Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models

ABSTRACT.  This paper develops a new contrast process for parametric inference of general hidden Markov models, when the hidden chain has a non-compact state space. This contrast is based on the conditional likelihood approach, often used for ARCH-type models. We prove the strong consistency of the conditional likelihood estimators under appropriate conditions. The method is applied to the Kalman filter (for which this contrast and the exact likelihood lead to asymptotically equivalent estimators) and to the discretely observed stochastic volatility models.     

公民权与美国工业化时期缩短工时运动研究

在工业化时期,美国人们形成了"私人时间"的观念。他们普遍相信,过长的工时侵犯了自己的私人时间,而拥有私人时间是共和国公民的天然权利。这种思想成为缩短工时运动的重要思想基础,促进运动的蓬勃发展。然而,受契约自由传统的影响,运动仅取得了有限的成就,工人获得合理工作时间和私人时间的路途仍很艰辛漫长。     

对“两种置换”与改制成本的思考

国有企业改制的焦点集中于"两个置换"问题上,而它们之间存在着直接的依赖关系。从某种意义上来说,改制成本就是为确保新制度顺利推进而产生的社会交易费用。一方面,交易费用的存在与人力资源价值、人的本性、以及改制后企业经营管理能力有关,其支出有着重要的作用。另一方面,交易费用的存在会减少交易量,损害资产经济专门化和资源的利用,影响资源使用的边际等式和使用的密集度,且过高的交易费用会使许多潜在的交易难以转化为现实的交易,导致社会财富的净损失。因此,政府应该对其支出的流量和流向予以把握和控制,按照"支出合理,方式多样"的原则运作,推动"两种置换"的顺利完成。     

Making the Best of a Bad Job? Female Part‐Timers’ Orientations and Attitudes to Work

This article uses data from 50 qualitative interviews with female part‐time workers in low‐level jobs in Britain to illustrate their attitudes, orientations and aspirations towards paid work. The research reports two main findings. Firstly, even female part‐time workers at the bottom end of the occupational structure are not a homogeneous group of workers. Secondly, they are not all highly satisfied with their jobs. The article argues that many women (especially those in working‐class households) still do not have a genuine choice between ‘family work’ and ‘market work’. It concludes by presenting a theoretical model of orientations to work.     

基于拥挤收费的动态出发时间选择

针对动态交通分配领域中往往假定所有车辆的出发时间是固定的不正确假设，探讨基于拥挤收费的出发时间选择问题的负效用函数，建立动态出发时间选择问题的变分不等式模型．结果表明，建立的变分不等式模型等价于动态用户最优出发时间选择问题.     

Using a computer simulation game to teach family time use concepts

A computer simulation game designed to give students insights into family time use concepts has been used in an introductory family resource management class at Ohio State University and other universities. The game allows for planning for time use changes over the family life cycle. The game can give students insights into economic and sociological models of time use. It is possible that future versions of the game could be used in family counseling.His research interests include derivation of optimal decision-making rules for families and family financial management.Her research interests include financial management over the life course including financial ratios, baby boomers, and retirement. She received her Ph.D. in 1993 from The Ohio State University in Family Resource Management.His research interests include the time trade-offs made between couples, financial planning over the life cycle, and the interaction of time and money between families and their home-based businesses. He received his Ph.D. in 1993 from The Ohio State University in Family Resource Management.     

The employment contract: A test of the transaction cost theory

This paper tests some predictions derived from Williamson's transaction cost theory of the organization of work, which holds that the form of the employment relationship is determined largely by the idiosyncrasy of work—that is, the nature of skills and knowledge used in production. It examines the occurrence of theoretically relevant provisions in collective bargaining agreements in the United States and finds they are related to a contract-level proxy for idiosyncrasy (based on bargaining structure) as predicted by the theory. An analysis of an individual-level variable, the difficulty of finding a comparable job, provides some additional support. Finally, several alternative explanations of the results are considered, and it is argued that none are consistent with the evidence. The analysis thus finds strong, if necessarily provisional, support for the theory.     

考虑交通时间与设备转换时间的跨区域就医调度优化问题

在资源共享时代背景下,跨区域就医可以很好地解决患者日益增长的就医需求与医疗资源紧张的矛盾。本论文以医疗联盟为研究对象,在关键医疗资源共享的前提下,通过患者跨区域就医实现就医诊断延误最小化,以满足患者就医需求。本研究同时考虑了患者跨区域交通时间与基于患者诊断类型的设备转换时间,以最小化患者就医总延迟为目标,分配患者就诊医院及优化患者就诊/检查顺序。针对该问题,论文首次提出以最早交货期原则（EDD rule）为基础,以患者再分配为主导的EDD-ReAss1和EDD-ReAss2启发式算法,结合局部搜索算法以进一步提高就医调度方案的质量,缩短患者诊断/检查等待时间。实验结果表明,新启发式算法EDD-ReAss1和EDD-ReAss2算法性能显著好于EDD,SPT和LPT等调度规则;在较短运算时间内Swap局部搜索算法性能最优。     

具有卖空总量限制的多阶段M—SAD投资组合优化

文章提出具有卖空总量限制、阈值约束和V型交易成本的多阶段均值—半绝对偏差（M-SAD）投资组合优化模型。该模型分别运用均值和半绝对偏衡量资产的收益率和风险。由于交易成本的存在,该模型不满足无后效性的动态优化问题。文章将该模型近似为一般动态规划问题,提出一种新的离散迭代方法,并证明该算法是线性收敛的。最后,文章通过实证研究比较分析卖空总量限制和风险偏好系数取不同值时对投资组合最优策略的影响,验证模型和算法的有效性。     

Curved Chaotic Map Time Series Models and Their Stochastic Reversals

This paper considers two types of chaotic map time series models, including the well-known tent, logistic and binary-shift maps as special cases; these are called curved tent and curved binary families. Deterministic behaviour is investigated by invariant distributions, Lyapunov exponents, and by serial dependency. Stochastic time reversal of the families is shown to produce models which have a broader range of stochastic and chaotic properties than their deterministic counterparts. The marginal distributions may have concentrations and restricted supports and are shown to be a non-standard class of invariant distribution. Dependenc y is generally weaker with the reversed stochastic models. The work gives a broad statistical account of deterministic and stochastically reversed map models, such as are emerging in random number generation, communica tion systems and cryptography