A Markov regime‐switching model for crude‐oil markets: Comparison of composite likelihood and full likelihood

We use the two‐state Markov regime‐switching model to explain the behaviour of the WTI crude‐oil spot prices from January 1986 to February 2012. We investigated the use of methods based on the composite likelihood and the full likelihood. We found that the composite‐likelihood approach can better capture the general structural changes in world oil prices. The two‐state Markov regime‐switching model based on the composite‐likelihood approach closely depicts the cycles of the two postulated states: fall and rise. These two states persist for on average 8 and 15 months, which matches the observed cycles during the period. According to the fitted model, drops in oil prices are more volatile than rises. We believe that this information can be useful for financial officers working in related areas. The model based on the full‐likelihood approach was less satisfactory. We attribute its failure to the fact that the two‐state Markov regime‐switching model is too rigid and overly simplistic. In comparison, the composite likelihood requires only that the model correctly specifies the joint distribution of two adjacent price changes. Thus, model violations in other areas do not invalidate the results. The Canadian Journal of Statistics 41: 353–367; 2013 © 2013 Statistical Society of Canada     

收入分布函数在收入不平等研究领域的应用

收入分布函数的研究对于收入不平等的探讨意义重大,但是国内该领域的研究尚待进一步的拓展。笔者在文献回顾的基础上梳理了国外的相关研究,把常用的分布函数分成两参数分布和多参数分布函数两类,介绍了各类函数拟合居民实际收入分布的效果及其与基尼系数的关系;同时,本文剖析了各类函数之间的内在联系;进一步,基于分布函数的角度,笔者研究了收入流动性与收入不平等之间的联系,分析了平均数和中位数比值与基尼系数之间的数学关系以及如何利用该比值来估计分布函数的参数。利用这些研究结果,文章探讨了2010年我国城镇居民的收入结构和贫困问题并提出了一些前瞻性的研究建议。     

Extended BIC for linear regression models with diverging number of relevant features and high or ultra-high feature spaces

In many conventional scientific investigations with high or ultra-high dimensional feature spaces, the relevant features, though sparse, are large in number compared with classical statistical problems, and the magnitude of their effects tapers off. It is reasonable to model the number of relevant features as a diverging sequence when sample size increases. In this paper, we investigate the properties of the extended Bayes information criterion (EBIC) (Chen and Chen, 2008) for feature selection in linear regression models with diverging number of relevant features in high or ultra-high dimensional feature spaces. The selection consistency of the EBIC in this situation is established. The application of EBIC to feature selection is considered in a SCAD cum EBIC procedure. Simulation studies are conducted to demonstrate the performance of the SCAD cum EBIC procedure in finite sample cases.     

经济增速放缓与经济波动对居民福利影响的阶段差异分析

 本文基于中国1952-2007年时序数据定量研究经济增速放缓的福利损失和经济波动的福利损失,并侧重考察两种福利损失的大小关系在改革开放和经济体制改革目标确立前后的阶段差异。研究发现,无论是总体而言,还是在中国经济发展的不同阶段,经济波动的福利损失并不必然远小于经济增速放缓的福利损失,在相关参数的合理取值范围内,经济波动的福利损失大于经济增速放缓的福利损失是相当普遍的情形。因此,中国政府部门在重视长期经济增长的同时,不能草率否定短期经济稳定的重要性。     

On confidence regions of semiparametric nonlinear reproductive dispersion models

This article investigates the confidence regions for semiparametric nonlinear reproductive dispersion models (SNRDMs), which is an extension of nonlinear regression models. Based on local linear estimate of nonparametric component and generalized profile likelihood estimate of parameter in SNRDMs, a modified geometric framework of Bates and Wattes is proposed. Within this geometric framework, we present three kinds of improved approximate confidence regions for the parameters and parameter subsets in terms of curvatures. The work extends the previous results of Hamilton et al. [in Accounting for intrinsic nonlinearity in nonlinear regression parameter inference regions, Ann. Statist. 10, pp. 386–393, 1982], Hamilton [in Confidence regions for parameter subset in nonlinear regression, Biometrika, 73, pp. 57–64, 1986], Wei [in On confidence regions of embedded models in regular parameter families (a geometric approch), Austral. J. Statist. 36, pp. 327–338, 1994], Tang et al. [in Confidence regions in quasi-likelihood nonlinear models: a geometric approach, J. Biomath. 15, pp. 55–64, 2000b] and Zhu et al. [in On confidence regions of semiparametric nonlinear regression models, Acta. Math. Scient. 20, pp. 68–75, 2000].     

Determining Optimal Number of Samples for Constructing Multivariate Control Charts

Normally, an average run length (ARL) is used as a measure for evaluating the detecting performance of a multivariate control chart. This has a direct impact on the false alarm cost in Phase II. In this article, we first conduct a simulation study to calculate both in-control and out-of-control ARLs under various combinations of process shifts and number of samples. Then, a trade-off analysis between sampling inspection and false alarm costs is performed. Both the simulation results and trade-off analysis suggest that the optimal number of samples for constructing a multivariate control chart in Phase I can be determined.     

A Note on the Likelihood Ratio Test for Equality of k Normal Populations

The authors derive the analytic expressions for the mean and variance of the log-likelihood ratio for testing equality of k (k ≥ 2) normal populations, and suggest a chi-square approximation and a gamma approximation to the exact null distribution. Numerical comparisons show that the two approximations and the original beta approximation of Neyman and Pearson (1931 Neyman , J. , Pearson , E. S. ( 1931 ). On the problem of k samples . In: Neyman , J. , Pearson , E. S. , eds. Joint Statistical Papers . Cambridge : Cambridge University Press , pp. 116 – 131 . [Google Scholar]) are all accurate, and the gamma approximation is the most accurate.     

Broken-Link Reports from SFX Users: How Publishers,Vendors and Libraries Can Do Better

Abstract

This study analyzes more than 400 SFX broken-link reports sent by users of an academic library. It raises technical issues regarding OpenURL linking in the handling of special journal volume and issue numbers, journal supplemental issues, embargo release dates, book reviews, DOIs, and other areas. It reports on full-text resources with the most broken links, causes of broken links, and the library's responses to users. It also explores how journal publishers, database vendors, and OpenURL vendors can improve the quality of their products and how librarians can better serve users.