On kernel estimators of density ratio

Let f(x) and g(x) denote two probability density functions and g(x)≠0. There are two ways to estimate the density ratio f(x)/g(x). One is to estimate f(x) and g(x) first and then the ratio, the other is to estimate f(x)/g(x) directly. In this paper, we derive asymptotic mean square errors and central limit theorems for both estimators.     

Beta approximation of ratio distribution and its application to next generation sequencing read counts

Paired sequencing data are commonly collected in genomic studies to control biological variation. However, existing data processing strategies suffer at low coverage regions, which are unavoidable due to the limitation of current sequencing technology. Furthermore, information contained in the absolute values of the read counts is commonly ignored. We propose a read count ratio processing/modification method, to not only incorporate information contained in the absolute values of paired counts into one variable, but also mitigate the discrete artifact, especially when both counts are small. Simulation shows that the processed variable fits well with a Beta distribution, thus providing an easy tool for down-stream inference analysis.     

Notes on estimation of the proportion ratio in the presence of carryover effects under the AB/BA crossover trial

The authors focus discussion on estimation of the proportion ratio (PR) in the presence of residual effects under the AB/BA design. Under a random effects multiplicative risk model, we develop three point estimators and three interval estimators accounting for residual effects for the PR. Using Monte Carlo simulations, we compare the performance of these point (or interval) estimators with point (or interval) estimators assuming no residual effects with respect to the bias and mean-squared-error (or the coverage probability and average length). The authors use the data taken from an AB/BA trial comparing two new inhalation devices to illustrate the use of these estimators.     

A self-reliant projected information criterion for the number of factors

Abstract

In this article, we propose a new projected PCA to determine the number of factors. We project variables of interest into the space spanned by cross sectional averages of variables. And then we construct the eigenvalue tests and the information criteria to estimate the number of factors. We derive the large sample consistency and conduct finite sample simulations to demonstrate the better performances of our estimators. In order to show the edge of our estimators in real data analysis, we revisit a large house price data set for which the number of factors is hard to select.     

Finite sample properties of beale's ratio estimator

In this paper, the exact blas and mean square error of Beale's ratio estimator are derived under a blvariate normal nlodel in the form of an infinite series. It is found that some conventional large sample approxlmatlons are extremely poor if the relative variance of the auxlllary variable X is large. It is also brought out through this.study that Beale's estimator of the population mean seems to be more efficient than the usual sanple mean under the condition resulting from the large sample comparison of the customary ratio estimator and the usual sample mean.     

考虑流动性和组合再平衡风险的股票质押率优化模型

股票质押率的合理与灵活设定对于降低质权人风险，从而避免市场恐慌情绪蔓延具有重要意义。考虑到现有研究和实务操作往往只是简单地基于波动率来计算股票质押率，而忽视了流动性、杠杆和交叉持股等因素对股票质押率的影响，即在股票质押率定价过程中未能考虑质押标的的流动性风险和组合再平衡风险。鉴于此，本文分析了杠杆对投资者资产组合价值的影响机理，以及交叉持股对质押标的的正反馈效应，构建了一个兼顾波动率、流动性和组合再平衡风险的股票质押率定价模型。另外，通过模拟分析发现，杠杆及流动性冲击均显著影响股票质押率；且与仅基于波动率预测的传统模型相比，本文提出的定价模型所计算的股票质押率要显著低于前者，结果证明本模型确能有效解决杠杆过高、交叉持股情况下，股票质押率的合理调整问题。     

需求随机时的存货质押贷款质押率决策研究

需求波动导致的风险是存货质押融资区别于有价证券质押融资的主要方面.本文研究了当存货的需求随机波动时,银行的最优质押率决策问题,并详细分析了不同的风险偏好对质押率的影响,结论表明风险厌恶及损失规避时的质押率均低于风险中性时的质押率.本文同时还分析了当质押率影响贷款企业的库存决策时,银行的最优质押率决策.最后,通过数值算例验证了文章的结论.     

企业集团控制下的关联企业违约相关性度量研究

作为商业银行的重要客户,企业集团是多个企业的法人联合体.企业集团内的关联企业违约与否,常常受集团母公司的影响,并且集团内任一企业发生违约,都可能导致集团内其它关联企业发生违约,最终给银行造成巨大的累积信用风险.因此,度量集团内关联企业的违约相关性是银行防范集团客户信用风险的重要环节.基于此,通过将企业集团母公司的资产价值作为影响其控制企业的违约强度公共风险因子,结合违约强度模型,分析这些关联企业的随机违约强度过程,进而得到集团控制下的关联企业违约相关性度量模型.研究表明,企业集团控制下的关联企业违约相关性与母公司持有它们的股权比例成正向变化关系,但是股权比例的变化对违约相关性变化的影响较小.     

治理出生性别比偏高的战略选择及前景展望

出生性别比的持续偏高是社会性别的不平等在生育领域里的集中体现,因此,治理出生性别比偏高应该着重于对性别不平等的社会经济文化环境的改造,通过构建社会性别平等机制,形成治理出生性别比偏高的远期战略和近期战略相结合的综合框架。     

Machine covering with combined partial information

Machine scheduling and covering problems may occur in many applications such as load balancing in network communication channel assignment, parallel processing in large-size computing, task arrangement in flexible manufacturing systems, etc. In this paper we study machine covering problems with combined partial information on m   parallel identical machines. We consider sequences where the processing time of all jobs are at most 1/k$1/k$ times of the optimal value (for an integer k). For the case where the optimal value is not known in advance, we show that LS algorithm is optimal. For the case where the optimal value is known in advance, we give lower bounds and present semi-online algorithms.