Estimable functions in the nonlinear model

When the method of least squares is used to estimate the parameters in a general model and the generated system of normal equations is linearly dependent, the estimate of the vector of parameters which satisfies the criterion is not unique. However, there exist certain functions of the estimated vector of parameters which are invariant to the least squares solution obtained from the normal equations. We define those invariant functions to be estimable, and present a technique to determine the functions of the parameters which are estimable for the general model. The method results in solving either a linear first order partial differential equation or a system of linear first order partial differential equations corresponding, respectively, to a single or multiple dependency between columns of the Jacobian matrix of the mean of the model. The usual results concerning estimability for linear models are a special case of the general results developed.     

A Measure Of Association Based On Gin's Mean Difference

Gibbons Dickinson Jean (1971), Nonparametric Statistical Inference, McGraw Hill     

Two-Level Designs in Blocks of Size Two in Which All Main Effects and Two-Factor Interactions Are Estimable

There are many problems in the real world for which it is necessary to perform two points in one block. In this situation, information about certain treatments may be indistinguishable from, or confounded with, blocks. If the experimenter wants to estimate all main effects and two-factor interactions in which two points are in one block, then how to perform the blocking schemes is an important topic to study. In this article, we combine several 2 ^k?p fractions from same or different family to obtain better combined designs requiring fewer runs than those appearing in the literature.     

Risk Measure Inference

We propose a bootstrap-based test of the null hypothesis of equality of two firms’ conditional risk measures (RMs) at a single point in time. The test can be applied to a wide class of conditional risk measures issued from parametric or semiparametric models. Our iterative testing procedure produces a grouped ranking of the RMs, which has direct application for systemic risk analysis. Firms within a group are statistically indistinguishable from each other, but significantly more risky than the firms belonging to lower ranked groups. A Monte Carlo simulation demonstrates that our test has good size and power properties. We apply the procedure to a sample of 94 U.S. financial institutions using ΔCoVaR, MES, and %SRISK. We find that for some periods and RMs, we cannot statistically distinguish the 40 most risky firms due to estimation uncertainty.     

A Measure for Peakedness

The kurtosis has often been used to characterize the peakedness of a density. Unfortunately, the kurtosis does not exist for all densities. This article defines a measure of peakedness that exists for all symmetric unimodal densities.     

科技进步作用的统计分析方法

近30年来,伴随着新技术革命的迅速发展,高技术产业日益成为一种全球性的经济力量,对整个社会的生产方式和产业结构产生了深远的影响。因此,探讨高技术产业的基本涵义及其统计度量方法,对于考核一个国家经济的发展和统计学内容的创新有重要的意义。 高技术是一个不断发展着的概念,由于人们在认识上的差异,对于高技术概念的内涵和外延也有不同的理解,从而造成了高技术定义的多样性。归纳起来,大致有三种认识:技术范畴中的高技术定义、经济范畴中的高技术定义和社会范畴中的高技术定义。如果把高技术直接用来描述一类产业的划分或产业部类,则可认为高技术是一种新的产业。这种产业以迅     

Prior Distributions on Measure Space

A measure is the formal representation of the non-negative additive functions that abound in science. We review and develop the art of assigning Bayesian priors to measures. Where necessary, spatial correlation is delegated to correlating kernels imposed on otherwise uncorrelated priors. The latter must be infinitely divisible (ID) and hence described by the Lévy–Khinchin representation. Thus the fundamental object is the Lévy measure, the choice of which corresponds to different ID process priors. The general case of a Lévy measure comprising a mixture of assigned base measures leads to a prior process comprising a convolution of corresponding processes. Examples involving a single base measure are the gamma process, the Dirichlet process (for the normalized case) and the Poisson process. We also discuss processes that we call the supergamma and super-Dirichlet processes, which are double base measure generalizations of the gamma and Dirichlet processes. Examples of multiple and continuum base measures are also discussed. We conclude with numerical examples of density estimation.     

