On the consistency and the robustness in model selection criteria

Abstract

In the model selection problem, the consistency of the selection criterion has been often discussed. This paper derives a family of criteria based on a robust statistical divergence family by using a generalized Bayesian procedure. The proposed family can achieve both consistency and robustness at the same time since it has good performance with respect to contamination by outliers under appropriate circumstances. We show the selection accuracy of the proposed criterion family compared with the conventional methods through numerical experiments.     

西安杨官寨遗址考古的文化学再解读（上）--兼论中国当代考古文化学思潮“否定之否定”式发展

只有考古出土物上明确标着黄帝时期“字样”“图样”，或可通过别的旁证确认其为黄帝时期物件，否则，把西安杨官寨遗址与黄帝时期挂钩就是一种“比附”，这种看法并不科学，至少不了解哥德尔“不完备性定理”和阿罗“独裁定理”从形式系统角度对传统考古学局限性的揭示。杨官寨遗址出土的“镂空人面覆盆形器”（“倒扣花盆”），即史前作为“大巫”的黄帝（或其亲属近臣）之祭器，应属“国宝”级文物；“陶祖”则是史前龙山时期代替仰韶时期过程中“制度化祭祖”的证据，显示出当时男权社会取代女权的进步。作为5000年前的“黄帝故都”，杨官寨遗址发掘近10年，除《考古报告》外，少见有分量的考古研究成果。对此，中国考古学应当直面“中国文明起源多元论”的倡导者苏秉琦、张光直等前辈当时不知杨址等新发现的缺憾，否定“中国文明起源多元论”缺乏“中国文明起源‘花芯’论”补充表述的不足，走向“否定之否定”，确认中原地区在中国文明起源中具有“花芯”即文明带头作用。     

扬雄《蜀都赋》未入《文选》探赜

《蜀都赋》是扬雄的重要作品之一，其影响广泛而深刻，但萧统等人编录《文选》时将之排除在外。究其原因，其间有萧统的诸种考虑，因为与《文选》中京都赋类的其他作品相比，《蜀都赋》不具备写实性、讽谏性和正统性的特点，而且与《文选》的整体结构也不相符。另外，《文选》的编选者力求精选最能代表梁前文人创作风格的作品。因此，《蜀都赋》最终没能出现在《文选》当中。《蜀都赋》在成文后可能一直以单篇的形式流传，最终被收录在《古文苑》之中。     

Enriching Surveys with Supplementary Data and its Application to Studying Wage Regression

We consider the problem of supplementing survey data with additional information from a population. The framework we use is very general; examples are missing data problems, measurement error models and combining data from multiple surveys. We do not require the survey data to be a simple random sample of the population of interest. The key assumption we make is that there exists a set of common variables between the survey and the supplementary data. Thus, the supplementary data serve the dual role of providing adjustments to the survey data for model consistencies and also enriching the survey data for improved efficiency. We propose a semi‐parametric approach using empirical likelihood to combine data from the two sources. The method possesses favourable large and moderate sample properties. We use the method to investigate wage regression using data from the National Longitudinal Survey of Youth Study.     

Simultaneous structure estimation and variable selection in partial linear varying coefficient models for longitudinal data

Partial linear varying coefficient models (PLVCM) are often considered for analysing longitudinal data for a good balance between flexibility and parsimony. The existing estimation and variable selection methods for this model are mainly built upon which subset of variables have linear or varying effect on the response is known in advance, or say, model structure is determined. However, in application, this is unreasonable. In this work, we propose a simultaneous structure estimation and variable selection method, which can do simultaneous coefficient estimation and three types of selections: varying and constant effects selection, relevant variable selection. It can be easily implemented in one step by employing a penalized M-type regression, which uses a general loss function to treat mean, median, quantile and robust mean regressions in a unified framework. Consistency in the three types of selections and oracle property in estimation are established as well. Simulation studies and real data analysis also confirm our method.     

Risky choices and emotion-based learning

The paper offers a comprehensive analysis of causes and consequences of the accumulation of emotional experience, measured via skin conductance response, when taking risky choices. A large experimental data set was obtained from a psycho-physiological task conducted with 645 bank customers and financial professionals. With respect to causes, we found that the individual emotional response to gains/losses is trend-dependent and influenced by habituation, as well as by anchoring/framing due to the external layout of risky alternatives. With respect to consequences, we found evidence that the somatic reinforcement experience is able to guide asset picking, but within a long-term strategy. Consequently, selection behaviors were observed in a portfolio mean–variance framework, revealing that somatic markers lead individuals to pursue a long-term ‘psycho-economic’ efficiency that integrates factual information (monetary outcomes) with the implicit subjective experience.     

Instrumental variable based variable selection for generalized linear models with endogenous covariates

We study the variable selection problem for a class of generalized linear models with endogenous covariates. Based on the instrumental variable adjustment technology and the smooth-threshold estimating equation (SEE) method, we propose an instrumental variable based variable selection procedure. The proposed variable selection method can attenuate the effect of endogeneity in covariates, and is easy for application in practice. Some theoretical results are also derived such as the consistency of the proposed variable selection procedure and the convergence rate of the resulting estimator. Further, some simulation studies and a real data analysis are conducted to evaluate the performance of the proposed method, and simulation results show that the proposed method is workable.     

基于HTFWGBM算子的供应商选择模型研究

由于供应商选择中的的复杂性与不确定性以及人类认知的有限性，从而导致信息融合失真和决策结果不准确的情况。针对决策属性以犹豫三角模糊数（HTFN）给出的供应商的选择问题，本文提出一种基于HTFGWBM算子的决策算法。首先，针对犹豫三角模糊数和几何Bonferroni平均算子理论，分别定义了犹豫三角模糊几何Bonferroni平均（HTFGBM）算子和犹豫三角模糊几何加权Bonferroni平均（HTFGWBM）算子，同时分别研究了算子的幂等性，置换不变性，单调性和有界性等性质。其次，基于HTFGWBM算子构建新型犹豫多属性决策模型，结合HTFN排序方法进行备选供应商排序。最后通过算南水北调中线工程中的供应商选择实例证明了决策模型的可行性与有效性。结果表明，通过调整模型参数，模型具有一定的延展性和容错能力，能够很好的进行科学决策。     

基于次梯度投影的泛投资组合选择策略

在线投资组合选择(online portfolio selection)问题是当前量化投资领域一个重要的研究问题.近些年来,可投资标的的爆炸式增长急需能够有效计算的投资组合选择策略,而现有高绩效算法大多具有指数级或多项式级的时间复杂度,不利于在实际中应用.由此,本文提出了一种基于次梯度投影的泛投资组合选择策略SGP.将次梯度投影的思想应用到资产组合构建的过程中,得到策略的再平衡规则.理论上,本文分析了次梯度投影算法的竞争性能,证明了该策略是一个泛投资组合选择策略;并发现该算法具有线性时间复杂度.实证上,验证了SGP策略在美国与中国市场的表现.结果表明,SGP策略能够实现和最新的泛投资组合选择策略相当的收益率,而算法运行时间短于现有策略.参数敏感性分析表明SGP策略对参数选择不敏感;交易成本敏感性分析表明SGP策略能够承受合理的交易成本.