TT指数的进一步研究及其实证分析

一、引言产出、价格和生产率水平的国际比较是国际经济统计的重要内容。通过国际比较 ,可以了解各国经济实力、经济发展水平和人民生活水平及其变化趋势 ,可为经济增长理论提供实证分析。对中国也是如此。比较的重点之一是价格指数的测算 ,所以价格指数的选取非常重要 ,它是国际比较的一个重要环节。不同的比较 ,价格指数的要求不一样。按参加国家的多少 ,国际比较可分为双边比较和多边比较。相应地 ,指数也有双边指数与多边指数之分。Theil Tornqvist指数 (简称为TT指数 )是产出、价格和生产率的国际双边比较中被广泛采用的方法 ;在国际…     

全国统一股价指数编制研究——指数期货标的物选择实证分析

一、目前我国主要股票指数缺陷分析我国现有的上证综合指数、深证综合指数、上证30指数和深证成分股指数在反映股票市场总体价格走势方面起着十分重要的作用 ,且各具其特色。但它们作为指数期货标的物有其不尽合理之处。(一 )上证综合指数和深证综合指数缺陷分析考虑上证综合指数和深证综合指数的编制方法 ,可以发现这两个指数在作为指数期货标的物方面都存在以下诸多缺陷 :1 采用全样本编制指数。一有新股上市 ,新股就计入指数计算范围。在我国目前股市扩容速度比较快的情况下 ,这两个指数缺乏内部结构的稳定性和指数前后可比性 ;而且新股…     

中国财政赤字问题的实证分析

中国财政赤字问题的实证分析史永东朱东明ＡＢＳＴＲＡＣＴＢｙｃａｓｅａｎａｌｙｓｉｓ,ｔｈｅｐａｐｅｒｓｔｕｄｉｅｓｔｈｅｇｒｏｗｔｈｒｅｇｕｌａｒｉｔｙｏｆＣｈｉｎａ＇ｓｆｉｎａｎｃｉａｌｄｅｆｉｃｉｔ,ａｎｄｔｈｅｉｎｔｅｒ－ｒｅｌａｔｉｏｎｓｂｅ...     

计算工业生产指数的若干问题

根据国家统计局的要求,我们在1988年组织人力对1983年以来湖南省工业生产指数进行了试算。现将试算情况及我们对这个问题的一些意见介绍如下。一、试算情况1.计算方法。根据各种工业产品产量分别计算各自的发展速度,然后根据各种产品在工业经济中的重要性确定权数,进行加权平均计算。即:K=(ΣQ_1/Q_0P_0Q_0)/ΣP_0Q_02.计算范围。试算了1983年至1987年共5年的工业生产指数。3.权数基期。严格地说,在利用上式计算生产指数时,应使用拉氏公式,权数应定在     

指数性质的数学测验问题

关于指数的数学形式及其性质的讨论有一个共同的特征,就是带有浓厚的数学形式主义和主观主义色彩。因此,它们不能科学地解释各种测验的实际经济分析涵义,更无法正确地阐明评价经济指数的基本标准是什么,以及不同性质的测验在指数的评价方法体系中占有何种地位。指数的数学性质测验只有与具体的经济分析问题联系起来,才有实际意义,从而构成经济指数评价方法体系中的一个有机部分。     

工业产品出厂价格指数的权数确定问题

现行的工业品出厂价格总指数采用对代表产品的个体指数进行加权平均的方法。个体指数在总指数中所处的地位不同,作用也不同,权数就是衡量个体指数在总指数中重要程度大小的尺度。工业品价格指数一般采用销售额作权数,但是对怎样确定指数样本中产品、中类及大类的权数,意见尚有分歧。从各国确定权数的主要方法看有直接权数法,附加权数法、分层分摊权数法等。下面分别对这几种方法进行讨论,以探讨确定我国工业品出厂价格指数权数的最佳方法。     

总量函数与精确指数的关系研究

一、问题的提出指数是一个古老且为大家熟悉的经济分析方法。在复杂经济系统中,对于不同商品的总体,在数量上往往是不能直接加总的,要综合测定其变动程度,只有通过引进一个同度量因素,使之过渡到可以直接加总的综合指标,而后进行不同区域间或不同时期的对比,来测定...     

