Value-at-Risk （VaR） estimation via Monte Carlo （MC） simulation is studied here. The variance reduction technique is proposed in order to speed up MC algorithm. The algorithm for estimating the probability of high ...Value-at-Risk （VaR） estimation via Monte Carlo （MC） simulation is studied here. The variance reduction technique is proposed in order to speed up MC algorithm. The algorithm for estimating the probability of high portfolio losses （more general risk measure） based on the Cross - Entropy importance sampling is developed. This algorithm can easily be applied in any light- or heavy-tailed case without an extra adaptation. Besides, it does not loose in the performance in comparison to other known methods. A numerical study in both cases is performed and the variance reduction rate is compared with other known methods. The problem of VaR estimation using procedures for estimating the probability of high portfolio losses is also discussed.展开更多
This paper compared various correlation of IMRA for CA19-9 and CA50 in the digestive system tumour antigen, such as linearity, sensitivity, analytical range, precision as well as storage and stability and so on. And i...This paper compared various correlation of IMRA for CA19-9 and CA50 in the digestive system tumour antigen, such as linearity, sensitivity, analytical range, precision as well as storage and stability and so on. And it also determined serum level of CA19- 9 and CA50 of patients with different tumours. The results showed it was well correlated to CA19- 9 and CA50 as a marker of digestive system tumour. Particularly high levels of both markers were found in patients with pancreastic colonic cancer. Therefore it is possible to obtain a higher sensitivity and acceptable specificity by combination with CA19-9 and CA50.展开更多
With the frequent fluctuations of international crude oil prices and China＇s increasing dependence on foreign oil in recent years, the volatility of international oil prices has significantly influenced China domesti...With the frequent fluctuations of international crude oil prices and China＇s increasing dependence on foreign oil in recent years, the volatility of international oil prices has significantly influenced China domestic refined oil price. This paper aims to investigate the transmission and feedback mechanism between international crude oil prices and China＇s refined oil prices for the time span from January 2011 to November 2015 by using the Granger causality test, vector autoregression model, impulse response function and variance decomposition methods. It is demonstrated that variation of international crude oil prices can cause China domestic refined oil price to change with a weak feedback effect. Moreover, international crude oil prices and China domestic refined oil prices are affected by their lag terms in positive and negative directions in different degrees. Besides, an international crude oil price shock has a signif- icant positive impact on domestic refined oil prices while the impulse response of the international crude oil price variable to the domestic refined oil price shock is negatively insignificant. Furthermore, international crude oil prices and domestic refined oil prices have strong historical inheri- tance. According to the variance decomposition analysis, the international crude oil price is significantly affected by its own disturbance influence, and a domestic refined oil price shock has a slight impact on international crude oil price changes. The domestic refined oil price variance is mainly caused by international crude oil price disturbance, while the domestic refined oil price is slightly affected by its own disturbance. Generally, domestic refined oil prices do not immediately respond to an international crude oil price change, that is, there is a time lag.展开更多
Abstract The compliance of an integrated approach, principal component analysis （PCA）, coupled with Tagu chi＇s robust theory for simultaneous optimization of cor related multiple responses of wire electrical discha...Abstract The compliance of an integrated approach, principal component analysis （PCA）, coupled with Tagu chi＇s robust theory for simultaneous optimization of cor related multiple responses of wire electrical discharge machining （WEDM） process for machining SiCp rein forced ZC63 metal matrix composites （MMCs） is investi gated in this work. The WEDM is proven better for its efficiency to machine MMCs among others, while the particulate size and volume percentage of SiCp with the composite are the utmost important factors. These improve the mechanical properties enormously, however reduce the machining performance. Hence the WEDM experiments are conducted by varying the particulate size, volume fraction, pulseon time, pulseoff time and wire tension. In the view of quality cut, the most important performance indicators of WEDM as surface roughness （Ra）, metal removal rate （MRR）, wire wear ratio （WWR）, kerf （Kw） and white layer thickness （WLT） are measured as respon ses. PCA is used as multiresponse optimization technique to derive the composite principal component （CPC） which acts as the overall quality index in the process. Consequently, Taguchi＇s S/N ratio analysis is applied to optimize the CPC. The derived optimal process responses are confirmed by the experimental validation tests results. The analysis of vari ance is conducted to find the effects of choosing process variables on the overall quality of the machined component.The practical possibility of the derived optimal process conditions is also presented using SEM.展开更多
文摘Value-at-Risk （VaR） estimation via Monte Carlo （MC） simulation is studied here. The variance reduction technique is proposed in order to speed up MC algorithm. The algorithm for estimating the probability of high portfolio losses （more general risk measure） based on the Cross - Entropy importance sampling is developed. This algorithm can easily be applied in any light- or heavy-tailed case without an extra adaptation. Besides, it does not loose in the performance in comparison to other known methods. A numerical study in both cases is performed and the variance reduction rate is compared with other known methods. The problem of VaR estimation using procedures for estimating the probability of high portfolio losses is also discussed.
