARFCH) model with heavytailed innovations. Our result shows that the tail...We study the tail probability of the stationary distribution of nonparametric nonlinear autoregressive functional conditional heteroscedastic (NARFCH) model with heavytailed innovations. Our result shows that the tail of the stationary marginal distribution of an NARFCH series is heavily dependent on its conditional variance. When the innovations are heavy-tailed, the tail of the stationary marginal distribution of the series will become heavier or thinner than that of its innovations. We give some specific formulas to show how the increment or decrement of tail heaviness depends on the assumption on the conditional variance function. Some examples are given.展开更多
Recently the“control through detailed planning”has become a popular research subject allover China.This article discusses about its origin,nature,content,depth and its aesthetic princi-ples as well,aiming at enhanci...Recently the“control through detailed planning”has become a popular research subject allover China.This article discusses about its origin,nature,content,depth and its aesthetic princi-ples as well,aiming at enhancing the research on this subject.展开更多
In 2007,Chen and Ng investigated infinite-time ruin probability with constant interest forceand negatively quadrant dependent and extended regularly varying-tailed claims.Following this work,the authors obtain a weakl...In 2007,Chen and Ng investigated infinite-time ruin probability with constant interest forceand negatively quadrant dependent and extended regularly varying-tailed claims.Following this work,the authors obtain a weakly asymptotic equivalent formula for the finite-time and infinite-time ruinprobability with constant interest force,negatively quadrant dependent,and dominated varying-tailedclaims and negatively lower orthant dependent inter-arrival times.In particular,when the claims areconsistently varying-tailed,an asymptotic equivalent formula is presented.展开更多
Discussed in this paper is the dependent structure in the tails of distributions of random variables from some heavy-tailed stationary nonlinear time series. One class of models discussed is the first-order autoregres...Discussed in this paper is the dependent structure in the tails of distributions of random variables from some heavy-tailed stationary nonlinear time series. One class of models discussed is the first-order autoregressive conditional heteroscedastic (ARCH) process introduced by Engle (1982). The other class is the simple first-order bilinear models driven by heavy-tailed innovations. We give some explicit formulas for the asymptotic values of conditional probabilities used for measuring the tail dependence between two random variables from these models. Our results have significant meanings in finance.展开更多
This note complements a recent study in ruin theory with risky investment byestablishing the same asymptotic estimate for the finite time ruin probability under a weakerrestriction on the financial risks. In particula...This note complements a recent study in ruin theory with risky investment byestablishing the same asymptotic estimate for the finite time ruin probability under a weakerrestriction on the financial risks. In particular, our result applies to a critical case that theinsurance and financial risks have Pareto-type tails with the same regular index.展开更多
In this paper, we discuss the relationship between the stationary marginal tail probability and the innovation's tail probability of nonlinear autoregressive models. We show that under certain conditions that ensu...In this paper, we discuss the relationship between the stationary marginal tail probability and the innovation's tail probability of nonlinear autoregressive models. We show that under certain conditions that ensure the stationarity and ergodicity, one dimension stationary marginal distribution has the heavy-tailed probability property with the same index as that of the innovation's tail probability.展开更多
The paper proposes a statistic to test stationarity of series with κ-stable innovations and structural breaks,obtains the asymptotical distribution of the statistic,and proves the consistency of the test.To obtain cr...The paper proposes a statistic to test stationarity of series with κ-stable innovations and structural breaks,obtains the asymptotical distribution of the statistic,and proves the consistency of the test.To obtain critic values for the test without the estimation of the index κ,the paper proposes the bootstrap procedures to approximate the distribution,and proves the consistency of the procedures.The simulations demonstrate that the bootstrap test is practical and powerful.展开更多
This paper considers the nonstandard renewal risk model in which a part of surplus is invested into a Black-Scholes market whose price process is modelled by a geometric Brownian motion, claim sizes form a sequence of...This paper considers the nonstandard renewal risk model in which a part of surplus is invested into a Black-Scholes market whose price process is modelled by a geometric Brownian motion, claim sizes form a sequence of not necessarily identically distributed and pairwise quasi-asymptotically independent random variables with dominatedly-varying tails.The authors obtain a weakly asymptotic formula for the finite-time and infinite-time ruin probabilities.In particular,if the claims are identically distributed and consistently-varying tailed,then an asymptotic formula is presented.展开更多
