Bayes factors for goodness of fit testing

We propose the use of the generalized fractional Bayes factor for testing fit in multinomial models. This is a non-asymptotic method that can be used to quantify the evidence for or against a sub-model. We give expressions for the generalized fractional Bayes factor and we study its properties. In particular, we show that the generalized fractional Bayes factor has better properties than the fractional Bayes factor.     

Minimum Contrast Estimation for Fractional Diffusions

Abstract.  When the Hurst coefficient of a fractional Brownian motion     is greater than 1/2 it is possible to define a stochastic integral with respect to     , as the pathwise limit of Riemann sums, and thus to consider pathwise solutions to fractional diffusion equations. In this paper, we consider the vanishing drift case and assume that the solution X _t is parameterized by θ in a compact parameter space Θ . Our main interest is the estimation of θ based on discrete time, but with very frequent observations. It is shown that the estimation problem in this context is locally asymptotically mixed normal. The asymptotic behaviour of a certain class of minimum contrast estimators is then studied and asymptotic efficiency is discussed.     

自相似业务流下的服务质量保障

将来网络服务质量需要考虑网络业务流自有的自相似性对网络性能的影响,而传统的网络模型未考虑此因素。该文利用分数布郎运动模型,建立了一个网络模型,此模型考虑了业务流的自相似,以及聚类的特性,通过控制有效带宽,提高统计复用效率,并通过审核控制机制,提供网络服务。实验证明分数布郎运动模型能如实描述业务流特性,准确预测业务流的性能,能够最大限度地利用网络资源,提高服务质量,弥补原来网络排队模型的缺陷。     

金融抑制、金融深化与经济增长——基于中国的经验检验

发展中国家在工业化过程中都希望采取正确的金融政策来推动经济长期增长 ,但每个发展中国家都有着自己特殊的经济发展历史轨迹 ,从而特定的金融政策不可能在世界范围内具有普遍适应性。中国虽然在较长时期内采取金融抑制政策 ,但这种政策却有着不同于其他发展中国家的本质特征和抑制程度变迁的历史过程。通过约翰逊协整检验可以说明 ,中国的金融抑制政策可以较强地正向促进金融深化 ,并以此推进经济的长期增长     

上海股市收益序列的长期记忆性建模分析及预测

应用ARFIMA模型研究上海股票市场收益序列的长期记忆性,揭示了上海股市收益具有较明显的长期记忆性,进而从另外一个角度证实了上海股票市场尚未达到弱式有效的结论。上海股市收益序列进行预测,并与传统的线性模型相比,分整的ARFIMA模型提高了股票收益序列长期预测的可靠性。     

我国金融发展对城乡收入差距影响的实证研究

基于我国1985—2014年金融发展和城乡居民可支配收入的数据,VAR模型实证分析我国金融发展与城乡收入差距之间的关系。研究表明：我国金融发展水平与城乡收入差距存在长期相互影响的均衡关系,我国金融发展是城乡收入差距加大的格兰杰原因。VAR模型的实证分析及其脉冲响应函数的研究结果都证实了一个结论：在一定程度上,我国金融发展拉大了城乡之间的收入差距,原因在于城乡金融投资的不平衡和农村资金外流。缩小城乡收入差距需要从发展农村金融、遏制农村资金外流以及政策支持等方面着手解决,加大金融对农村经济发展的支持力度。     

含分数阶微分的二自由度悬架系统动力学分析

研究了含分数阶项的二自由度悬架系统，利用改进的平均法、拉氏变换法、谐波平衡法和复频域法得到了简谐激励下系统响应的解析解，比较了解析解和数值解，二者逼近的精度很高，证明了解析解的准确性。分析了分数阶参数对悬架系统的动力学行为的影响，发现含分数阶微分悬架系统响应稳态幅值能够大幅降低，其动力学性能得到极大提高。     

Bayesian estimation of the Hurst parameter of fractional Brownian motion

The primary purpose of this study was to find Bayesian estimates for the Hurst dimension of a Fractional Brownian motion with a Beta prior when the process is observed at discrete times. Overestimation is observed though the overestimation is less severe as real H goes up. In addition, the estimated H decreases as Beta parameters go up given an Alpha value. In contrast, the estimated H increases as Alpha parameters go up given a Beta value. For the real-world data, the 2011 daily Taiwan stock index was used and the estimated Hurst index was 0.21.     

Agreement between two diagnostic tests when accounting for test–retest variation: application to FFR versus iFR

In medicine, there are often two diagnostic tests that serve the same purpose. Typically, one of the tests will have a lower diagnostic performance but be less invasive, easier to perform, or cheaper. Clinicians must assess the agreement between the tests while accounting for test–retest variation in both techniques. In this paper, we investigate a specific example from interventional cardiology, studying the agreement between the fractional flow reserve and the instantaneous wave-free ratio. We analyze potential definitions of the agreement (accuracy) between the two tests and compare five families of statistical estimators. We contrast their statistical behavior both theoretically and using numerical simulations. Surprisingly for clinicians, seemingly natural and equivalent definitions of the concept of agreement can lead to discordant and even nonsensical estimates.