Bayesian inference for stable Lévy–driven stochastic differential equations with high‐frequency data

In this paper, we consider parametric Bayesian inference for stochastic differential equations driven by a pure‐jump stable Lévy process, which is observed at high frequency. In most cases of practical interest, the likelihood function is not available; hence, we use a quasi‐likelihood and place an associated prior on the unknown parameters. It is shown under regularity conditions that there is a Bernstein–von Mises theorem associated to the posterior. We then develop a Markov chain Monte Carlo algorithm for Bayesian inference, and assisted with theoretical results, we show how to scale Metropolis–Hastings proposals when the frequency of the data grows, in order to prevent the acceptance ratio from going to zero in the large data limit. Our algorithm is presented on numerical examples that help verify our theoretical findings.     

基于Hawkes因子模型的股价共同跳跃研究

本文首先比较了三种目前主流的共跳检验方法：基于LM检验的共跳检验、BLT共跳检验和FHLL共跳检验，结果表明，三种方法在识别共跳数量上差距明显，但三者结果的重合部分基本属于市场暴涨暴跌行情，说明共跳识别对市场剧烈波动的聚集性较为敏感。基于跳跃、共跳存在的聚集性问题，本文将Hawkes过程引入跳跃和共跳的研究，构建了基于Hawkes过程的因子模型，结果显示，基于Hawkes因子模型的MJ统计量、CJ统计量和实证数据的拟合程度较好，表明因子模型能够更好地描述跳跃和共跳的聚集性。     

Max‐infinitely divisible models and inference for spatial extremes

For many environmental processes, recent studies have shown that the dependence strength is decreasing when quantile levels increase. This implies that the popular max‐stable models are inadequate to capture the rate of joint tail decay, and to estimate joint extremal probabilities beyond observed levels. We here develop a more flexible modeling framework based on the class of max‐infinitely divisible processes, which extend max‐stable processes while retaining dependence properties that are natural for maxima. We propose two parametric constructions for max‐infinitely divisible models, which relax the max‐stability property but remain close to some popular max‐stable models obtained as special cases. The first model considers maxima over a finite, random number of independent observations, while the second model generalizes the spectral representation of max‐stable processes. Inference is performed using a pairwise likelihood. We illustrate the benefits of our new modeling framework on Dutch wind gust maxima calculated over different time units. Results strongly suggest that our proposed models outperform other natural models, such as the Student‐t copula process and its max‐stable limit, even for large block sizes.     

川东北地区须家河组二段储层差异性分析

随着勘探程度的深入，为了扩大四川盆地天然气勘探领域、寻找新的勘探接替区，四川盆地的勘探区域由盆内逐渐向盆缘延伸。在这种背景下，川东北地区须家河组二段相继取得新的勘探成果，但在勘探开发过程中逐渐暴露了诸如区块之间气井产能差异大，储层的碎屑组分、结构及厚度、物性、孔隙结构差异明显等问题，制约了勘探开发的步伐。针对上述问题，根据岩芯观察描述、分析化验资料及测井解释成果，从沉积、成岩方面入手，对比剖析了川东北龙岗和营山地区须二段储层特征的差异性及其成因，认为远离物源区和高能水体的反复淘洗是造成储层差异性的首要因素，强烈的压实作用和多期石英加大对储层差异性起关键作用，自生绿泥石衬边胶结和长石选择性溶蚀最终决定了储层差异性。从而解释了气藏勘探开发中遇到的诸多问题，对有效指导该区的下一步勘探开发工作具有重要意义。     

The Complexity of Families Involved in High-Conflict Disputes: A Postseparation Ecological Transactional Framework

The use of the term ‘high conflict’ to describe a wide range of family dynamics after separation and divorce has increased significantly over the years. At the moment, no consensus on the definition of high conflict exists. Lack of definitional clarity hinders the ability for legal and mental health professionals to assess, identify, and effectively intervene with this population. Based on a rapid evidence assessment of 65 empirically based social science studies relevant to high conflict, this article positions high-conflict separation and divorce using an ecological transactional model to better understand risk factors and indicators associated with these families. Authors propose a more comprehensive definition that captures the complexity and interactions of various risk factors and indicators on multiple levels. Positioning high-conflict families using an ecological model identifies several points of intervention professionals can use and the fundamental need for collaboration among stakeholders for effective intervention.     