文摘Non-aqueous emulsions have a wide range of applications in cosmetics,drug-controlled release,and the preparation of functional nanoparticles.However,due to the weaker polarity of non-aqueous solvents,these emulsions often exhibit inferior stability compared to their aqueous counterparts.In this experiment,the properties of quaternary ammonium surfactants in glycerol were investigated through surface tension measurements,to further enhance the stability of n-decane/glycerol emulsions,hydrophilic nanoparticles SiO_(2) were modified in situ using double tailed quaternary ammonium surfactants Di-C_(12)DAB and Di-C_(16)DAB.Stable n-decane/glycerol Pickering emulsions were successfully prepared.These emulsions were stable at 45℃for over six months,and no significant changes in droplet size occurred.The minimum droplet size of the emulsion was only 2-3μm.Contact angle measurements showed that the wettability of the silica surface was tremendously affected by the concentration and the alkyl chain length of the double-tailed surfactants.In the presence of Di-C_(12)DAB,the contact angle of glycerol on the silica surface increased monotonically with the surfactant concentration.This explains the phenomenon that the Pickering emulsions containing Di-C_(12)DAB and silica particles were stable within the contact angle range of 80°-120°.Comparatively,the contact angle of the glycerol on the silica surface in the presence of Di-C_(16)DAB first increased with surfactant concentrations and then decreased,reaching a maximum at 0.6 mmol/L.It can be concluded that Di-C_(12)DAB formed monolayers at the surface of silica particles within all investigated concentrations.On the contrary,Di-C_(16)DAB formed monolayers at concentrations below 0.6 mmol/L and formed double layers at concentrations above 0.6 mmol/L,leading to a non-monotonic change in the contact angle with respect to concentration.Using these stable non-aqueous Pickering emulsions as templates,polymer microspheres with a particle size of 2-3μm were successfully prepared with high yield.This work is helpful to expand the potential applications of non-aqueous emulsions in the encapsulation of drug,controlled release,material preparation,and cosmetic formulations.
基金Supported by the Hangzhou Joint Fund of the Zhejiang Provincial Natural Science Foundation of Chi-na(LHZY24A010002)the MOE Project of Humanities and Social Sciences(21YJCZH235).
文摘High-dimensional heterogeneous data have acquired increasing attention and discussion in the past decade.In the context of heterogeneity,semiparametric regression emerges as a popular method to model this type of data in statistics.In this paper,we leverage the benefits of expectile regression for computational efficiency and analytical robustness in heterogeneity,and propose a regularized partially linear additive expectile regression model with a nonconvex penalty,such as SCAD or MCP,for high-dimensional heterogeneous data.We focus on a more realistic scenario where the regression error exhibits a heavy-tailed distribution with only finite moments.This scenario challenges the classical sub-gaussian distribution assumption and is more prevalent in practical applications.Under certain regular conditions,we demonstrate that with probability tending to one,the oracle estimator is one of the local minima of the induced optimization problem.Our theoretical analysis suggests that the dimensionality of linear covariates that our estimation procedure can handle is fundamentally limited by the moment condition of the regression error.Computationally,given the nonconvex and nonsmooth nature of the induced optimization problem,we have developed a two-step algorithm.Finally,our method’s effectiveness is demonstrated through its high estimation accuracy and effective model selection,as evidenced by Monte Carlo simulation studies and a real-data application.Furthermore,by taking various expectile weights,our method effectively detects heterogeneity and explores the complete conditional distribution of the response variable,underscoring its utility in analyzing high-dimensional heterogeneous data.
文摘In an effort to simplify the procedure and to reduce the cost of fluorescence SSR analysis, the conditions of the multiplex PCR and the multiplex gel electrophoresis were optimized in the genetic analysis of sunflower (Helianthus annuus L.) inbred lines. Results indicated that factors for a successful multiplex PCR assay were related to the cycling touchdown annealing temperature, the balance of primer concentration at the various loci, the concentration of PCR buffer and the Taq DNA polymerase. Based on the optimization, a tailed primer strategy was outlined, and the effective ways were proposed to overcome the troubleshootings commonly encountered in the multiplex PCR and the multiplex gel electrophoresis.
基金supported by National Natural Science Foundation of China(No.11375040)the Important National Science&Technology Specific Project of China(No.2011ZX02403-001)
文摘Abstract A hybrid sheath model, including a fluid model and a Monte Carlo （MC） method, is proposed to study ion energy distributions （IEDs） driven by a radiofrequency （RF） with a tailed pulse-bias on an insulating substrate, where a charging effect is obviously caused by the ions accumulated. This surface charging effect will significantly affect the IEDs on the insulating substrate. In this paper, a voltage compensation method is employed to eliminate the charging effect by making the pulse-bias waveform have a certain gradient. Furthermore, we investigate the IEDs under the condition of different pulse-bias duty ratios, waveforms, amplitudes, and cycle proportions. It is found that the parameters of the pulsed source can effectively modulate the IEDs on the insulating substrate and the charging effect, and more desired IEDs are obtained by using the voltage compensation method with modulations of pulse parameters.
