Improving Convergence of the HastingsMetropolis Algorithm with an Adaptive Proposal

The HastingsMetropolis algorithm is a general MCMC method for sampling from a density known up to a constant. Geometric convergence of this algorithm has been proved under conditions relative to the instrumental (or proposal) distribution. We present an inhomogeneous HastingsMetropolis algorithm for which the proposal density approximates the target density, as the number of iterations increases. The proposal density at the n th step is a non-parametric estimate of the density of the algorithm, and uses an increasing number of i.i.d. copies of the Markov chain. The resulting algorithm converges (in n ) geometrically faster than a HastingsMetropolis algorithm with any fixed proposal distribution. The case of a strictly positive density with compact support is presented first, then an extension to more general densities is given. We conclude by proposing a practical way of implementation for the algorithm, and illustrate it over simulated examples.     

衍生金融工具风险:种类、成因与控制

衍生金融工具的风险问题已经引起了各国经济界和管理当局的广泛关注。本文将衍生金融工具的风险概括为市场风险、信用风险、流动性风险、营运风险和法律风险五类 ,探讨了各种风险的成因 ,并提出了防范和控制对策     

基于贝叶斯神经网络的非参数回归

提高神经网络模型推广能力的关键是控制模型的复杂度。该文探索了贝叶斯神经网络的非参数回归的建模方法,通过融入模型参数的先验知识,在给定数据样本及模型假设下进行后验概率的贝叶斯推理,使用马尔可夫链蒙特卡罗算法来优化模型控制参数,实现了对神经网络模型中不同部分复杂度的控制,获得了模型参数的后验分布及预测分布。在5个含噪二维函数回归问题上的应用显示了模型的复杂度能根据数据的复杂度而自适应调整,并给出了较好的预测结果。     

基于马尔可夫链的产品市场保有量预测模型

售后服务机构为了准确地准备库存,都需要预测产品的市场保有量。基于马尔可夫链建立的状态概率矩阵模型,与抽样调查、时间序列法、回归分析法等方法相比,更能准确预测市场产品保有量。与传统产品相比较,更新换代速度快的电子产品,要预测其市场保有量,更需要利用状态概率矩阵模型。     

Estimating rating transition probabilites with missing data

In this article we provide a rigorous treatment of one of the central statistical issues of credit risk management. GivenK-1 rating categories, the rating of a corporate bond over a certain horizon may either stay the same or change to one of the remainingK-2 categories; in addition, it is usually the case that the rating of some bonds is withdrawn during the time interval considered in the analysis. When estimating transition probabilities, we have thus to consider aK-th category, called withdrawal, which contains (partially) missing data. We show how maximum likelihood estimation can be performed in this setup; whereas in discrete time our solution gives rigorous support to a solution often used in applications, in continuous time the maximum likelihood estimator of the transition matrix computed by means of the EM algorithm represents a significant improvement over existing methods.     

湖南省省属高校经常性财政拨款新模式构建研究

经过近几年来高校管理体制的大幅度调整变化,目前湖南省省属高校所采用的经常性财政拨款方案已不能适应新形式的需要。成为适时之需,构建一种公平合理、简单有效的新模式,既发挥财政拨款在高教事业中的基础作用,又引导高校不断提高办学效益。     

略论WTO反补贴立法中“利益”的确定

在反补贴法立法和实践中,要确定一项补贴的存在,首先必须是政府给予私人实体一项财政资助,其次是该财政资助授予了利益。然而在当前的反补贴立法中,何谓授予利益以及如何计算利益都没有明确规定。在考察WTO反补贴争端中专家组及上诉机构的解释的基础上,总结出利益的界定和计算规则,从而有利于我国反补贴法相关条款的完善。     

On Block Updating in Markov Random Field Models for Disease Mapping

Gaussian Markov random field (GMRF) models are commonly used to model spatial correlation in disease mapping applications. For Bayesian inference by MCMC, so far mainly single-site updating algorithms have been considered. However, convergence and mixing properties of such algorithms can be extremely poor due to strong dependencies of parameters in the posterior distribution. In this paper, we propose various block sampling algorithms in order to improve the MCMC performance. The methodology is rather general, allows for non-standard full conditionals, and can be applied in a modular fashion in a large number of different scenarios. For illustration we consider three different applications: two formulations for spatial modelling of a single disease (with and without additional unstructured parameters respectively), and one formulation for the joint analysis of two diseases. The results indicate that the largest benefits are obtained if parameters and the corresponding hyperparameter are updated jointly in one large block. Implementation of such block algorithms is relatively easy using methods for fast sampling of Gaussian Markov random fields ( Rue, 2001 ). By comparison, Monte Carlo estimates based on single-site updating can be rather misleading, even for very long runs. Our results may have wider relevance for efficient MCMC simulation in hierarchical models with Markov random field components.     

论国际资本流动与金融危机的关系--兼析加入WTO后不断加剧的国际资本流动给我国带来的风险

20世纪90年代以来,各种类型的金融危机频繁爆发,对危机国乃至世界经济产生了巨大的影响。这些危机不但使国际学术界和各国政府都高度重视,而且也掀起了探索、研究金融危机的热潮。从国际资本流动的机制和国际资本流动的规模这两个角度,探析了国际资本流动与金融市场动荡和金融危机的关系,并分析了国际资本的充分流动,可能给加入WTO后的我国带来的风险与影响。     

试论我国积极财政政策的挤出效应

本文运用宏观经济学关于财政政策挤出效应的理论 ,分别从需求现象和供给现象两方面分析了我国实施积极财政政策以来是否存在挤出 ,文章认为我国积极财政政策效应不明显的主要原因并非理论意义上挤出效应所致 ,而有其特殊的表现形式 ,这种特殊的表现形式与我国转轨时期的特定宏观环境有关。最后 ,文章分析了影响我国积极财政政策效应发挥的其他两点因素