工业生产指数几个问题的探讨

工业生产指数能否客观、准确地反映发展速度,取决于代表产品的选择和权数的确定合理与否。另外,还需要解决一些特殊问题,其中一个问题是如何满足国家、省、地、县层层编制生产指数的要求,并使各级指数实现较为合理的衔接。一、保证一定的覆盖率,是选择代表产品的基本点代表产品的选择要保证一定的覆盖率。覆盖率可按下述公式计算:覆盖率(％)=代表大类(中类或产品)价值量之和/全部产品总价值量×100％价值量以现价计算,分子分母为同一指标。     

统计指数体系理论的若干问题

研究统计指数理论发展的历史,可以发现这样一个问题:东西方统计指数理论都在不同程度上强调数量指标指数和质量指标指数的联系关系,突出指数体系的地位和作用。怎样看待这个问题,如何认识编制指数与指数体系之间的关系,是指数方法论上值得引起重视的问题。 利用经济现象动态之间的联系关系,可以更有效地发挥编制指数的作用,但是,从方法角度考虑,要否严格保持数量指标指数和质量指标指数之间的衔接,建立指数体系关系,却是值得探讨的。有关编制指数和指数体系的关系,能否以指数体系为基点来考虑指数式的应用,或是以指数体系表现的优劣来评价指数式的是非得失,以及指数体系本身的作用,它担负着怎样的分析任务,应该怎样加以合理应用,本文想就这些问题,提出一些看法。     

我国指数基金运作与绩效研究

一、引言指数基金起源于美国 ,1971年美国威弗银行(ＷｅｌｌｓＦａｒｇｏＢａｎｋ)向机构投资者推出了世界上第一只指数基金。指数基金是投资基金的一种类型 ,它是以证券市场的股票指数为投资对象 ,导入指数投资概念 ,采用指数化投资 (也叫资产等级投资或消极投资 )方法 ,跟踪目标指数 ,使自己本身的投资收益率与市场指数收益率基本一致的一种证券投资基金。我国于 1999年 7月 14日正式推出了两只指数基金———基金兴和和基金普丰 ,在设计时均借鉴了国外的运作经验———投资运作跟踪大盘运行 ,同时又体现了自己的独到之处———不完全是纯…     

Stochastic EM algorithm for generalized exponential cure rate model and an empirical study

In this paper, we consider two well-known parametric long-term survival models, namely, the Bernoulli cure rate model and the promotion time (or Poisson) cure rate model. Assuming the long-term survival probability to depend on a set of risk factors, the main contribution is in the development of the stochastic expectation maximization (SEM) algorithm to determine the maximum likelihood estimates of the model parameters. We carry out a detailed simulation study to demonstrate the performance of the proposed SEM algorithm. For this purpose, we assume the lifetimes due to each competing cause to follow a two-parameter generalized exponential distribution. We also compare the results obtained from the SEM algorithm with those obtained from the well-known expectation maximization (EM) algorithm. Furthermore, we investigate a simplified estimation procedure for both SEM and EM algorithms that allow the objective function to be maximized to split into simpler functions with lower dimensions with respect to model parameters. Moreover, we present examples where the EM algorithm fails to converge but the SEM algorithm still works. For illustrative purposes, we analyze a breast cancer survival data. Finally, we use a graphical method to assess the goodness-of-fit of the model with generalized exponential lifetimes.     

Tests for generalized exponential laws based on the empirical Mellin transform

Recently, many standard families of distributions have been generalized by exponentiating their cumulative distribution function (CDF). In this paper, test statistics are constructed based on CDF–transformed observations and the corresponding moments of arbitrary positive order. Simulation results for generalized exponential distributions show that the proposed test compares well with standard methods based on the empirical distribution function.     

A note on the convergence rates for empirical bayes estimators of parameters in multiple-parameter exponential families

Under suitable conditions upon prior distribution, the convergence rates for empirical Bayes estimators of parameters in multi-parameter exponential families (M-PEF) are obtained. It is shown that the assumptions Tong (1996) imposed on the marginal density can be reduced. The above result can also be extended to more general forms of M-PEF. Finally, some examples which satisfy the conditions of the theorems are given.     