文摘Three new 'tailed' porphyrins and their corresponding Mn(Ⅲ) metalloporphyrins were synthesized and characterized. The potentiometric response characteristics of the PVC membrane electrode based on the Mn(Ⅲ) complexes of the three new 'tailed' porphyrins toward SCN- have been studied.
文摘This paper considers a Manpower system where “exits” of employed personnel produce some wastage or loss. This system monitors these wastages over the sequence of exit epochs {t0 = 0 and tk;k = 1, 2,…} that form a recurrent process and admit recruitment when the cumulative loss of man hours crosses a threshold level Y, which is also called the breakdown level. It is assumed that the inter-exit times Tk = tk-1 - tk, k = 1, 2,… are independent and identically distributed random variables with a common cumulative distribution function (CDF) B(t) = P(Tk t) which has a tail 1 – B(t) behaving like t-v with 1 v as t → ∞. The amounts {Xk} of wastages incurred during these inter-exit times {Tk} are independent and identically distributed random variables with CDF P(Xk X) = G(x) and Y is distributed, independently of {Xk} and {tk}, as an exponentiated exponential law with CDF H(y) = P(Y y) = (1 - e-λy)n. The mean waiting time to break down of the system has been obtained assuming B(t) to be heavy tailed and as well as light tailed. For the exponential case of G(x), a comparative study has also been made between heavy tailed mean waiting time to break down and light tailed mean waiting time to break down values. The recruitment policy operating under the heavy tailed case is shown to be more economical in all types of manpower systems.
基金Research supported by National Science Foundation of China (70671018 and 10371117)
文摘In this article, the dependent steps of a negative drift random walk are modelled as a two-sided linear process. Xn=-u＋∑j=-∞^∞ φn-jεj, where { ε, εn; -∞〈n〈＋∞} is a sequence of independent, identically distributed random variables with zero mean, u 〉 0 is a constant and the coefficients {φi; -∞〈i〈∞} satisfy 0〈 ∑j=-∞^∞ ｜jφj｜〈 ∞ . Under the conditions that the distribution function of ｜ε｜ has dominated variation and ε satisfies certain tail balance conditions, the asymptotic behavior of P{sup n≥0 （-qu＋∑j=-∞^∞ εj βnj）〉x} is discussed. Then the result is applied to ultimate ruin probability.
文摘In this paper, we study the precise large deviations for the prospectiveloss process with consistently varying tails. The obtained results improve some related known ones.
文摘One hundred and eleven users of IUD were recruited and classified into two groups. 40 cases were in the tailed group, and 71 cases in the tailless group. The samples ol each case were obtained from vaginal vault, the internal os of the cervix and uterine cavity. The cultures for detection of aerobic and anaerobic micro-morganisms were indentified.The results indicated that 11 cases were of positive test in the internal os samples. Among them 8 cases were in the tailed group and 3 cases in the tailless group. There was a very signilicant difference (P<0.01). 7 cases were found to be positive cultivation in the uterine cavity group among which 5 were in the tailed group and 2 in the tailless group. There was a signilicant difference (P<0.05).It is noteworthy that the increased incidence of bacteria ascending from the internal os to the uterine cavity was lound in the tailed group than that in the tailless group. However, severe pelvic inflammatory diseases in general have not been observed.
基金supported by the National Natural Science Foundation of China(Nos.72141304,71790594,71901130)。
文摘Sudden and uncertain events often cause cross-contagion of risk among various sectors of the macroeconomy.This paper introduces the stochastic volatility shock that follows a thick-tailed Student’s t-distribution into a high-order approximate dynamic stochastic general equilibrium(DSGE)model with Epstein–Zin preference to better analyze the dynamic effect of uncertainty risk on macroeconomics.Then,the high-dimensional DSGE model(DSGE-SV-t)is developed to examine the impact of uncertainty risk on the transmission mechanism among macroeconomic sectors.The empirical research found that uncertainty risk generates heterogeneous impacts on macroeconomic dynamics under different inflation levels and economic states.Among them,a technological shock has the strongest impact on employment and consumption channels.The crowding-out effect of a fiscal policy stimulus on consumption and private investments is relatively weakened when considering uncertainty risk but is more pronounced during periods of high inflation.Uncertainty risk can partly explain the decline in investments and the increase in interest rates and employment rates,given the impact of an agent’s risk preferences.Compared with external economic conditions,the inflation factor has a stronger impact on the macro transmission mechanism caused by uncertainty risk.