Rate efficient estimation of realized Laplace transform of volatility with microstructure noise

In this paper, we consider the problem of estimating the Laplace transform of volatility within a fixed time interval [0,T] using high‐frequency sampling, where we assume that the discretized observations of the latent process are contaminated by microstructure noise. We use the pre‐averaging approach to deal with the effect of microstructure noise. Under the high‐frequency scenario, we obtain a consistent estimator whose convergence rate is , which is known as the optimal convergence rate of the estimation of integrated volatility functionals under the presence of microstructure noise. The related central limit theorem is established. The simulation studies justify the finite‐sample performance of the proposed estimator.     

Modified chain sampling plans for lot inspection by variables and attributes

The purpose of acceptance sampling is to develop decision rules to accept or reject production lots based on sample data. When testing is destructive or expensive, dependent sampling procedures cumulate results from several preceding lots. This chaining of past lot results reduces the required size of the samples. A large part of these procedures only chain past lot results when defects are found in the current sample. However, such selective use of past lot results only achieves a limited reduction of sample sizes. In this article, a modified approach for chaining past lot results is proposed that is less selective in its use of quality history and, as a result, requires a smaller sample size than the one required for commonly used dependent sampling procedures, such as multiple dependent sampling plans and chain sampling plans of Dodge. The proposed plans are applicable for inspection by attributes and inspection by variables. Several properties of their operating characteristic-curves are derived, and search procedures are given to select such modified chain sampling plans by using the two-point method.     

日本新订高中历史课程之特点与启示

2018年3月,日本发布新的《高等学校学习指导要领》。这是日本自第二次世界大战后70多年来,对高中课程最大规模的一次修订,体现了日本高中教育发展的新趋势,标志着日本从此告别“宽松教育”而走向“生存能力”教育。由“历史综合”“日本史探究”“世界史探究”组成的新高中历史课程,立足“人”的发展,构建了“必修+选修、通史+专题”的课程体系,课程内容更加突出本国史与世界史的联系,课程学习倡导“主题+探究”的学习方式。日本高中历史课程的内容设置及特点启示我们,高中历史课程编制应加强中国史与世界史的横向关联,课程内容应体现探究性学习要求。     

产业集聚驱动粮食高质量发展机制

从产业经济学和空间经济学双重视角，探讨产业集聚对绿色全要素生产率的影响机制及其与 粮食高质量发展的内在逻辑关联，使用 ＧＭＬ指数、动态面板和中介效应模型对其作用效果与机制进行 实证检验。研究发现，产业集聚与绿色全要素生产率存在非线性的“倒 Ｕ”型关系，内部规模经济、资源 共享和技术溢出是产业集聚影响绿色全要素生产率的中介渠道，规模报酬递减、资源共享不足与技术锁 定会显著抑制绿色全要素生产率提升。从现实来看，产业集聚度不断提高促使中国粮食发展质量得到 持续改善，但目前集聚水平远未达到“倒 Ｕ”曲线拐点，利用集聚提升绿色全要素生产率尚有较大空间。 因此，通过适度规模经营、资源共享和技术溢出等中介机制充分释放集聚规模效应，实现绿色全要素生 产率持续稳步提升，是推动粮食高质量发展的基本立足点。     

环境规制能否有效驱动高质量发展？——基于人力资本视角的理论与经验分析

在加强生态文明建设和扩大就业的背景下,环境规制能否同时实现环境保护、绿色就业与高质量发展等多重目标已成为亟待解决的重大问题。构建一种操作便捷的高质量发展评价指标,将其分解为结构效应、技术效应及规制效应,在统一框架内剖析环境规制影响高质量发展的人力资本机制,并使用联立方程空间自回归模型和省际面板数据进行检验,探究在各类人力资本因素调节下环境规制对高质量发展的非线性效应。研究发现:（1）环境规制能通过人力资本积累、产业结构升级、节能减排技术创新等途径影响高质量发展。（2）环境规制通过与人力资本溢价的动态匹配,能进一步推动产业结构升级和节能减排技术创新,助益高质量发展。（3）环境规制在人力资本因素调节下对高质量发展存在非线性影响。总体而言,人力资本因素的改善有利于充分发挥环境规制对高质量发展的倒逼效应;提升人力资本质量是当前调控人力资本因素、释放环境规制高质量发展效应的政策重点。（4）中国高质量发展存在显著为正的空间溢出效应,地方政府在环境问题中缺乏协同治理,削弱了这种空间溢出效应,因此全局层面的高质量发展有较大提升空间。充分激发环境规制的人力资本积累效应,从单纯注重人力资本“量”的扩张转向“质”的提升,实现区域协同治理,这对有效改善环境规制的高质量发展效应至关重要。