On the time to extinction in recurrent epidemics

An approximation is derived for the expected time to extinction in a stochastic model for recurrent epidemics. Numerical illustrations indicate that the approximation is crude but that it has the correct order of magnitude. The quasi-stationary distribution plays an important role in the derivation. Approximations for the critical community size and of the persistence threshold are derived. Comments are made on the classical study by Bartlell (1956–1960).     

Mixture cure model with an application to interval mapping of quantitative trait loci

When censored time-to-event data are used to map quantitative trait loci (QTL), the existence of nonsusceptible subjects entails extra challenges. If the heterogeneous susceptibility is ignored or inappropriately handled, we may either fail to detect the responsible genetic factors or find spuriously significant locations. In this article, an interval mapping method based on parametric mixture cure models is proposed, which takes into consideration of nonsusceptible subjects. The proposed model can be used to detect the QTL that are responsible for differential susceptibility and/or time-to-event trait distribution. In particular, we propose a likelihood-based testing procedure with genome-wide significance levels calculated using a resampling method. The performance of the proposed method and the importance of considering the heterogeneous susceptibility are demonstrated by simulation studies and an application to survival data from an experiment on mice infected with Listeria monocytogenes.     

研发投入对企业绩效影响的门槛效应:以广东省为例

一般认为,研发投入会对企业绩效产生影响,但并不是简单的促进或抑制作用,而与企业研发投入强度有关。文章基于广东省2015—2020年A股上市企业的面板数据,运用门槛模型对R&D投入与企业绩效之间的非线性关系进行实证分析。结果表明,无论是基于全样本还是民营上市企业样本,R&D投入对企业绩效均存在显著的三重门槛效应,R&D投入对企业绩效的影响在不同门槛区间内存在方向、系数值上的明显差异。同时,企业规模、企业营运能力以及资本结构等控制变量均对企业绩效具有显著影响,股权集中度在全样本回归中不具有显著性。因此,政府整体上仍应鼓励企业加强R&D投入,具体方式包括直接补贴和间接税收优惠,对R&D投入位于低水平的民营企业而言,应侧重从降低企业研发成本的角度给予支持。     

利率期限结构模型非线性建模

应用门限模型对利率期限结构模型中漂移项的非线性性进行建模,提出门限(threshold)CKLS模型。用基于自助法(bootstrap)的广义拟似然比检验方法对门限CKLS模型进行了检验。检验结论表明:门限CKLS模型能较好的刻画利率期限结构模型中漂移项的非线性,在0.1的显著水平下优于CKLS模型。     

我国城乡收入差距对实际经济增长的阈值效应(英文)

鉴于我国的城乡二元结构,本文使用泰尔指数度量和刻画我国的城乡收入差距及其变化特征。同时,本文设定了非线性阈值协整模型,以揭示我国改革开放以来城乡收入差距与实际经济增长的长期非线性关系。结果表明,长期非线性闽值关系在泰尔指数为0．100（阈值）处发生机制转移：1978—1991年,我国城乡收入差距对实际增长的长期效应为正;1992—1999年,收入差距对实际增长的效应由正向负平滑转换;1999年后,我国城乡收入差距对实际经济增长产生阻滞作用,且负效应呈逐年增加趋势。     

System Reliability Assessment through p Minimal Paths in Stochastic Case with Backup-routing

For a stochastic-flow network in which each arc has several possible capacities, we assess the probability that a given amount of data are sent through p(p ≥ 2) minimal paths simultaneously subject to time threshold. Such a probability is named the system reliability. Without knowing all minimal paths, a solution procedure is first proposed to calculate it. Furthermore, the backup-routing is established in advance to declare the first and the second priority p minimal paths in order to enhance the system reliability. Subsequently, the system reliability according to the backup-routing can be computed easily.     

Choosing between the BP and BN sequential strategies

Cost and burden of diagnostic testing may be reduced if fewer tests can be applied. Sequential testing involves selecting a sequence of tests, but only administering subsequent tests dependent on results of previous tests. This research provides guidance to choosing between single tests or the believe the positive (BP) and believe the negative (BN) sequential testing strategies, using accuracy (as measured by the Youden Index) as the primary determinant. Approximately 75% of the parameter combinations examined resulted in either BP or BN being recommended based on a higher accuracy at the optimal point. In about half of the scenarios BP was preferred, and the other half, BN, with the choice often a function of the value of the ratio of standard deviations of those without and with disease (b). Large values of b for the first test of the sequence tended to be associated with preference for BN as opposed to BP, while small values of b appear to favor BP. When there was no preference between sequences and/or single tests based on the Youden Index, cost of the sequence was considered. In this case, disease prevalence plays a large role in the selection of strategies, with lower values favoring BN and sometimes higher values favoring BP. The cost threshold for the sequential strategy to be preferred over a single, more accurate test, was often quite high. It appears that while sequential strategies most often increase diagnostic accuracy over a single test, sequential strategies are not always preferred.     

The impact of jumps and leverage in forecasting covolatility

ABSTRACT

The paper investigates the impact of jumps in forecasting covolatility, accommodating leverage effects. We modify the preaveraged truncated covariance estimator of Koike (2016 Koike, Y. (2016). Estimation of integrated covariances in the simultaneous presence of non-synchronicity, microstructure noise and jumps. Econometric Theory 32:533–611.[Crossref], [Web of Science ®] , [Google Scholar]) such that the estimated matrix is positive definite. Using this approach, we can disentangle the estimates of the integrated covolatility matrix and jump variations from the quadratic covariation matrix. Empirical results for three stocks traded on the New York Stock Exchange indicate that the cojumps of two assets have a significant impact on future covolatility, but the impact is negligible for forecasting weekly and monthly horizons.     

Characterizing the Structure of Optimal Stopping Policies

This paper studies a stochastic model of optimal stopping processes, which arise frequently in operational problems (e.g., when a manager needs to determine an optimal epoch to stop a process). For such problems, we propose an effective method of characterizing the structure of the optimal stopping policy for the class of discrete‐time optimal stopping problems. Using this method, we also derive a set of metatheorems that can help identify when a threshold or control‐band type stopping policy is optimal. We show that our proposed method can determine the structure of the optimal policy for some stopping problems that conventional methods fail to do so. In some cases, our method also simplifies the analysis of some existing results. Moreover, the metatheorems we propose help identify sufficient conditions that yield simple optimal policies when such policies are not generally optimal. We demonstrate these benefits by applying our method to several optimal stopping problems frequently encountered in, for example, the operations, marketing, finance, and economics literatures. We note that with structural results, optimal‐stopping policies are easier to follow, describe, and compute and hence implement. They also help determine how a stopping policy should be adjusted in response to changes in the operational environment. In addition, as structural results are critical for the development of efficient algorithms to solve optimal stopping problems numerically, we hope that the method and results provided in the study will contribute to that effort.     

民族民俗旅游的时空维度与文化场域

由于民族民俗旅游真实性感知源于人们的时间观,因而民族民俗旅游的时间维度取决于民俗时间与旅游时间的冲突与消解,其可能路径是多方协商目的地社会传统节庆民俗的文化展演时间和内容,并预测和评估民族民俗旅游产品的生命周期。旅游开发实践和大量游客的到来,会变动民族民俗的空间范围。民族民俗旅游空间的有效维系,需要在就地式的生态模式和变迁式的异地开发模式中抉择。总之,民族民俗旅游无法逾越自身的时空维度和文化场域。