Draxler and Zessin [1] derived the power function for a class of conditional tests of assumptions of a psychometric model known as the Rasch model and suggested an MCMC approach developed by Verhelst [2] for the numer...Draxler and Zessin [1] derived the power function for a class of conditional tests of assumptions of a psychometric model known as the Rasch model and suggested an MCMC approach developed by Verhelst [2] for the numerical approximation of the power of the tests. In this contribution, the precision of the Verhelst approach is investigated and compared with an exact sampling procedure proposed by Miller and Harrison [3] for which the discrete probability distribution to be sampled from is exactly known. Results show no substantial differences between the two numerical procedures and quite accurate power computations. Regarding the question of computing time the Verhelst approach will have to be considered much more efficient.展开更多
风向作为风荷载变异性的关键因素之一,在极端风速预测中不容忽视。基于安徽省67个气象站点1980—2020年间的历史日极值风速和风向数据,分别对风速和风向进行了概率分布建模分析。结合最优边际分布,采用3种常用的阿基米德Copula函数建立...风向作为风荷载变异性的关键因素之一,在极端风速预测中不容忽视。基于安徽省67个气象站点1980—2020年间的历史日极值风速和风向数据,分别对风速和风向进行了概率分布建模分析。结合最优边际分布,采用3种常用的阿基米德Copula函数建立了风速和风向的二维联合分布模型。最后结合Copula函数的条件概率理论,给出了全省范围内16个风向上50年重现期下的设计风速区划。研究结果表明,Gumbel分布和三阶von Mises分布适用于全省绝大多数站点风速和风向的边际分布。根据赤池信息准则(Akaike information criterion,AIC)可以发现,对于大多数气象站点的二维联合分布,Frank-Copula函数拟合误差最小。各风向下的极值风速大小存在显著差异,忽略风向的极值风速预测,将会导致计算结果不准确。展开更多
The joint probability distribution of wind speed and significant wave height in the Bohai Bay was investigated by comparing the Gurnbel logistic model, the Gumbel-Hougaard （GH） copula function, and the Clayton copul...The joint probability distribution of wind speed and significant wave height in the Bohai Bay was investigated by comparing the Gurnbel logistic model, the Gumbel-Hougaard （GH） copula function, and the Clayton copula function. Twenty years of wind data from 1989 to 2008 were collected from the European Centre for Medium-Range Weather Forecasts （ECMWF） database and the blended wind data of the Quick Scatterometer （QSCAT） satellite data set and re-analysis data from the United States National Centers for Environmental Prediction （NCEP）. Several typhoons were taken into account and merged with the background wind fields from the ECMWF or QSCAT/NCEP database. The 20-year data of significant wave height were calculated with the unstructured-grid version of the third-generation wind wave model Simulating WAves Nearshore （SWAN） under extreme wind process conditions. The Gumbel distribution was used for univariate and marginal distributions. The distribution parameters were estimated with the method of L-moments. Based on the marginal distributions, the joint probability distributions, the associated return periods, and the conditional probability distributions were obtained. The GH copula function was found to be optimal according to the ordinary least squares （OLS） test. The results show that wind waves are the prevailing type of wave in the Bohai Bay.展开更多
Under the assumption of strictly stationary process, this paper proposes a nonparametric model to test the kurtosis and conditional kurtosis for risk time series. We apply this method to the daily returns of S＆P500 i...Under the assumption of strictly stationary process, this paper proposes a nonparametric model to test the kurtosis and conditional kurtosis for risk time series. We apply this method to the daily returns of S＆P500 index and the Shanghai Composite Index, and simulate GARCH data for verifying the efficiency of the presented model. Our results indicate that the risk series distribution is heavily tailed, but the historical information can make its future distribution light-tailed. However the far future distribution＇s tails are little affected by the historical data.展开更多
文摘Draxler and Zessin [1] derived the power function for a class of conditional tests of assumptions of a psychometric model known as the Rasch model and suggested an MCMC approach developed by Verhelst [2] for the numerical approximation of the power of the tests. In this contribution, the precision of the Verhelst approach is investigated and compared with an exact sampling procedure proposed by Miller and Harrison [3] for which the discrete probability distribution to be sampled from is exactly known. Results show no substantial differences between the two numerical procedures and quite accurate power computations. Regarding the question of computing time the Verhelst approach will have to be considered much more efficient.
文摘风向作为风荷载变异性的关键因素之一,在极端风速预测中不容忽视。基于安徽省67个气象站点1980—2020年间的历史日极值风速和风向数据,分别对风速和风向进行了概率分布建模分析。结合最优边际分布,采用3种常用的阿基米德Copula函数建立了风速和风向的二维联合分布模型。最后结合Copula函数的条件概率理论,给出了全省范围内16个风向上50年重现期下的设计风速区划。研究结果表明,Gumbel分布和三阶von Mises分布适用于全省绝大多数站点风速和风向的边际分布。根据赤池信息准则(Akaike information criterion,AIC)可以发现,对于大多数气象站点的二维联合分布,Frank-Copula函数拟合误差最小。各风向下的极值风速大小存在显著差异,忽略风向的极值风速预测,将会导致计算结果不准确。
基金supported by the Science Fund for Creative Research Groups of the National Natural ScienceFoundation of China (Grant No. 51021004)the National High Technology Research and DevelopmentProgram of China (863 Program, Grants No. 2012AA112509 and 2012AA051702)
文摘The joint probability distribution of wind speed and significant wave height in the Bohai Bay was investigated by comparing the Gurnbel logistic model, the Gumbel-Hougaard （GH） copula function, and the Clayton copula function. Twenty years of wind data from 1989 to 2008 were collected from the European Centre for Medium-Range Weather Forecasts （ECMWF） database and the blended wind data of the Quick Scatterometer （QSCAT） satellite data set and re-analysis data from the United States National Centers for Environmental Prediction （NCEP）. Several typhoons were taken into account and merged with the background wind fields from the ECMWF or QSCAT/NCEP database. The 20-year data of significant wave height were calculated with the unstructured-grid version of the third-generation wind wave model Simulating WAves Nearshore （SWAN） under extreme wind process conditions. The Gumbel distribution was used for univariate and marginal distributions. The distribution parameters were estimated with the method of L-moments. Based on the marginal distributions, the joint probability distributions, the associated return periods, and the conditional probability distributions were obtained. The GH copula function was found to be optimal according to the ordinary least squares （OLS） test. The results show that wind waves are the prevailing type of wave in the Bohai Bay.
基金supported by the National Natural Science Foundation of China (Grant No.60773081)the Key Project of Shanghai Municipality (Grant No.S30104)
文摘Under the assumption of strictly stationary process, this paper proposes a nonparametric model to test the kurtosis and conditional kurtosis for risk time series. We apply this method to the daily returns of S＆P500 index and the Shanghai Composite Index, and simulate GARCH data for verifying the efficiency of the presented model. Our results indicate that the risk series distribution is heavily tailed, but the historical information can make its future distribution light-tailed. However the far future distribution＇s tails are little affected by the historical data.
