金融市场波动溢出分析及实证研究

对于动态投资组合与风险管理来说,测度波动的溢出效应是非常重要的.在已有的文献中往往是检验不同金融市场之间是否存在波动溢出,对产生波动溢出的概率却未提及.文章在研究金融市场间影响概率的基础上,引入了分位数表示市场风险,证明了金融市场之间线性相关与相互影响概率之间的关系;随后给出了金融市场波动溢出的新定义,构建了回归模型,并证明了在不同线性相关下回归参数与相互影响概率的对应关系,最后进行了实证分析.     

Nonparametric Inference for an Inverse-Probability-Weighted Estimator with Doubly Truncated Data

Efron and Petrosian (1999 Efron, B., Petrosian, V. (1999). Nonparametric methods for doubly truncated data. Journal of the American Statistical Association 94:824–834.[Taylor &; Francis Online], [Web of Science ®] , [Google Scholar]) formulated the problem of double truncation and proposed nonparametric methods on testing and estimation. An alternative estimation method was proposed by Shen (2010a Shen, P.S. (2010a). Nonparametric analysis of doubly truncated data. Annals of the Institute of Statistical Mathematics 62:835–853.[Crossref], [Web of Science ®] , [Google Scholar]), utilizing the inverse-probability-weighting technique. One aim of this paper was to assess the computational complexity of the existing estimation methods. Through a simulation study, we found that these two estimation methods have the same level of computational efficiency. The other aim was to study the noniterative IPW estimator under the condition that truncation variables are independent. The IPW estimator and the interval estimation was proved satisfactory in the simulation study.     

Failures in the Development of Potential Space in a Group

In this paper I shall use Winnicott’s concept of potential space to discuss the impasses, which arises when failures occur in the development of group potential space. Because clinical social work is a service usually provided by public bodies with limited economic resources, unstable social and political realities are driving many social workers to search for methods of responding to the needs of many without compromising the quality of the service provided. This requires the acquisition of increasing knowledge in the field of group therapy, in order to help our clients, who often suffer from disabling conditions, to become functioning community members. The paper reviews Winnicott’s concept of potential space and Ogden’s formulation of the psychopathology of potential space, and describes various manifestations of impasses in group work and group development. Three clinical examples describing therapeutic groups led by clinicians in various public frameworks, are used to illustrate three different forms of group collapse following a failure in the formation of potential space. A fourth type of collapse is also discussed.

Upper probabilities based only on the likelihood function

In the problem of parametric statistical inference with a finite parameter space, we propose some simple rules for defining posterior upper and lower probabilities directly from the observed likelihood function, without using any prior information. The rules satisfy the likelihood principle and a basic consistency principle ('avoiding sure loss'), they produce vacuous inferences when the likelihood function is constant, and they have other symmetry, monotonicity and continuity properties. One of the rules also satisfies fundamental frequentist principles. The rules can be used to eliminate nuisance parameters, and to interpret the likelihood function and to use it in making decisions. To compare the rules, they are applied to the problem of sampling from a finite population. Our results indicate that there are objective statistical methods which can reconcile three general approaches to statistical inference: likelihood inference, coherent inference and frequentist inference.     

Comparison of normal probability plots and dot plots in judging the significance of effects in two level factorial designs

In this article, we present a study carried out to compare the effectiveness of the normal probability plot (NPP) and a simple dot plot in assessing the significance of the effects in experimental designs with factors at two levels (2 ^k?p designs). Several groups of students who had just completed a course that covered factorial designs were asked to identify the significant effects in a total of 32 situations, 16 of which were represented using NPPs and the other 16 using dot plots. Although the 32 scenarios were said to be different, there were really only 16 different situations, each of which was represented using the two methods to be compared. A simple graphical analysis shows no evidence that there is a difference between the two procedures. However, in designs with 16 runs there are some cases where NPP seems to give slightly better results.     

Simultaneous Credible Bands for Latent Gaussian Models

Abstract. Deterministic Bayesian inference for latent Gaussian models has recently become available using integrated nested Laplace approximations (INLA). Applying the INLA‐methodology, marginal estimates for elements of the latent field can be computed efficiently, providing relevant summary statistics like posterior means, variances and pointwise credible intervals. In this article, we extend the use of INLA to joint inference and present an algorithm to derive analytical simultaneous credible bands for subsets of the latent field. The algorithm is based on approximating the joint distribution of the subsets by multivariate Gaussian mixtures. Additionally, we present a saddlepoint approximation to compute Bayesian contour probabilities, representing the posterior support of fixed parameter vectors of interest. We perform a simulation study and apply the given methods to two real examples.     

Reliability properties of generalized mixtures of Weibull distributions with a common shape parameter

Weibull mixtures have been considered in many applied problems, and they have also been generalized by allowing negative mixing weights. In this paper, we study the classification of the aging properties of generalized mixtures of two or three Weibull distributions in terms of the mixing weights, scale parameters and a common shape parameter, which extends the cases of exponential or Rayleigh distributions. We apply these general results to classify the aging properties of the minimum and maximum lifetimes of two-component systems whose component lifetimes follow one of the known bivariate Weibull distributions.     

重构我国民事诉讼证明标准

证明标准是证据法中重要而又难以把握的问题。认为我国民事案件应该采用法律真实的证明标准而不是客观真实的证明标准。而法律真实证明标准又可分为优势证据证明标准和高度盖然性证明标准。根据人们认识事物常态和现阶段的法律状况等因素,认为我国民事案件应该采用高度盖然性证明标准,在采用高度盖然性证明标准过程中有些事项需要予以注意。     

公司信用风险研究的贝叶斯方法

作为一种充分利用各种信息的贝叶斯方法,在金融领域已经得到越来越重要的应用,包括了样本和非样本信息的统计方法。本文在结构模型框架下,应用贝叶斯方法考虑违约风险的先验信息和专家信息,估计Morton信用风险结构模型的参数,求出违约概率的后验估计,最后本文给出一个经验应用。     

Estimating stage occupation probabilities in non-Markov models

We study non-Markov multistage models under dependent censoring regarding estimation of stage occupation probabilities. The individual transition and censoring mechanisms are linked together through covariate processes that affect both the transition intensities and the censoring hazard for the corresponding subjects. In order to adjust for the dependent censoring, an additive hazard regression model is applied to the censoring times, and all observed counting and “at risk” processes are subsequently given an inverse probability of censoring weighted form. We examine the bias of the Datta–Satten and Aalen–Johansen estimators of stage occupation probability, and also consider the variability of these estimators by studying their estimated standard errors and mean squared errors. Results from different simulation studies of frailty models indicate that the Datta–Satten estimator is approximately unbiased, whereas the Aalen–Johansen estimator either under- or overestimates the stage occupation probability due to the dependent nature of the censoring process. However, in our simulations, the mean squared error of the latter estimator tends to be slightly smaller than that of the former estimator. Studies on development of nephropathy among diabetics and on blood platelet recovery among bone marrow transplant patients are used as demonstrations on how the two estimation methods work in practice. Our analyses show that the Datta–Satten estimator performs well in estimating stage occupation probability, but that the censoring mechanism has to be quite selective before a deviation from the Aalen-Johansen estimator is of practical importance. N. Gunnes—Supported by a grant from the Norwegian Cancer Society.