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关于风险值VaR置信度的修正
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作者 汪飞星 宫粉平 《统计与决策》 CSSCI 北大核心 2016年第15期74-77,共4页
通常用拟合分布计算的VaR值k,它的置信度并不是给定的置信度1-α,而是1-α_1。文章对1-α_1进行了研究,针对用正态分布拟合的模型新提出了拟合度,然后利用拟合度、高估概率和低估概率建立了一个新的修正因子,利用修正因子对1-α_1进行估... 通常用拟合分布计算的VaR值k,它的置信度并不是给定的置信度1-α,而是1-α_1。文章对1-α_1进行了研究,针对用正态分布拟合的模型新提出了拟合度,然后利用拟合度、高估概率和低估概率建立了一个新的修正因子,利用修正因子对1-α_1进行估计,使其更接近实际值。仿真计算和中国联通数据的实例应用都说明通过修正因子的调整其风险值的置信度更精确了一些,同时对计算得到的可信度与实际的可信度之间的差异也有了更好的了解。 展开更多
关键词 风险值Va R 拟合度 高估概率 低估概率 修正因子
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A New Approach to Estimating the T-Year Return-Period Wave Height
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作者 ZHANG Jun SONG Wenpeng GE Yong 《Journal of Ocean University of China》 SCIE CAS 2011年第3期219-222,共4页
The paper introduces a new approach to estimating the T-year return-period wave height (TRPW), i.e. the wave height expected to occur in T-year, from two sets of observed extreme data and on the basis of the maximum e... The paper introduces a new approach to estimating the T-year return-period wave height (TRPW), i.e. the wave height expected to occur in T-year, from two sets of observed extreme data and on the basis of the maximum entropy principle. The main points of the approach are as follows. 1) A maximum entropy probability density function (PDF) for the extreme wave height H is derived from a Euler equation subject to some necessary and rational constraints. 2) The parameters in the function are expressed in terms of the mth moment of H. 3) This PDF is convenient to theoretical and practical applications as it is simple and its four parameters are easy to be determined from observed extreme data. An example is given for estimating the TRPW in 50 and 100 years by the present approach and by some currently used methods using observed data at two hydrographic stations.The comparison of the estimated results shows that the present approach is quite similar to the Pearson-Ⅲ and Gumbel methods. 展开更多
关键词 maximum entropy T-year return-period wave height Euler equation
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Probabilistic Analysis and Fatigue Damage Assessment of Offshore Mooring System due to Non-Gaussian Bimodal Tension Processes 被引量:1
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作者 CHANG Anteng LI Huajun +1 位作者 WANG Shuqing DU Junfeng 《Journal of Ocean University of China》 SCIE CAS CSCD 2017年第4期585-601,共17页
Both wave-frequency(WF) and low-frequency(LF) components of mooring tension are in principle non-Gaussian due to nonlinearities in the dynamic system.This paper conducts a comprehensive investigation of applicable pro... Both wave-frequency(WF) and low-frequency(LF) components of mooring tension are in principle non-Gaussian due to nonlinearities in the dynamic system.This paper conducts a comprehensive investigation of applicable probability density functions(PDFs) of mooring tension amplitudes used to assess mooring-line fatigue damage via the spectral method.Short-term statistical characteristics of mooring-line tension responses are firstly investigated,in which the discrepancy arising from Gaussian approximation is revealed by comparing kurtosis and skewness coefficients.Several distribution functions based on present analytical spectral methods are selected to express the statistical distribution of the mooring-line tension amplitudes.Results indicate that the Gamma-type distribution and a linear combination of Dirlik and Tovo-Benasciutti formulas are suitable for separate WF and LF mooring tension components.A novel parametric method based on nonlinear transformations and stochastic optimization is then proposed to increase the effectiveness of mooring-line fatigue assessment due to non-Gaussian bimodal tension responses.Using time domain simulation as a benchmark,its accuracy is further validated using a numerical case study of a moored semi-submersible platform. 展开更多
关键词 fatigue damage non-Gaussian bimodal process rainflow counting cycle distribution offshore mooring system
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