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A New Class of Strong Orthogonal Arrays of Strength Three

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Journal of Systems Science & Complexity 2024年第3期37卷 1233-1250页

作者： WANG Chunyan LIU Min-Qian YANG Jinyu center for Applied statistics and school of statistics Renmin University of ChinaBeijing 100872China school of statistics and Data Science LPMC&KLMDASRNankai UniversityTianjin 300071China

Strong orthogonal arrays(SOAs) were recently introduced and studied as a class of spacefilling designs for computer experiments. To surely realize better space-filling properties, SOAs of strength three or higher are desirable. In addition, orthogonality is also an important property for designs of computer experiments, because it guarantees that the estimates of the main effects are uncorrelated. This paper first provides a systematic study on the construction of(nearly) orthogonal strength-three SOAs with better space-filling properties. The newly proposed strength-three SOAs enjoy almost the same space-filling properties of strength-four SOAs, and can accommodate much more columns than the latter. Moreover, they are(nearly) orthogonal and flexible in run sizes. The construction methods are straightforward to implement, and their theoretical supports are well established. In addition to the theoretical results, many designs are tabulated for practical needs.

关键词： Computer experiment orthogonality space-filling property strong orthogonal array

Variable Selection for Interval-censored Failure Time Data under the Partly Linear Additive Generalized Odds Rate Model

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Acta Mathematica Sinica,English Series 2024年

作者： Yang XU Shi Shun ZHAO Tao HU Jian Guo SUN school of Mathematical Sciences Shanxi University center for Applied statistical research and College of Mathematics Jilin University school of Mathematical Sciences Capital Normal University Department of statistics University of MissouriColumbia

Abstract This paper discusses variable selection for interval-censored failure time data, a general type of failure time data that commonly arise in many areas such as clinical trials and follow-up studies. Although some methods have been developed in the literature for the problem, most of the existing procedures apply only to specific models. In this paper, we consider the data arising from a general class of partly linear additive generalized odds rate models and propose a penalized variable selection approach through maximizing a derived penalized likelihood function. In the method, the Bernsetin polynomials are employed to approximate both the unknown baseline hazard functions and the nonlinear covariate effects functions, and for the implementation of the method, a coordinate descent algorithm is developed. Also the asymptotic properties of the proposed estimators, including the oracle property, are established. An extensive simulation study is conducted to assess the finite-sample performance of the proposed estimators and indicatesthat it works well in practice. Finally, the proposed method is applied to a set of real data on Alzheimer’s disease.

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Semi-Varying Coefficient Panel Data Model with Technical Indicators Predicts Stock Returns in Financial Market

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Journal of Systems Science & Complexity 2024年第4期37卷 1638-1652页

作者： HU Xuemei PAN Ying LI Xiang school of Mathematics and statistics Chongqing Technology and Business University Chongqing Key Laboratory of Social Economy and Applied statistics research center for Economy of Upper Reaches of the Yangtse River Chongqing Technology and Business University

Accurately predicting stock returns is a conundrum in financial market. Solving this conundrum can bring huge economic benefits for investors and also attract the attention of all circles of people. In this paper the authors combine semi-varying coefficient model with technical analysis and statistical learning, and propose semi-varying coefficient panel data model with individual effects to explore the dynamic relations between the stock returns from five companies: CVX, DFS, EMN, LYB,and MET and five technical indicators: CCI, EMV, MOM, ln ATR, ln RSI as well as closing price(ln CP), combine semi-parametric fixed effects estimator, semi-parametric random effects estimator with the testing procedure to distinguish fixed effects(FE) from random effects(RE), and finally apply the estimated dynamic relations and the testing set to predict stock returns in December 2020 for the five companies. The proposed method can accommodate the varying relationship and the interactive relationship between the different technical indicators, and further enhance the prediction accuracy to stock returns.

关键词： Fixed effects random effects semi-varying coefficient panel data model stock returns technical indicators

Exploring Long-Memory Process in the Prediction of Interval-Valued Financial Time Series and Its Application

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Journal of Systems Science & Complexity 2024年第2期37卷 759-775页

作者： SHEN Tingting TAO Zhifu CHEN Huayou school of Economics Anhui UniversityHefei 230601China center for Financial and statistical research Anhui UniversityHefei 230061China Stony Brook Institute at Anhui University Anhui UniversityHefei 230601China center for Applied Mathematics Anhui UniversityHefei 230601China

Long-memory process has been widely studied in classical financial time series analysis,which has merely been reported in the field of interval-valued financial time series.The aim of this paper is to explore long-memory process in the prediction of interval-valued time series(IvTS).To model the long-memory process,two novel interval-valued time series prediction models named as interval-valued vector autoregressive fractionally integrated moving average(IV-VARFIMA)and ARFIMAX-FIGARCH were established.In the developed long-memory pattern,both of the short term and long-term influences contained in IvTS can be included.As an application of the proposed models,interval-valued form of WTI crude oil futures price series is predicted.Compared to current IvTS prediction models,IV-VARFIMA and ARFIMAX-FIGARCH can provide better in-sample and out-of-sample forecasts.

关键词： ARFIMAX-FIGARCH interval-valued time series IV-VARFIMA long-memory process WTI crude oil futures price

SHARP MORREY REGULARITY THEORY FOR A FOURTH ORDER GEOMETRICAL EQUATION

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Acta Mathematica Scientia 2024年第2期44卷 420-430页

作者：向长林郑高峰 Three Gorges Mathematical research center China Three Gorges UniversityYichang443002China school of Mathematics and statistics Central China Normal UniversityWuhan430079China

This paper is a continuation of recent work by Guo-Xiang-Zheng[10].We deduce the sharp Morrey regularity theory for weak solutions to the fourth order nonhomogeneous Lamm-Rivière equation △^{2}u=△(V▽u)+div(w▽u)+(▽ω+F)·▽u+f in B^(4),under the smallest regularity assumptions of V,ω,ω,F,where f belongs to some Morrey spaces.This work was motivated by many geometrical problems such as the flow of biharmonic mappings.Our results deepens the Lp type regularity theory of[10],and generalizes the work of Du,Kang and Wang[4]on a second order problem to our fourth order problems.

