Optimal choice of sample fraction in univariate financial tail index estimation

This study introduces a technique to estimate the Pareto distribution of the stock exchange index by using the maximum-likelihood Hill estimator. Recursive procedures based on the goodness-of-fit statistics are used to determine the optimal threshold fraction of extreme values to be included in tail estimation. These procedures are applied to three indices in the Malaysian stock market which included the consideration of a drastic economic event such as the Asian financial crisis. The empirical results evidenced alternating varying behavior of heavy-tailed distributions in the regimes for both upper and lower tails.     

Bayesian misclassification and propensity score methods for clustered observational studies

Bayesian propensity score regression analysis with misclassified binary responses is proposed to analyse clustered observational data. This approach utilizes multilevel models and corrects for misclassification in the responses. Using the deviance information criterion (DIC), the performance of the approach is compared with approaches without correcting for misclassification, multilevel structure specification, or both in the study of the impact of female employment on the likelihood of physical violence. The smallest DIC confirms that our proposed model best fits the data. We conclude that female employment has an insignificant impact on the likelihood of physical spousal violence towards women. In addition, a simulation study confirms that the proposed approach performed best in terms of bias and coverage rate. Ignoring misclassification in response or multilevel structure of data would yield biased estimation of the exposure effect.     

正则长波方程的同宿轨道

在对一类正则长波方程定性分析的基础上,得到了其全局相图.由此推知,此类方程具有渐近值相同的钟状孤波解,并求得了其精确孤立波解,即此正则长波方程的同宿轨道.     

城市大气中污染物扩散的施密特数研究

借助反问题方法对风洞实验工况选取不同施密特数进行数值模拟试验,分析比较了不同施密特数时街道峡谷内各个观测点的数值模拟数据和风洞实验数据.研究结果表明,城市街道内大气污染物扩散的施密特数为0.7～0.8.     

STATE LIQUOR LICENSING, IMPLICIT CONTRACTING, AND DRY/WET COUNTIES

Local option liquor laws are generally interpreted as granting voters the right to choose between allowing and prohibiting alcoholic beverage sales. This paper argues that the real choice confronting voters is between legal sales according to state-prescribed rules and illegal sales according to an informal set of locally-determined rules. Given this choice, rational voters will choose the option with the lower relative price. State laws restricting the number of licenses that can be issued in legally wet jurisdictions prove to be more powerful than religious preferences in explaining the pattern of dry counties.