On parameter estimation in Bernoulli trials with dependence

A simple estimator is proposed for the dependence parameter for the Klotz model of Bernoulli trials with Markov dependence and it is compared with the ratio estimator given by Price and the approximate maximum likelihood estimator given by Klotz. The proposed estimator is shown to have considerably smaller bias than the other two estimators with comparable mean squared errors, and has all the large sample optimal properties that the other two estimators have.     

ON ESTIMATION OF THE POPULATION SPECTRAL DISTRIBUTION FROM A HIGH‐DIMENSIONAL SAMPLE COVARIANCE MATRIX

Sample covariance matrices play a central role in numerous popular statistical methodologies, for example principal components analysis, Kalman filtering and independent component analysis. However, modern random matrix theory indicates that, when the dimension of a random vector is not negligible with respect to the sample size, the sample covariance matrix demonstrates significant deviations from the underlying population covariance matrix. There is an urgent need to develop new estimation tools in such cases with high‐dimensional data to recover the characteristics of the population covariance matrix from the observed sample covariance matrix. We propose a novel solution to this problem based on the method of moments. When the parametric dimension of the population spectrum is finite and known, we prove that the proposed estimator is strongly consistent and asymptotically Gaussian. Otherwise, we combine the first estimation method with a cross‐validation procedure to select the unknown model dimension. Simulation experiments demonstrate the consistency of the proposed procedure. We also indicate possible extensions of the proposed estimator to the case where the population spectrum has a density.     

试析管理主体行为方式的演进

管理以何为主的问题一直是管理理论界争论未决的热门话题。本文从管理发展史的角度分析了管理主体行为方式的转变过程,认为管理主体行为方式的重心经历了由以“劳动资料”为主向以“工作”为主转变,再由以物为主向以人为主转变,最后由以人为主向人物并重转变的历史过程     

Flood Risk Assessment and Regionalization from Past and Future Perspectives at Basin Scale

Flooding is a major natural disaster that has brought tremendous losses to mankind throughout the ages. Even so, floods can be controlled by appropriate measures to minimize loss and damage. Flood risk assessment is an essential analytic step in preventing floods and reducing losses. Identifying previous flood risk and predicting future features are conducive to understanding the changing patterns and laws of flood risk. Taking the Dongjiang River basin as a study case, we assessed and regionalized flood risk in 1990, 2000, and 2010 from the past perspective and explored dynamic expansion during 1990–2010. Then, we projected land-use type, population, and gross domestic product in 2030 and 2050 and finally assessed and regionalized the risk from a future perspective. Results show that areas with very high risk accounted for 14.98–18.08% during 1990–2010; approximately 13.90% areas of the basin transformed from lower-level risk to higher-level risk whereas 9.07% fell from a higher level to a lower level during the period. For the future scenario, areas with very high and high risk in 2030 and 2050 are expected to account for 21.55% and 24.84%, respectively. Generally, our study can better identify changes in flood risk at a spatial scale and reveal the dynamic evolution rule, which provides a synthetical means of flood prevention and reduction, flood insurance, urban planning, and water resource management in the future under global climate change, especially for developing or high-speed urbanization regions.     

Partial deconvolution estimation in nonparametric regression

In this article, we propose a class of partial deconvolution kernel estimators for the nonparametric regression function when some covariates are measured with error and some are not. The estimation procedure combines the classical kernel methodology and the deconvolution kernel technique. According to whether the measurement error is ordinarily smooth or supersmooth, we establish the optimal local and global convergence rates for these proposed estimators, and the optimal bandwidths are also identified. Furthermore, lower bounds for the convergence rates of all possible estimators for the nonparametric regression functions are developed. It is shown that, in both the super and ordinarily smooth cases, the convergence rates of the proposed partial deconvolution kernel estimators attain the lower bound. The Canadian Journal of Statistics 48: 535–560; 2020 © 2020 Statistical Society of Canada     

Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns

Abstract

In this paper, we discuss several different styles of multi-period mean-variance portfolio optimization problems under the serially correlated returns. We derive the time-consistent strategies for the classical multi-period mean-variance optimization with and without risk-free asset using a backward induction approach. We also propose an alternative multi-period mean-variance model, and the corresponding time-consistent strategies are derived. Whereafter, we provide some portfolio evaluation indexes and perform extensive empirical studies based on real data, aiming to provide useful advice for investors. To a large extent, the empirical results answer one important and practical question: in actual investment situations, which strategy is preferred by different investors?     

交通基础设施投资与居民收入——来自中国农村的经验证据

选取了1999年至2008年我国30个省市农村数据,分别构建静态和动态面板数据分析模型,对交通基础设施投资与居民收入之间的关系进行实证分析。静态面板数据模型的估计结果显示,短期内交通基础设施投资对农村经济的发展能够产生直接的经济效应,促进农民增收;动态面板数据的结果则表明,交通基础设施投资所带来的农村交通设施条件的不断改善,将在一定程度上促进农民收入的长期稳定增加。进一步地,将两类模型的估计结果予以对比分析发现,农村基础设施投资促进农村居民收入增加的短期效应将高于长期效应。     

EPS外保温墙热湿传递的影响因素研究

针对不同的聚苯板(EPS)板厚、饰面层及室内相对湿度(RH),利用CHAPMS-BES软件,研究了夏热冬冷地区EPS复合外保温墙的热湿耦合传递规律.结果表明,EPS板厚越小,其峰值含湿量越小,水分对墙体传热系数的影响越显著;室内相对湿度对EPS板的峰值含湿量和墙体的最大传热系数影响非常有限;釉面砖饰面时,多孔砖层的初始水分将在釉面砖内侧积聚,水分对墙体传热系数的影响程度高达54％.     

Solving the Feldstein–Horioka Puzzle With Financial Frictions

Unlike the prediction of a frictionless open economy model, long‐term average savings and investment rates are highly correlated across countries—a puzzle first identified by Feldstein and Horioka (1980). We quantitatively investigate the impact of two types of financial frictions on this correlation. One is limited enforcement, where contracts are enforced by the threat of default penalties. The other is limited spanning, where the only asset available is noncontingent bonds. We find that the calibrated model with both frictions produces a savings–investment correlation and a volume of capital flows close to the data. To solve the puzzle, the limited enforcement friction needs low default penalties under which capital flows are much lower than those in the data, and the limited spanning friction needs to exogenously restrict capital flows to the observed level. When combined, the two frictions interact to endogenously restrict capital flows and thereby solve the Feldstein–Horioka puzzle.