A critical look at Lo's modified R/S statistic

We report on an empirical investigation of the modified rescaled adjusted range or R/S statistic that was proposed by Lo, 1991. Econometrica 59, 1279–1313, as a test for long-range dependence with good robustness properties under ‘extra’ short-range dependence. In contrast to the classical R/S statistic that uses the standard deviation S to normalize the rescaled range R, Lo's modified R/S-statistic V_q is normalized by a modified standard deviation S_q which takes into account the covariances of the first q lags, so as to discount the influence of the short-range dependence structure that might be present in the data. Depending on the value of the resulting test-statistic V_q, the null hypothesis of no long-range dependence is either rejected or accepted. By performing Monte-Carlo simulations with ‘truly’ long-range- and short-range dependent time series, we study the behavior of V_q, as a function of q, and uncover a number of serious drawbacks to using Lo's method in practice. For example, we show that as the truncation lag q increases, the test statistic V_q has a strong bias toward accepting the null hypothesis (i.e., no long-range dependence), even in ideal situations of ‘purely’ long-range dependent data.     

国家干预与社会发展--以二战后美国的科技投入为视角的分析

第二次世界大战以来,美国政府适应科技革命和生产力发展的内在需要,紧紧围绕国家利益强化科学研究与试验发展(R&D)投入,调整R&D投入重点,支撑基础和前竞争研究,引导产业界及全社会增加R&D投入.这使美国成为世界R&D投入最大的国家,极大地提高了美国的核心竞争能力,奠定了美国的科技、经济、政治大国地位.美国政府强化R&D投入及宏观调控,发挥在科学技术进步中的主导作用,反映了二战后国家对经济、社会生活干预程度的不断加强,对我国强化科技投入、加快科技进步也具有积极的借鉴意义.     

浅析西方发达国家国防研发管理特点及启示

选取美国、英国和法国作为分析对象,分别介绍了它们在国防研发管理方面的主要特点,并总结了它们之间的共同点。通过对它们的特点分析,期望能对我国的国防研发管理有所启示。     

Nonparametric Kernel Methods with Errors‐in‐Variables: Constructing Estimators,Computing them,and Avoiding Common Mistakes

Estimating a curve nonparametrically from data measured with error is a difficult problem that has been studied by many authors. Constructing a consistent estimator in this context can sometimes be quite challenging, and in this paper we review some of the tools that have been developed in the literature for kernel‐based approaches, founded on the Fourier transform and a more general unbiased score technique. We use those tools to rederive some of the existing nonparametric density and regression estimators for data contaminated by classical or Berkson errors, and discuss how to compute these estimators in practice. We also review some mistakes made by those working in the area, and highlight a number of problems with an existing R package decon .     

基于差异产品的政府最优R&D补贴策略研究

本文建立考虑产品差异的三阶段双寡头博弈模型:第一阶段政府选择R&D(Research and Development)补贴率,第二阶段企业确定自己的R&D水平,第三阶段企业确定产品价格进行伯川德竞争。根据双寡头在第二和第三阶段是否合作,给出了R&D竞争、R&D卡特尔、共同实验、技术共享联盟和研究共同体等五种R&D策略,得到了相应的政府最优R&D补贴率。研究表明,当技术溢出程度较低且产品水平差异不大时,政府给予采用R&D竞争策略企业的补贴率不高于采用R&D卡特尔策略的企业;当技术溢出程度较高且产品水平差异较大时,结果则相反。在政府进行最优补贴后,从促进技术进步、扩大企业规模以及社会福利最大化的角度来看,五种R&D策略中,共同实验最差,技术共享联盟和研究共同体则最优。     

建国初期上海旅馆的整顿与改造,1949-1958

建国之初,上海旅馆存在着种种问题,亟待整顿与改造,政府主要对旅馆的建筑空间、经营主体、从业人员、消费内容、流动主顾五个方面,采取了整饬风气、整顿重组、改革陋规、改造思想、改善卫生、公私合营六种措施,进行全方位、多层次、立体化整顿与改造。从当时整顿和改造的效果而言,通过政府之努力,最终控制住了这一"半公共"空间:不仅维护了社会治安、改善了社会风气,而且调动了职工的生产积极性、增强了他们的主人翁精神和爱国爱岗情愫,同时也改变了旅馆业经营的萧条状况,促进了旅馆业的良性发展。     

企业合作研发过程的知识共享博弈分析

企业合作研发过程中存在着知识共享博弈,知识共享博弈是企业合作研发过程中重要的知识行为,对其研究可以有效地辨识知识共享主体间博弈过程,为企业合作研发知识共享策略选择提供依据。运用博弈论思想,分析企业合作研发中知识共享的冲突及其原因,提出企业合作研发知识共享博弈的路径选择和解决思路,在此基础上,构建企业合作研发中知识共享博彝模型,求出知识共享博弈均衡解,并对博弈均衡解进行分析,指出了企业合作研发知识共享博弈行为策略,提高了企业合作研发知识共享效果。     

论J．R．R．托尔金的语言观念及其对“传说故事集”的影响

托尔金的语言观念根植于比较语文学及巴菲尔德的古代语义整体论,且形成了具有原创性的概念语言审美和天生语言,它们对传说故事集中的语言发明、神话创作和文本细节产生了巨大影响。     

Variability explained by covariates in linear mixed‐effect models for longitudinal data

Variability explained by covariates or explained variance is a well‐known concept in assessing the importance of covariates for dependent outcomes. In this paper we study R² statistics of explained variance pertinent to longitudinal data under linear mixed‐effect models, where the R² statistics are computed at two different levels to measure, respectively, within‐ and between‐subject variabilities explained by the covariates. By deriving the limits of R² statistics, we find that the interpretation of explained variance for the existing R² statistics is clear only in the case where the covariance matrix of the outcome vector is compound symmetric. Two new R² statistics are proposed to address the effect of time‐dependent covariate means. In the general case where the outcome covariance matrix is not compound symmetric, we introduce the concept of compound symmetry projection and use it to define level‐one and level‐two R² statistics. Numerical results are provided to support the theoretical findings and demonstrate the performance of the R² statistics. The Canadian Journal of Statistics 38: 352–368; 2010 © 2010 Statistical Society of Canada