Variance Reduction Using Nonlinear Controls and Transformations

Nonlinear regression-adjusted control variables are investigated for improving variance reduction in statistical and system simulations. To this end, simple control variables are piecewise sectioned and then transformed using linear and nonlinear transformations. Optimal parameters of these transformations are selected using linear or nonlinear least-squares regression algorithms. As an example, piecewise power-transformed variables are used in the estimation of the mean for the twovariable Anderson-Darling goodness-of-fit statistic W ₂ ². Substantial variance reduction over straightforward controls is obtained. These parametric transformations are compared against optimal, additive nonparametric transformations obtained by using the ACE algorithm and are shown, in comparison to the results from ACE, to be nearly optimal.     

Local quantile regression

Quantile regression is a technique to estimate conditional quantile curves. It provides a comprehensive picture of a response contingent on explanatory variables. In a flexible modeling framework, a specific form of the conditional quantile curve is not a priori fixed. This motivates a local parametric rather than a global fixed model fitting approach. A nonparametric smoothing estimator of the conditional quantile curve requires to balance between local curvature and stochastic variability. In this paper, we suggest a local model selection technique that provides an adaptive estimator of the conditional quantile regression curve at each design point. Theoretical results claim that the proposed adaptive procedure performs as good as an oracle which would minimize the local estimation risk for the problem at hand. We illustrate the performance of the procedure by an extensive simulation study and consider a couple of applications: to tail dependence analysis for the Hong Kong stock market and to analysis of the distributions of the risk factors of temperature dynamics.     

On control charts for monitoring the variance of a time series

In this paper we derive control charts for the variance of a Gaussian process using the likelihood ratio approach, the generalized likelihood ratio approach, the sequential probability ratio method and a generalized sequential probability ratio procedure, the Shiryaev–Roberts procedure and a generalized modified Shiryaev–Roberts approach. Recursive presentations for the calculation of the control statistics are given for autoregressive processes of order 1. In an extensive simulation study these schemes are compared with existing control charts for the variance. In order to asses the performance of the schemes both the average run length and the average delay are used.     

Bayesian networks for sex-related homicides: structure learning and prediction

Sex-related homicides tend to arouse wide media coverage and thus raise the urgency to find the responsible offender. However, due to the low frequency of such crimes, domain knowledge lacks completeness. We have therefore accumulated a large data-set and apply several structural learning algorithms to the data in order to combine their results into a single general graphic model. The graphical model broadly presents a distinction between an offender and a situation-driven crime. A situation-driven crime may be characterised by, amongst others, an offender lacking preparation and typically attacking a known victim in familiar surroundings. On the other hand, offender-driven crimes may be identified by the high level of forensic awareness demonstrated by the offender and the sophisticated measures applied to control the victim. The prediction performance of the graphical model is evaluated via a model averaging approach on the outcome variable offender's age. The combined graph undercuts the error rate of the single algorithms and an appropriate threshold results in an error rate of less than 10%, which describes a promising level for an actual implementation by the police.     

从语言角度看中国当代文学

顾彬翁乃德国波恩大学汉学教授,一位远在异国却钟爱汉语文学的"老外"。他的一系列有关中国当代文学的言论,近年来被媒体热炒得妇孺皆知,于是,一个原本书斋里的独处者成为公共人物。最近在南京大学人文社会科学高级研究院"名家讲堂"上,顾彬教授侃侃而谈,再次对中国当代文学发表了独到看法。演讲的主旨是作家语言问题,他直言,较之于现代作家,中国当代作家的语言(包括母语和外文)均有所欠缺。此言听起来有点刺耳,但却代表了从外部看中国文学的一种严肃见解。多年来,顾彬教授翻译了大量中国现当代文学作品,所做工作令国人钦佩,他的结论当是经过仔细观察和比较得出的。至于为何当代作家语言水准会下降,顾彬教授的分析也耐人寻味。这里我们同时邀请了南京大学王彬彬教授对顾彬演讲写一篇短文,倘若顾说是一种外来见解的话,那么,王说则代表了一种本土反思和回应。中国当代文学的成就说得够多了,爱听好话不爱逆言的脾性往往使我们对自己问题视而不见。所以说,倾听一个热爱中国文化的"老外"说点不同看法是有益的。     

人工智能的未来：“慈爱的机器”还是“交际的工具”

人们对于人工智能的未来有很多设想，其中有两种设想很具有代表性。所谓“慈爱的机器”是一种技术乌托邦式的未来幻想，一种仁慈的技术统治维护着全面的和谐。人工智能作为一种“交际的工具”，对未来的想象也勾勒出了一个平衡的社会，但它颠倒了(前一种设想)影响的顺序:一个交际性的社会为交际行为塑造了相关的技术。但事实是，没有任何一个程序能够满足为所有人都能够接受的普遍规则。人类不需要担心人工智能会变成一个邪恶的还是仁慈的东西，因为人工智能技术原则上不具备邪恶和仁慈的能力。但人工智能可以侵入人类的自主性，以致达到一种无法容忍的程度。     

Temptation and Self‐Control

We study a two‐period model where ex ante inferior choice may tempt the decision‐maker in the second period. Individuals have preferences over sets of alternatives that represent second period choices. Our axioms yield a representation that identifies the individual's commitment ranking, temptation ranking, and cost of self‐control. An agent has a preference for commitment if she strictly prefers a subset of alternatives to the set itself. An agent has self‐control if she resists temptation and chooses an option with higher ex ante utility. We introduce comparative measures of preference for commitment and self‐control and relate them to our representations.     

Sequential monitoring of high-dimensional time series

In the paper we derive new types of multivariate exponentially weighted moving average (EWMA) control charts which are based on the Euclidean distance and on the distance defined by using the inverse of the diagonal matrix consisting of the variances. The design of the proposed control schemes does not involve the computation of the inverse covariance matrix and, thus, it can be used in the high-dimensional setting. The distributional properties of the control statistics are obtained and are used in the determination of the new control procedures. Within an extensive simulation study, the new approaches are compared with the multivariate EWMA control charts which are based on the Mahalanobis distance.