Properties of generalized Levinson–Durbin–Whittle sequences

For a discrete time, second-order stationary process the Levinson–Durbin recursion is used to determine best fitting one-step-ahead linear autoregressive predictors of successively increasing order, best in the sense of minimizing the mean square error. Whittle [1963. On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix. Biometrika 50, 129–134] generalized the recursion to the case of vector autoregressive processes. The recursion defines what is termed a Levinson–Durbin–Whittle sequence, and a generalized Levinson–Durbin–Whittle sequence is also defined. Generalized Levinson–Durbin–Whittle sequences are shown to satisfy summation formulas which generalize summation formulas satisfied by binomial coefficients. The formulas can be expressed in terms of the partial correlation sequence, and they assume simple forms for time-reversible processes. The results extend comparable formulas obtained in Shaman [2007. Generalized Levinson–Durbin sequences, binomial coefficients and autoregressive estimation. Working paper] for univariate processes.     

Modeling statistical dependence of Markov chains via copula models

Conditional probability distributions have been commonly used in modeling Markov chains. In this paper we consider an alternative approach based on copulas to investigate Markov-type dependence structures. Based on the realization of a single Markov chain, we estimate the parameters using one- and two-stage estimation procedures. We derive asymptotic properties of the marginal and copula parameter estimators and compare performance of the estimation procedures based on Monte Carlo simulations. At low and moderate dependence structures the two-stage estimation has comparable performance as the maximum likelihood estimation. In addition we propose a parametric pseudo-likelihood ratio test for copula model selection under the two-stage procedure. We apply the proposed methods to an environmental data set.     

Statistical estimation errors of VaR under ARCH returns

In this paper we discuss some problems of existing methods for calculating the Value-at-Risk (VaR) in ARCH setting. It should be noted that the commonly used approaches often confuse the true innovations with the empirical residuals, i.e., estimation errors for unknown ARCH parameters are ignored. We adjust this by using the asymptotics of the residual empirical process, and propose a feasible VaR which, according to the spirit of VaR, keeps the assets away from a specified risk with high confidence level. Its meaningfulness in comparison with the usual VaR will be illustrated clearly by numerical studies.     

对“民主和平论”的理论修补——评析约翰·M·欧文的《自由主义怎样造就民主和平》

"民主和平论"是冷战后美国国际关系理论界争论的热点.但"民主和平论"面临着概念、事实及逻辑上的三重困境,因而引起很多人的批评.在这场理论的"挑战-应战"中,一些学者对"民主和平论"进行修正,约翰 M·欧文就是其中一位.他的<自由主义怎样造就民主和平>一文着重强调自由主义的重要性,并引入"知觉"概念,试图应对人们对"民主和平论"的批评.本文认为该文虽在论证上有些许突破,但仍停留于一些理论上的修补,并不能从根本上解决"民主和平论"的理论困境.     

A remark on the Bahadur representation of sample quantiles for negatively associated sequences

Under mild conditions, we investigate further the Bahadur representation of sample quantiles for negatively associated sequences, whose convergence rate is faster than the corresponding one in Ling (2008).     

Sir Godfrey Thomson: a statistical pioneer

Summary.  Godfrey Thomson (1881–1955) was a leading figure in intelligence testing who made his name in that field first at Armstrong College, Newcastle, and then at the University of Edinburgh. In the course of his practical work he identified many theoretical problems which were essentially statistical in character. In particular, he used maximum likelihood estimation as early as 1919 and his statistical work largely set the course of modern factor analysis and related techniques. His statistical abilities were recognized, at different stages of his career, by both Karl Pearson and Sir Ronald Fisher. His key insight was to recognize the importance of Fisherian inference for the future of that subject.     

鲁迅与《文心雕龙》

“摩罗诗力”和“现实战斗精神”是鲁迅文艺思想之核心,它们既是鲁迅在西方近现代文学思潮影响和新文学发展实际基础上的独特创造,也是对《文心雕龙》中“风骨”这一民族审美理想的继承和发展。本文旨在厘清二者之间既有差异又存在相同之处的复杂关系,证明现代文学批评与传统文论之间割舍不断的历史连续性。     

《蝴蝶君》:从边缘走向中心

在传统的美国戏剧舞台上,表现东西方爱情戏剧的一个突出现象是剧中的西方男人总是身处突出的中心地位,而东方女性总是身处边缘。当代美国剧作家黄大卫努力重新建构遭美国式的东方主义话语所压抑的亚裔美国文化。他在其代表作《蝴蝶君》一剧中跨越传统戏剧的框架模式,将剧中男"女"主角的关系作了象征性的转换,从政治、文化、哲学以及男女性别诸方面颠倒了传统东西方角色关系,使东方女子的形象挣脱了"边缘"枷锁的束缚,从"边缘"走向"中心"。同时,剧作者希望该剧能够纠正种种文化和性别的错误感受,抛弃旧有的刻板印象,由对立、对抗转为对话和交流。     

中国宏观信息、货币政策对股票市场的影响

考察中国宏观经济信息、货币政策对股市的影响效果,结果发现：宏观经济变量对股票收益基本没有解释力;而且,2001年7月前,货币政策对股票收益影响微弱,2001年7月后,货币政策对股票收益影响非常显著,扩张性货币政策有助于股价上升,紧缩性政策促使股价下降。同时,行业股价指数分析表明货币政策对房地产、金融等新兴行业影响较大,对公用事业等传统行业影响较小。当前中国股市运行脱离了经济基本面,股市尚无国民经济“晴雨表”作用,但却与政策因素密切相关,表现出一种强烈的“政策市”。