Nonparametric multiple expectile regression via ER-Boost

Expectile regression [Newey W, Powell J. Asymmetric least squares estimation and testing, Econometrica. 1987;55:819–847] is a nice tool for estimating the conditional expectiles of a response variable given a set of covariates. Expectile regression at 50% level is the classical conditional mean regression. In many real applications having multiple expectiles at different levels provides a more complete picture of the conditional distribution of the response variable. Multiple linear expectile regression model has been well studied [Newey W, Powell J. Asymmetric least squares estimation and testing, Econometrica. 1987;55:819–847; Efron B. Regression percentiles using asymmetric squared error loss, Stat Sin. 1991;1(93):125.], but it can be too restrictive for many real applications. In this paper, we derive a regression tree-based gradient boosting estimator for nonparametric multiple expectile regression. The new estimator, referred to as ER-Boost, is implemented in an R package erboost publicly available at http://cran.r-project.org/web/packages/erboost/index.html. We use two homoscedastic/heteroscedastic random-function-generator models in simulation to show the high predictive accuracy of ER-Boost. As an application, we apply ER-Boost to analyse North Carolina County crime data. From the nonparametric expectile regression analysis of this dataset, we draw several interesting conclusions that are consistent with the previous study using the economic model of crime. This real data example also provides a good demonstration of some nice features of ER-Boost, such as its ability to handle different types of covariates and its model interpretation tools.     

Automatic clustering algorithm for fuzzy data

Coppi et al. [7 R. Coppi, P. D'Urso, and P. Giordani, Fuzzy and possibilistic clustering for fuzzy data, Comput. Stat. Data Anal. 56 (2012), pp. 915–927. doi: 10.1016/j.csda.2010.09.013[Crossref], [Web of Science ®] , [Google Scholar]] applied Yang and Wu's [20 M.-S. Yang and K.-L. Wu, Unsupervised possibilistic clustering, Pattern Recognit. 30 (2006), pp. 5–21. doi: 10.1016/j.patcog.2005.07.005[Crossref], [Web of Science ®] , [Google Scholar]] idea to propose a possibilistic k-means (PkM) clustering algorithm for LR-type fuzzy numbers. The memberships in the objective function of PkM no longer need to satisfy the constraint in fuzzy k-means that of a data point across classes sum to one. However, the clustering performance of PkM depends on the initializations and weighting exponent. In this paper, we propose a robust clustering method based on a self-updating procedure. The proposed algorithm not only solves the initialization problems but also obtains a good clustering result. Several numerical examples also demonstrate the effectiveness and accuracy of the proposed clustering method, especially the robustness to initial values and noise. Finally, three real fuzzy data sets are used to illustrate the superiority of this proposed algorithm.     

自贸试验区与张江国家自主创新示范区联动发展研究

结合上海自贸试验区与张江自主创新示范区联动发展的基础条件和存在问题,两者未来联动发展的总体方向应是:聚焦科技与金融的联动,打造科技创新核心载体,形成“1+1＞2”的强辐射区域.为此,应加快对接战略规划的顶层设计,加快建立联动发展的协同机制,加快构建联动发展的平台载体.     

Moderate Deviation Principles for Empirical Covariance in the Neighbourhood of the Unit Root

In this paper, we consider the linear autoregressive model with varying coefficients θ_n∈[0,1). When θ_n tending to the unit root, the moderate deviation principle for empirical covariance is discussed, and as statistical applications, we provide the moderate deviation estimates of the least square and the Yule–Walker estimators of the parameter θ_n.     

A Parametric Bootstrap Test for Two-Way ANOVA Model Without Interaction Under Heteroscedasticity

In this article we consider the two-way ANOVA model without interaction under heteroscedasticity. For the problem of testing equal effects of factors, we propose a parametric bootstrap (PB) approach and compare it with existing the generalized F (GF) test. The Type I error rates and powers of the tests are evaluated using Monte Carlo simulation. Our studies show that the PB test performs better than the GF test. The PB test performs very satisfactorily even for small samples while the GF test exhibits poor Type I error properties when the number of factorial combinations or treatments goes up. It is also noted that the same tests can be used to test the significance of random effect variance component in a two-way mixed-effects model under unequal error variances.     

Static Hedging of Geometric Average Asian Options with Standard Options

In this article, we first establish a theorem that represents the price of an Asian option in terms of standard European options with a shorter term and different strikes. Then using Gauss–Hermite numerical integration, we discretize our theorem so as to use Monte Carlo simulation to examine the error of the static hedging under the Black–Scholes model and the Merton jump-diffusion model. For ease of comparison, we also provide the error of the dynamic hedging. The numerical results show that the static hedging strategy performs better than the dynamic one under both models.     

D-optimal Factorial Designs under Generalized Linear Models

Generalized linear models (GLMs) have been used widely for modeling the mean response both for discrete and continuous random variables with an emphasis on categorical response. Recently Yang, Mandal and Majumdar (2013 Yang, J., Mandal, A., Majumdar, D. (2013). Optimal designs for 2^k factorial experiments with binary response. Technical Report, Available at: http://arxiv.org/pdf/1109.5320v4.pdf. [Google Scholar]) considered full factorial and fractional factorial locally D-optimal designs for binary response and two-level experimental factors. In this article, we extend their results to a general setup with response belonging to a single-parameter exponential family and for multilevel predictors.     

中国农村社会保障改革的路径依赖与制度创新

随着中国农村市场化、工业化和城市化的发展,农村社会保障制度创新已经成为农村改革的焦点。本文在梳理中国农村社会保障制度变迁过程的基础上,分析了中国农村社会保障制度创新路径依赖的历史和文化因素,及其对当前中国农村社会保障制度创新的影响,提出了当前中国农村社会保障制度创新的基本路径,即只有依靠农村土地制度和农村组织制度的创新,逐渐消解城乡二元社会结构,才能进一步推动中国农村社会保障制度创新。     

关注"常态"生活的意义——家庭社会学研究的一个新视角初探

本文从日常生活的"常态"概念入手,认为选择这样一个"常态"作为研究对象对研究家庭社会学是十分有意义的.具体地说,我们认为以被访人的生活史为切入点,去挖掘和揭示制度安排中的"盲点",应该成为家庭社会学研究的一个新的视角.     

加强语言和言语研究 重视言语技能培养

现代语言学家之父Ф.деСоссюр于20世纪初提出两个重要概念——“语言”和“言语”。他认为,人的言语行为分为语言和言语两部分。区分语言和言语有利于研究语言的语言学和言语的语言学。