关键词： fourth order elliptic equation regularity theory Morrey space decay estimates Riesz potential

First Passage Density of Brownian Motion with Two-sided Piecewise Linear Boundaries

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Acta Mathematica Sinica,English Series 2024年第6期40卷 1505-1520页

作者： Zhen YU Mao Zai TIAN center for Applied statistics School of StatisticsRenmin University of ChinaBeijing 100872P.R.China school of Mathematics and Data Science Changji UniversityChangji 831100P.R.China

The first passage time has many applications in fields like finance,econometrics,statistics,and biology.However,explicit formulas for the first passage density have only been obtained for a few cases.This paper derives an explicit formula for the first passage density of Brownian motion with twosided piecewise continuous boundaries which may have some points of discontinuity.Approximations are used to obtain a simplified formula for estimating the first passage density.Moreover,the results are also generalized to the case of two-sided general nonlinear boundaries.Simulations can be easily carried out with Monte Carlo method and it is demonstrated for several typical two-sided boundaries that the proposed approximation method offers a highly accurate approximation of first passage density.

关键词： Boundary non-crossing probability first density passage density two-sided piecewise continuous boundaries Brownian motion

Distributed Heterogeneous Multi-Agent Optimization with Stochastic Sub-Gradient

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Journal of Systems Science & Complexity 2024年第4期37卷 1470-1487页

作者： HU Haokun MO Lipo CAO Xianbing school of Mathematics and statistics Central South University school of Mathematics and statistics Beijing Technology and Business University research Centre for Agri-Product Quality Traceability Beijing Technology and Business University school of Computer and Artificial Intelligence Beijing Technology and Business University China Food Flavor and Nutrition Health Innovation center Beijing Technology and Business University

This paper studies the optimization problem of heterogeneous networks under a timevarying topology. Each agent only accesses to one local objective function, which is nonsmooth. An improved algorithm with noisy measurement of local objective functions' sub-gradients and additive noises among information exchanging between each pair of agents is designed to minimize the sum of objective functions of all agents. To weaken the effect of these noises, two step sizes are introduced in the control protocol. By graph theory, stochastic analysis and martingale convergence theory, it is proved that if the sub-gradients are uniformly bounded, the sequence of digraphs is balanced and the union graph of all digraphs is joint strongly connected, then the designed control protocol can force all agents to find the global optimal point almost surely. At last, the authors give some numerical examples to verify the effectiveness of the stochastic sub-gradient algorithms.

关键词： Communication noises distributed stochastic optimization heterogeneous networks sub-gradient measurement noises

Considerable impact of major air pollutants on hypertension in Guizhou province,southwest China

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Chinese Medical Journal 2024年第4期137卷 496-498页

作者： Ping Yuan Guojia Qi Xiu Dai Xiangyuan Chu Zhijun Liu Guoqin Liu Xiuquan Shi Department of Epidemiology and Health statistics School of Public HealthZunyi Medical UniversityZunyiGuizhou 563006China school of Management Zunyi Medical UniversityZunyiGuizhou 563006China center for Injury research and Policy&center for Pediatric Trauma research The Research Institute at Nationwide Children’s HospitalThe Ohio State University College of MedicineColumbusOH 43210USA

To the Editor:Air pollution can lead to respiratory and cardiovascular diseases(CVDs),and its impact on human health is very significant.Air particles less than 0.1µm can pass through the blood brain barrier,reach the brain,and enter the central nervous system,causing physiological and pathological changes.A study shows that long-term exposure to fine particulate matter(PM_(2.5))will increase the risk of CVDs among Chinese residents.^([1])Another study found that a short time exposure to low concentrations of air pollutants may also lead to the onset of acute coronary syndrome within one hour.^([2])A meta-analysis based on seven databases showed that environmental air pollution was positively correlated with elevated blood pressure and hypertension.^([3])Mounting evidence indicates that air pollution can cause cardiovascular and cerebrovascular diseases and affect human health furtherly.

关键词： pollution impact Guizhou

The Orthogonal Bases of Exponential Functions Based on Moran–Sierpinski Measures

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Acta Mathematica Sinica,English Series 2024年第7期40卷 1804-1824页

作者： Qi Rong DENG Xing Gang HE Ming Tian LI Yuan Ling YE school of Mathematics and statistics Center for Applied Mathematics of Fujian Province & Key Laboratory of Analytical Mathematics and Applications (Ministry of Education)Fujian Normal University school of Mathematics and statistics Key Lab NAA-MOE and Hubei Key Lab-Math.Sci.Central China Normal University school of Mathematical Sciences & South China research center for Applied Mathematics and Interdisciplinary Studies South China Normal University

Let A_n ∈ M2（Z） be integral matrices such that the infinite convolution of Dirac measures with equal weights ■ is a probability measure with compact support, where D = {（0, 0）~t,（1, 0）~t,（0, 1）~t} is the Sierpinski digit.We prove that there exists a set Λ ? R2such that the family ■ is an orthonormal basis of L2(μ{An,n≥1}) if and only if 1/3（1,-1）A_n ∈ Z2for n ≥ 2 under some metric conditions on A_n.

关键词： Moran-Sierpinski measures orthonormal basis of exponential functions self-affine measures spectral measures 28A33 42C05 28A80 42C30