Characteristic function estimation of non-Gaussian Ornstein–Uhlenbeck processes

Continuous non-Gaussian stationary processes of the OU-type are becoming increasingly popular given their flexibility in modelling stylized features of financial series such as asymmetry, heavy tails and jumps. The use of non-Gaussian marginal distributions makes likelihood analysis of these processes unfeasible for virtually all cases of interest. This paper exploits the self-decomposability of the marginal laws of OU processes to provide explicit expressions of the characteristic function which can be applied to several models as well as to develop efficient estimation techniques based on the empirical characteristic function. Extensions to OU-based stochastic volatility models are provided.     

An exploratory analysis of composite choices: Weighing rationality versus irrationality

Humans are engineered neurologically to make rational and irrational choices. This paper introduces a new paradigm for decision making – a composite choice model – in which economic agents are constantly weighing rationality versus irrationality when encountering options. In an exploratory, deterministic, two-period model, an assumption of a two-way cross-embedment (i.e., a two-way interaction between the rational and irrational components) results in a paradoxical phenomenon, an outcome of either tending toward bliss or abyss at the end of the first period. This implies, for instance, a psychological struggle between two selves within the mind. The paradigm proposed is compared to the dual-process theories recently developed by the cognitive sciences. Future research will explore implications for public policy design and implementation.     

Reconsideration of the F-test of the analysis of variance: the semi-bayesian significance test

The usual F-test of the analysis of variance is reconsidered within the Bayesian framework, In terms of predictive distributions, This leads to the notion of semi-Bayesian significance test, so called because it consists in only probabilizing the space of nuisance parameters, thus bringing a general principle for “eliminating” nuisance parameters, or more exactly incorporating information about these parameters. The approach is shown to extend the F-tests, by allowing the testing of hypotheses of non-zero effects.     

Characterizations based on order statistics under sampling without replacement

In this paper, we consider finite populations and investigate their characterizations by regressions of order statistics under sampling without replacement. We also investigate some asymptotic results when the size of the population goes to infinity.     

The Dutch people and the euro: A structural equations analysis relating national identity and economic expectations to attitude towards the euro

National identity, macro and micro economic expectations affect the attitude toward the euro. In a study in The Netherlands, data were collected and relationships between the latent concepts were modelled with LISREL. In the best fitting model, national identity has a direct and an indirect effect on attitude, respectively, an unstructured and a structured effect. The indirect effect is mediated by macro and micro expectations. Macro expectations also have a direct and an indirect effect. The indirect effect is mediated by micro expectations. On one hand, macro expectations form a strong link between national identity and attitude. On the other hand, macro expectations have a strong direct effect on attitudes. The euro is mainly perceived and evaluated in a macro-economic perspective.PsycINFO classification: 2229; 3920     

抗战时期基督教夏令儿童会初探

夏令儿童会是近代在华诸差会为养成儿童“基督化人格”。为教会造就生力军而开展的一项涉及儿童的教会工作。随着抗日战争的到来，由中华全国基督教协进会发起倡导的夏令儿童会，在中华基督教宗教教育促进会的领导推动之下，迎难而上．除每年七八两月按时照例开办之外．并在一定程度上服务于战时难童救济工作。本文以中华全国基督教协进会月刊《中华归主》为主要资料来源，通过对其中有关夏令儿童会资料的梳理，探求国难时期协进会系统下夏令儿童会的历史真相。     

基于知识共享的虚拟R&D团队治理机制研究

虚拟R&D团队是现代电子信息技术的产物,是未来团队的发展趋势,其有效的治理机制是企业核心竞争力的保障。本文立足于知识共享的角度,对虚拟R&D团队治理中最重要的三个机制——知识管理机制、产权机制和激励机制进行分析,并提出了治理方案。     

Estimating conditional tail expectation with actuarial applications in view

We develop statistical inferential tools for estimating and comparing conditional tail expectation (CTE) functions, which are of considerable interest in actuarial science. In particular, we construct estimators for the CTE functions, develop the necessary asymptotic theory for the estimators, and then use the theory for constructing confidence intervals and bands for the functions. Both parametric and non-parametric approaches are explored. Simulation studies illustrate the performance of estimators in various situations. Results are obtained under minimal assumptions, and the general Vervaat process plays a crucial role in achieving these goals.     

TMS32010自适应均衡系统的开发与实现

本文使用新一代的高速信号处理片TMS32010设计出LMS算法的自适应均衡(AE)系统。在收敛性能、处理速度、小型化、使用灵活性及成本费用诸方面均优于或等于用模拟电路、专用数字电路及一般16位微机制成的AE系统。文中叙述了TMS32010 AE系统的设计思想,总体设计和硬、软件设计方法,结构框图,设计时需注意的各种问题以及试验結果。通过实验证明,系统是成功的,其性能与理论分析相符。本文所述方法除可用于LMS算法的AE设计外,也可用于其它AE算法的设计,且若适当改变程序及少量输出接口硬件,尚可用于其它数字信号处理,如调制解调、谱估计及声音控制等。     

钼酸钙晶体中点缺陷的电子结构研究

运用以密度泛函理论为基础的相对论性离散变分方法(DV-Xα),模拟计算了完整的和含氧空位的钼酸钙(CaMoO_4)晶体的电子结构,得到了含有F、F~ 心的CaMoO_4晶体电子态密度分布以及它们可能产生的光学跃迁模式.计算结果表明,含F、F~ 心的CaMoO_4晶体的禁带宽度明显变窄,F、F~ 心的能级出现在禁带中,利用过渡态理论计算得到其向Mo的4 d轨道发生光学跃迁,跃迁能量值分别为1.93,2.03 eV.利用提拉法生长的CaMoO_4晶体呈现蓝色的本质原因是F、F~ 心在黄红区产生比较强的吸收.