旅游活动测量与TSA方法

本文回顾了旅游对经济影响测量的研究,介绍了旅游卫星帐户（TSA）方法产生的背景、特点,综述了各国和国际组织对TSA的理论研究与开发实践,得出了TSA将成为测量旅游对经济影响的主要方法的结论,并论述了创建我国TSA的必要性与可行性。     

投资组合动态VaR风险度量

投资组合的VaR风险度量依赖于投资组合中金融资产间联合分布函数的确定,随着投资组合规模的扩大,其VaR的计算难度也不断加大。利用ICA可以将多元联合概率分布函数转化为一元概率分布函数乘积实现简化计算的特点,基于ICA的投资组合动态VaR风险度量方法和计算步骤,克服了多元非正态条件下VaR测算上的困难。实证研究表明,与EWMA模型法、MGARCH模型法相比,ICA法能够准确地度量投资组合动态VaR。     

A Measure of Dependence Between Two Compositions

We consider the problem of describing the correlation between two compositions. Using a bicompositional Dirichlet distribution, we calculate a joint correlation coefficient, based on the concept of information gain, between two compositions. Numerical values of the joint correlation coefficient are calculated for compositions of two and three components, respectively. We also present an estimator of the joint correlation coefficient for a sample from a bicompositional Dirichlet distribution. Two confidence intervals are presented and we examine their empirical confidence coefficients using a Monte Carlo study. Finally, we apply the estimator to a data set analysing the joint correlation between the 1967 and 1997, and the 1977 and 1997 compositions of the government gross domestic product for the 50 states of the USA and the District of Columbia.     

Simulated Distribution of the Kullback-Leibler Information Measure

This paper provides the percentiles obtained by simulation of an informational test statistic. It gives evidence that the widely used chi-square approximation to this test statistic is not suitable.     

中等收入陷阱测度问题探析

为测度中等收入国家是否处于中等收入陷阱的困境,建立中等收入陷阱评价指标体系,运用熵值法确定指标体系中各指标的权重,对2005—2012年间中国的数据进行实证分析,并将最终评价结果与典型的拉美中等收入陷阱国家进行对比分析,得出结论:中国并不完全具备中等收入陷阱的特征,中国并未处于中等收入陷阱。同时指出中国在哪些方面濒于中等收入陷阱的边缘,应在今后发展中予以警醒。     

On Two Forms of Fisher's Measure of Information

ABSTRACT

Fisher's information number is the second moment of the “score function” where the derivative is with respect to x rather than Θ. It is Fisher's information for a location parameter, and also called shift-invariant Fisher information. In recent years, Fisher's information number has been frequently used in several places regardless of parameters of the distribution or of their nature. Is this number a nominal, standard, and typical measure of information? The Fisher information number is examined in light of the properties of classical statistical information theory. It has some properties analogous to those of Fisher's measure, but, in general, it does not have good properties if used as a measure of information when Θ is not a location parameter. Even in the case of location parameter, the regularity conditions must be satisfied. It does not possess the two fundamental properties of the mother information, namely the monotonicity and invariance under sufficient transformations. Thus the Fisher information number should not be used as a measure of information (except when Θ a location parameter). On the other hand, Fisher's information number, as a characteristic of a distribution f(x), has other interesting properties. As a byproduct of its superadditivity property a new coefficient of association is introduced.     

偏向性技术进步的测算与分析

 本文构建了一套系统测算要素偏向性技术进步的方法,不仅可以计算出每年资本增强型和劳动增强型技术进步各自的速率和技术进步的整体偏向性,而且还深化了全要素生产率的分析。使用这一方法对我国1991-2011年经济增长过程中技术进步偏向性的测算表明,这一时期我国劳动的生产效率逐年提升,而资本的生产效率却在1995年以后逐年下降,技术进步表现为资本使用和劳动节约型;相对于经济增长率,我国1995年以后大部分年份的全要素生产率的增长率都很低,凸现了我国技术创新的能力不足、经济增长主要依靠要素投入推动的特征。     

A New Measure of Kurtosis Adjusted for Skewness

Studies of kurtosis often concentrate on only symmetric distributions. This paper identifies a process through which the standardized measure of kurtosis based on the fourth moment about the mean can be written in terms of two parts: (i) an irreducible component, about L₄, which can be seen to occur naturally in the analysis of fourth moments; (ii) terms that depend only on moments of lower order, in particular including the effects of asymmetry attached to the third moment about the mean. This separation of the effect of skewness allows definition of an improved measure of kurtosis. This paper calculates and discusses examples of the new measure of kurtosis for a range of standard distributions.     

基于政策效应的民众幸福感测量研究

 本文对幸福概念做了操作性界定,并引入行为经济学等相关理论作为分析框架,提出了若干基于政策效应的幸福测量指标,并设计了民众幸福感测量框架（问卷）。