检索结果-南通市图书馆

Asymptotic Inference in the Random Coefficient Autoregressive Model with Time-functional Variance Noises

在线全文

学校读者我要写书评

暂无评论

Acta Mathematicae Applicatae Sinica 2024年第2期40卷 320-346页

作者： En-wen ZHU Zi-wei DENG Han-jun ZHANG Jun CAO Xiao-hui LIU Department of Mathematics and statistics Changsha University of Science and TechnologyChangsha 410114China school of Mathematics and Computational science Xiangtan UniversityXiangtan 411105China school of statistics and data science and Key Laboratory of Data Science in Finance and EconomicsJiangxi University of Finance and EconomicsNanchang 330013China

This paper considers the random coefficient autoregressive model with time-functional variance noises,hereafter the RCA-TFV *** first establish the consistency and asymptotic normality of the conditional least squares estimator for the constant *** semiparametric least squares estimator for the variance of the random coefficient and the nonparametric estimator for the variance function are constructed,and their asymptotic results are reported.A simulation study is presented along with an analysis of real data to assess the performance of our method in finite samples.

关键词： random coefficient autoregressive model time-functional variance conditional least squares semiparametric least squares

Generalized trace regression with simultaneously nonconvex nuclear norm and two-dimensional spline lasso

在线全文

学校读者我要写书评

暂无评论

Acta Mathematica Sinica,English Series 2024年

作者： Chuanquan Li Xiangyong Tan Ling Peng Mei Li Xiaohui Liu school of statistics and data science Jiangxi University of Finance and Economics key laboratory of data science in finance and economics Jiangxi University of Finance and Economics Department of Mathematics and statistics Beijing Jiaotong University

Matrix-valued data have found extensive applications in various fields, such as modern biomedical imaging, chemometrics, and economics. In this paper, we address the problem of generalized trace regression involving matrix-valued covariates. To estimate the unknown parameters, we propose a penalty that combines the MCP nuclear norm and two-dimensional spline lasso. This penalty accounts for the potential low-rank and row/column order structures in the matrix-valued covariates. We establish the general theory and explicit statistical convergence rate of the resulting estimator. Through simulations, we demonstrate the advantages of our proposed method compared to other competing methods. Finally, we apply our approach to analyze brainimage datasets related to Alzheimer’s disease, identifying several efficient regions that illustrate the mechanism of Alzheimer’s.

关键词：

Sliced Average Variance Estimation for Tensor data

在线全文

同方期刊数据库

学校读者我要写书评

暂无评论

Acta Mathematicae Applicatae Sinica 2024年第3期40卷 630-655页

作者： Chuan-quan LI Pei-wen XIAO Chao YING Xiao-hui LIU school of statistics Jiangxi University of Finance and EconomicsNanchang 330013China key laboratory of data science in finance and economics Jiangxi University of Finance and EconomicsNanchang 330013China Biostatistics and Medical Informatics University of Wisconsin MadisonMadison 53726USA

Tensor data have been widely used in many fields,e.g.,modern biomedical imaging,chemometrics,and economics,but often suffer from some common issues as in high dimensional *** to find their low-dimensional latent structure has been of great interest for *** this end,we develop two efficient tensor sufficient dimension reduction methods based on the sliced average variance estimation(SAVE)to estimate the corresponding dimension reduction *** first one,entitled tensor sliced average variance estimation(TSAVE),works well when the response is discrete or takes finite values,but is not■consistent for continuous response;the second one,named bias-correction tensor sliced average variance estimation(CTSAVE),is a de-biased version of the TSAVE *** asymptotic properties of both methods are derived under mild *** and real data examples are also provided to show the superiority of the efficiency of the developed methods.

关键词： tensor data sliced average variance estimation sufficient dimension reduction central subspace

Asymptotic Inferences in the Random Coefficient Autoregressive Model with Time-functional Variance Noises

在线全文

学校读者我要写书评

暂无评论

Acta Mathematicae Applicatae Sinica 2024年

作者： En-wen ZHU Zi-wei DENG Han-jun ZHANG Jun CAO Xiao-hui LIU Department of Mathematics and statistics Changsha University of Science and Technology school of statistics and data science and Key Laboratory of Data Science in Finance and Economics Jiangxi University of Finance and Economics school of Mathematics and Computational science Xiangtan University

This paper considers the random coefficient autoregressive model with time-functional variance noises, hereafter the RCA-TFV model. We first establish the consistency and asymptotic normality of the conditional least squares estimator for the constant coefficient. The semiparametric least squares estimator for the variance of the random coefficient and the nonparametric estimator for the variance function are constructed,and their asymptotic results are reported. A simulation study is presented along with an analysis of real data to assess the performance of our method in finite samples.