文摘This paper compared various correlation of IMRA for CA19-9 and CA50 in the digestive system tumour antigen, such as linearity, sensitivity, analytical range, precision as well as storage and stability and so on. And it also determined serum level of CA19- 9 and CA50 of patients with different tumours. The results showed it was well correlated to CA19- 9 and CA50 as a marker of digestive system tumour. Particularly high levels of both markers were found in patients with pancreastic colonic cancer. Therefore it is possible to obtain a higher sensitivity and acceptable specificity by combination with CA19-9 and CA50.
基金support from the Key Project of National Social Science Foundation of China (NO. 13&ZD159)
文摘With the frequent fluctuations of international crude oil prices and China＇s increasing dependence on foreign oil in recent years, the volatility of international oil prices has significantly influenced China domestic refined oil price. This paper aims to investigate the transmission and feedback mechanism between international crude oil prices and China＇s refined oil prices for the time span from January 2011 to November 2015 by using the Granger causality test, vector autoregression model, impulse response function and variance decomposition methods. It is demonstrated that variation of international crude oil prices can cause China domestic refined oil price to change with a weak feedback effect. Moreover, international crude oil prices and China domestic refined oil prices are affected by their lag terms in positive and negative directions in different degrees. Besides, an international crude oil price shock has a signif- icant positive impact on domestic refined oil prices while the impulse response of the international crude oil price variable to the domestic refined oil price shock is negatively insignificant. Furthermore, international crude oil prices and domestic refined oil prices have strong historical inheri- tance. According to the variance decomposition analysis, the international crude oil price is significantly affected by its own disturbance influence, and a domestic refined oil price shock has a slight impact on international crude oil price changes. The domestic refined oil price variance is mainly caused by international crude oil price disturbance, while the domestic refined oil price is slightly affected by its own disturbance. Generally, domestic refined oil prices do not immediately respond to an international crude oil price change, that is, there is a time lag.
文摘Abstract The compliance of an integrated approach, principal component analysis （PCA）, coupled with Tagu chi＇s robust theory for simultaneous optimization of cor related multiple responses of wire electrical discharge machining （WEDM） process for machining SiCp rein forced ZC63 metal matrix composites （MMCs） is investi gated in this work. The WEDM is proven better for its efficiency to machine MMCs among others, while the particulate size and volume percentage of SiCp with the composite are the utmost important factors. These improve the mechanical properties enormously, however reduce the machining performance. Hence the WEDM experiments are conducted by varying the particulate size, volume fraction, pulseon time, pulseoff time and wire tension. In the view of quality cut, the most important performance indicators of WEDM as surface roughness （Ra）, metal removal rate （MRR）, wire wear ratio （WWR）, kerf （Kw） and white layer thickness （WLT） are measured as respon ses. PCA is used as multiresponse optimization technique to derive the composite principal component （CPC） which acts as the overall quality index in the process. Consequently, Taguchi＇s S/N ratio analysis is applied to optimize the CPC. The derived optimal process responses are confirmed by the experimental validation tests results. The analysis of vari ance is conducted to find the effects of choosing process variables on the overall quality of the machined component.The practical possibility of the derived optimal process conditions is also presented using SEM.