基金supported by the National Natural Science Foundation of China (No. 11171179)the Research Fund for the Doctoral Program of Higher Education of China (No. 20093705110002)
文摘Abstract Let X1, X2,... be a sequence of dependent and heavy-tailed random variables with distributions F1, F2,.. on （-∞,∞）, and let T be a nonnegative integer-valued random variable independent of the sequence {Xk, k 〉 1}. In this framework, the asymptotic behavior of the tail probabilities of the quantities Sn = fi Xk and S（n） =∑ k=1 n 〉 1, and their randomized versions ST and S（τ） are studied. Some risk theory are presented. max Sk for 1〈k〈n applications to the
基金supported by the National Natural Science Foundation of China(Grant No.10471005).
文摘We study the tail probability of the stationary distribution of nonparametric nonlinear autoregressive functional conditional heteroscedastic (NARFCH) model with heavytailed innovations. Our result shows that the tail of the stationary marginal distribution of an NARFCH series is heavily dependent on its conditional variance. When the innovations are heavy-tailed, the tail of the stationary marginal distribution of the series will become heavier or thinner than that of its innovations. We give some specific formulas to show how the increment or decrement of tail heaviness depends on the assumption on the conditional variance function. Some examples are given.
文摘Recently the“control through detailed planning”has become a popular research subject allover China.This article discusses about its origin,nature,content,depth and its aesthetic princi-ples as well,aiming at enhancing the research on this subject.
基金supported by the National Science Foundation of China under Grant No. 10671139.
文摘In 2007,Chen and Ng investigated infinite-time ruin probability with constant interest forceand negatively quadrant dependent and extended regularly varying-tailed claims.Following this work,the authors obtain a weakly asymptotic equivalent formula for the finite-time and infinite-time ruinprobability with constant interest force,negatively quadrant dependent,and dominated varying-tailedclaims and negatively lower orthant dependent inter-arrival times.In particular,when the claims areconsistently varying-tailed,an asymptotic equivalent formula is presented.
基金This work was supported by the National Natural Science Foundation of China (Grant No. 10071003) partially supported by a cooperative project from Yunnan Province.
文摘Discussed in this paper is the dependent structure in the tails of distributions of random variables from some heavy-tailed stationary nonlinear time series. One class of models discussed is the first-order autoregressive conditional heteroscedastic (ARCH) process introduced by Engle (1982). The other class is the simple first-order bilinear models driven by heavy-tailed innovations. We give some explicit formulas for the asymptotic values of conditional probabilities used for measuring the tail dependence between two random variables from these models. Our results have significant meanings in finance.
文摘This note complements a recent study in ruin theory with risky investment byestablishing the same asymptotic estimate for the finite time ruin probability under a weakerrestriction on the financial risks. In particular, our result applies to a critical case that theinsurance and financial risks have Pareto-type tails with the same regular index.
文摘In this paper, we discuss the relationship between the stationary marginal tail probability and the innovation's tail probability of nonlinear autoregressive models. We show that under certain conditions that ensure the stationarity and ergodicity, one dimension stationary marginal distribution has the heavy-tailed probability property with the same index as that of the innovation's tail probability.
基金Supported by the National Natural Science Foundation of China (Grant Nos.1092619760972150)
文摘The paper proposes a statistic to test stationarity of series with κ-stable innovations and structural breaks,obtains the asymptotical distribution of the statistic,and proves the consistency of the test.To obtain critic values for the test without the estimation of the index κ,the paper proposes the bootstrap procedures to approximate the distribution,and proves the consistency of the procedures.The simulations demonstrate that the bootstrap test is practical and powerful.
基金supported by the National Science Foundation of China under Grant No.11071182the fund of Nanjing University of Information Science and Technology under Grant No.Y627
文摘This paper considers the nonstandard renewal risk model in which a part of surplus is invested into a Black-Scholes market whose price process is modelled by a geometric Brownian motion, claim sizes form a sequence of not necessarily identically distributed and pairwise quasi-asymptotically independent random variables with dominatedly-varying tails.The authors obtain a weakly asymptotic formula for the finite-time and infinite-time ruin probabilities.In particular,if the claims are identically distributed and consistently-varying tailed,then an asymptotic formula is presented.
