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.     

Statistical Analysis of Parameter Estimation for 2-D Harmonics in Multiplicative and Additive Noise

This article considers the problem of parameter estimation for two dimensional (2-D) multi-component harmonics in non zero-mean multiplicative and additive noise. The least squares estimators (LSEs) are proposed to estimate the coherent model parameters, and some statistical results of the LSEs are obtained, including strong consistency, strong convergence rate, and asymptotic normality. Furthermore, the LSEs-based estimators are proposed to estimate the noncoherent model parameters, and the strong consistency and the asymptotic normality are also proved. Finally, some numerical experiments are performed to see how the asymptotic results work for finite sample sizes.     

Listening to children imagining gender: observing the inflation of an idea

Using three of the clinical articles in this special issue of the Journal of Homosexuality as examples, the author attempts to show how their views of gender may influence clinicians' conceptualizations and treatment choices in response to children diagnosed with gender identity disorder (GID), or gender dysphoria. In particular the author argues that the belief that gender is a psychophysiological entity that is organismic and transhistorical, that is, the view known lately as essentialism, promotes more invasive interventions (e.g., endocrinological and surgical) and mistakenly deemphasizes psychological therapies as a clinical response to the suffering of trans children. He tries to show that the drawbacks of essentialism and its correlated treatment approaches are twofold, that a) they promote treatments with insufficient attention to our limited knowledge regarding their safety and efficacy, and b) they advance a reified differentiation of the genders that is politically problematic. The author suggests that a better response to trans children would be one that emphasizes the child's broadly subjective role in his or her construction of transgressive, gender-related psychological and interpersonal phenomena (both painful and not), thus, offering a deeper validation for trans children's challenges to our gender system.     

色噪声作用下耦合神经元网络的相干共振

研究了色噪声作用下耦合(FHN)神经元模型的相干共振现象。运用改进的四阶随机龙格-库塔法,计算了神经元膜电压分布和神经元点火峰峰间隔的变差系数。结果表明,神经元点火峰峰间隔的变差系数是色噪声强度、色噪声相关率和耦合神经元个数的非单调函数;存在最优的色噪声强度、色噪声相关率和耦合神经元个数,使得神经元点火峰峰间隔的变差系数出现极小值(即为相干共振)。讨论了色噪声强度、色噪声相关率和耦合神经元个数对系统相干性的影响。     

压制·救赎·成长——解析《看得见风景的房间》中女性意识的建构

从女性主义角度对福斯特的《看得见风景的房间》进行文本层面的解析,梳理女主人公露西女性意识建构的3种存在形式：男权社会对露西女性意识的压制,爱默森父子平等自由思想对露西处于混沌状态女性意识的救赎,以及露西女性意识的成长、发展和最终确立。     

我国证券市场中的噪声交易研究——基于一个“机构噪声交易者—散户噪声交易者模型”的分析

本文从行为金融理论发展的大背景出发,以噪声交易作为研究主题。首先介绍了基于行为金融理论的噪声交易理论;接着简要介绍了噪声交易理论的基本模型—DSSW模型,为将其应用于我国证券市场的实证并提出一个改良模型做好理论铺垫;然后在DSSW模型的基础上,结合我国证券市场的实际情况,原创性地提出了一个我国证券市场机构噪声交易者一散户噪声交易者模型,以分析说明我国噪声交易者的生存机制及噪声交易对证券市场的影响,并得出相应的启示和政策建议。     

Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity

In this paper, we investigate a new estimator of the integrated volatility of Itô semimartingales in the presence of both market microstructure noise and jumps when sampling times are endogenous. In the first step, our estimation wipes off the effects of the microstructure noise, and in the second step our estimator shrinks the effects of jumps. We provide consistency of the estimator when the jumps have finite variation and infinite variation and establish a central limit theorem for the estimator in a general endogenous time setting when the jumps only have finite variation. Simulation illustrates the performance of the proposed estimator.     

Correlation coefficient of response variances in compound noise and product array experiments

In robust parameter design, a compound noise experiment has been frequently used for reducing the number of experimental runs compared to a product array experiment. However, the results obtained by the compound noise experiment and the product array experiment are often much different. This paper derives an expression of the correlation coefficient of response variances in the compound noise and the product array experiments, which gives an explanation of that difference.     

Portmanteau tests based on quadratic forms in the autocorrelations

Many white noise and goodness-of-fit tests are (asymptotically) written as quadratic forms in the ordinary autocorrelation estimates. The properties of such tests are studied by investigating the structure of the matrix of the quadratic form. We suggest to choose the matrix of the quadratic form in such a way that the power is maximized according to the information available about the alternative hypothesis. A simulation study sheds some light on the behavior of the test in finite samples. It is generally found more powerful than the most popular portmanteau tests, i.e., the Box and Pierce and the Ljung and Box tests.     

On Some Applications of Poisson Point Processes

Poisson point processes play important role in various domains of Probability Theory and Mathematical Statistics. In this article, we investigate only two applications of Poisson point processes: a generated white noise problem and parameters estimation problem. This work continues the investigations started in paper Egorov and Kondybaev (2009 Egorov , V. A. , Kondybaev , N. S. ( 2009 ). On the estimation of a signal covered by background om Poisson noise . Methods and programs of data processing 4 : 75 – 81 . [Google Scholar]).