An empirical study on technical analysis: GARCH (1, 1) model

One of the deficits of the common Bollinger band is that it fails to consider the fat tails/leptokurtosis often exists in financial time series. An adjusted Bollinger band generated by rolling GARCH regression method is proposed in this study. The performance of the adjusted Bollinger band strategy on EUR, GBP, JPY, and AUD vs. USD foreign exchange trading is evaluated. Results show that in general, the adjusted Bollinger band performs better than the traditional one in terms of success ratios, net successes, and profit. In addition, no matter there is transaction cost or not, only adjusted Bollinger strategies are recommended for investors. Adjusted Bollinger band strategies with MA 5 or 10 are recommended for EUR, GBP, and JPY. Adjusted Bollinger strategy with MA 20 is the recommended strategies for AUD.     

Bayesian analysis of paired survival data using a bivariate exponential distribution

We consider a Bayesian analysis method of paired survival data using a bivariate exponential model proposed by Moran (1967, Biometrika 54:385–394). Important features of Moran’s model include that the marginal distributions are exponential and the range of the correlation coefficient is between 0 and 1. These contrast with the popular exponential model with gamma frailty. Despite these nice properties, statistical analysis with Moran’s model has been hampered by lack of a closed form likelihood function. In this paper, we introduce a latent variable to circumvent the difficulty in the Bayesian computation. We also consider a model checking procedure using the predictive Bayesian P-value.     

Further exploratory analysis of split-plot experiments to study certain stratified effects

Designed experiments are a key component in many companies' improvement strategies. Because completely randomized experiments are not always reasonable from a cost or physical perspective, split-plot experiments are prevalent. The recommended analysis accounts for the different sources of variation affecting whole-plot and split-plot error. However experiments on industrial processes must be run and, consequently analyzed quite differently from ones run in a controlled environment. Such experiments are typically subject to a wide array of uncontrolled, and barely understood, variation. In particular, it is important to examine the experimental results for additional, unanticipated sources of variation. In this paper, we consider how unanticipated, stratified effects may influence a split-plot experiment and discuss further exploratory analysis to indicate the presence of stratified effects. Examples of such experiments are provided, additional tests are suggested and discussed in light of their power, and recommendations given.     

Procrustes analysis on some special manifolds

We pnwnt some ilicorciical results obtained by applying Procrustes methods to the statistical analysis on the two special manifolds, the Stiefel manifold V_k,m and the Grassmann manifold G_k,m?k or, equivalently, the manifold P_k,m?k of all m × m orthogonal projection matrices idempoteut of rank k. Procrustes representations of V_k,m and P_k,m?k by means of equivalence classes of matrices are considered, and Procrustes statistics and means are defined via the ordinary, weighted and generalized Procrustes methods. We discuss perturbation theory in Procrustes analysis on V_k,m and P_k,m?k. Finally, we give a brief discussion of embeddings of the Stiefel and Grassmann manifolds.     

E-Bayesian estimation for system reliability and availability analysis based on exponential distribution

The main purpose of this article is to introduce the E-Bayesian approach to gain flexibility in the reliability-availability system estimation. This approach will be used in series systems, parallel systems, and k-out-of-m systems, based on exponential distribution under squared error loss function, when time is continuous. We use three prior distributions to investigate its impact on the E-Bayesian approach, those prior distributions cover a big spectrum of possibilities. We show in real examples and also by simulations, how the procedure behaves. In the simulation study also we explore the impact on this estimation approach, when the number of components of the system increases.     

An R package and a study of methods for computing empirical likelihood

Empirical likelihood (EL) is an important nonparametric statistical methodology. We develop a package in R called el.convex to implement EL for inference about a multivariate mean. This package contains five functions which use different optimization algorithms but meanwhile seek the same goal. These functions are based on the theory of convex optimization; they are Newton, Davidon–Fletcher–Powell, Broyden–Fletcher–Goldfarb–Shanno, conjugate gradient method, and damped Newton, respectively. We also compare them with the function el.test in the existing R package emplik, and discuss their relative advantages and disadvantages.