关键词：

Measuring Financial Systemic Risk:Net Liability Clearing Mechanism and Contagion Effect

在线全文

同方期刊数据库

学校读者我要写书评

暂无评论

Journal of Systems science & Complexity 2024年第3期37卷 1114-1146页

作者： MA Jiali ZHU Shushang LI Duan College of Big data statistics Guizhou University of Finance and EconomicsGuiyang 550025China school of Business Sun Yat-Sen UniversityGuangzhou 510275China school of data science City University of Hong KongHong Kong 999077China

Following the framework of E-N model(Eisenberg and Noe,2001),the authors consider a new clearing mechanism based on net liabilities among financial institutions since the liabilities between the counterparties should be deducted accordingly when clearing in *** the basis for systemic risk measurement,similar to the original E-N model,the authors first establish some good properties for the clearing payment vector according to a more general ***,the authors investigate how risk spreads among institutions through the liability network forming the risk contagion ***,the authors illustrate with a specific example that the original E-N clearing mechanism may misidentify the systemic important institutions,and theoretically show that it may also overestimate the risk compared with the netting clearing mechanism.

关键词： Clearing mechanism contagion net liability network systemic risk

Asymptotic normality of error density estimator in stationary and explosive autoregressive models

在线全文

学校读者我要写书评

暂无评论

Applied Mathematics(A Journal of Chinese Universities) 2024年第1期39卷 140-158页

作者： WU Shi-peng YANG Wen-zhi GAO Min HU Shu-he school of Mathematical sciences&school of Big data and statistics Anhui UniversityHefei 230601China school of statistics Shanxi University of Finance and EconomicsTaiyuan030006China

In this paper,we consider the limit distribution of the error density function estima-tor in the rst-order autoregressive models with negatively associated and positively associated random *** mild regularity assumptions,some asymptotic normality results of the residual density estimator are obtained when the autoregressive models are stationary process and explosive *** order to illustrate these results,some simulations such as con dence intervals and mean integrated square errors are provided in this *** shows that the residual density estimator can replace the density\estimator"which contains errors.

关键词： explosive autoregressive models residual density estimator asymptotic distribution association sequence

Perturbations of Dirac operators,spectral Einstein functionals and the Noncommutative residue

在线全文

学校读者我要写书评

暂无评论

Acta Mathematica Sinica,English Series 2024年

作者： Sining WEI Yong Wang school of data science and Artificial Intelligence Dongbei University of Finance and Economics school of Mathematics and statistics Northeast Normal University

In this paper, we introduce the spectral Einstein functional for perturbations of Dirac operators on manifolds with boundary. Furthermore, we provide the proof of the Dabrowski-SitarzZalecki type theorems associated with the spectral Einstein functionals for perturbations of Dirac operators, particularly in the cases of on 4-dimensional manifolds with boundary.

关键词：

Exploring the impacts of major events on the systemic risk of the international energy market

在线全文

同方期刊数据库

学校读者我要写书评

暂无评论

Petroleum science 2024年第2期21卷 1444-1457页

作者： Ming-Tao Zhao Su-Wan Lu Lian-Biao Cui school of statistics and Applied Mathematics Anhui University of Finance and EconomicsBengbu233030AnhuiChina Anhui Province key laboratory of Philosophy and Social science of Low-Carbon Development and Carbon finance Anhui University of Finance and EconomicsBengbu233030AnhuiChina

This study examines the systemic risk caused by major events in the international energy market(IEM)and proposes a management strategy to mitigate it. Using the tail-event driven network(TENET)method, this study constructed a tail-risk spillover network(TRSN) of IEM and simulated the dynamic spillover tail-risk process through the cascading failure mechanism. The study found that renewable energy markets contributed more to systemic risk during the Paris Agreement and the COVID-19pandemic, while fossil energy markets played a larger role during the Russia-Ukraine conflict. This study identifies systemically important markets(SM) and critical tail-risk spillover paths as potential sources of systemic risk. The research confirms that cutting off the IEM risk spillover path can greatly reduce systemic risk and the influence of SM. This study offers insights into the management of systemic risk in IEM and provides policy recommendations to reduce the impact of shock events.

关键词： International energy market Tail-risk spillover Cascading failure mechanism Systemic risk management

A Mean-Field Game for a Forward-Backward Stochastic System With Partial Observation and Common Noise

在线全文

学校读者我要写书评

暂无评论

IEEE/CAA Journal of Automatica Sinica 2024年第3期11卷 746-759页

作者： Pengyan Huang Guangchen Wang Shujun Wang Hua Xiao the school of Control science and Engineering Shandong University the school of statistics and Mathematics Shandong University of Finance and Economics IEEE the school of Management Shandong University the school of Mathematics and statistics Shandong University

This paper considers a linear-quadratic(LQ) meanfield game governed by a forward-backward stochastic system with partial observation and common noise,where a coupling structure enters state equations,cost functionals and observation ***,to reduce the complexity of solving the meanfield game,a limiting control problem is *** virtue of the decomposition approach,an admissible control set is *** a filter technique and dimensional-expansion technique,a decentralized control strategy and a consistency condition system are derived,and the related solvability is also ***,we discuss an approximate Nash equilibrium property of the decentralized control ***,we work out a financial problem with some numerical simulations.

关键词： Decentralized control strategy ϵ-Nash equilibrium forward-backward stochastic system mean-field game partial observation