Asymptotic calculations of functions of expected values and covariances of order statistics

Suppose m and V are respectively the vector of expected values and the covariance matrix of the order statistics of a sample of size n from a continuous distribution F. A method is presented to calculate asymptotic values of functions of m and V ^–1, for distributions F which are sufficiently regular. Values are given for the normal, logistic, and extreme-value distributions; also, for completeness, for the uniform and exponential distributions, although for these other methods must be used.     

投资偏好与“特质波动率之谜”——以中国股票市场A股为研究对象

与价格走势平平的股票相比,投资者更愿意选择过去价格变化幅度较大的股票。这种投资偏好是否是产生“特质波动率之谜”的原因呢？本文以中国股票市场A股为研究对象,首先验证中国股票市场“特质波动率之谜”的存在性。随后组合分析和Fama-MacBeth横截面回归分析发现,价格极差可以在一定程度上解释但不能完全解释“特质波动率之谜”。横截面回归结果表明,在价格极差、最大日收益率、换手率三者的共同作用下,特质波动率与股票预期收益之间的负向关系不再显著。由此,对某些特殊股票的投资偏好可能是产生“特质波动率之谜”的主要原因。     

股票定价函数形式的比较研究

价格作为买卖双方最重要的信号,是市场的灵魂。股价受系统因素与非系统因素的共同复杂作用,简单地应用线性回归模型是有失考虑的,客观上应该突破线性框架,将其视为一个非线性系统。在影响股价的因素方面,公司层面之外的如市场制度、市场环境、投资者心理、投资者喜好等都影响流通价格的形成,且作用复杂,具有很强的随机性、时变性、交互性。     

On optimal linear equivariant estimation under progressive censoring

We consider best linear equivariant estimation in a particular location-scale family based on several progressively type II censored samples. The censoring schemes that minimize the mean squared error matrix of the estimators with respect to the Löwner ordering are obtained. Uniqueness of the schemes, which minimize the smallest and the largest eigenvalue of the matrix is shown under some condition.     

Symmetry in mixture experiments

Two types of symmetry can arise when the proportions of mixture components are constrained by upper and lower bounds. These two types of symmetry are shown to be useful for blocking first-order designs, as well as for finding the centroid of the experimental region. Orthogonal blocking of first-order mixture designs provides a method of including process variables in the mixture experiment, with the mixture terms orthogonal to the process factors. Symmetric regions are used to develop spherical and rotatable response surface designs for mixtures. The central composite design and designs based on the icosahedron and the dodecahedron are given for four-component mixtures. The uniform shell designs are three-level designs when applied to mixture experiments.     

Isotonic inference for populations related to the uniform distribution

Consider the class of densities defined by Hogg and Craig (1956) and related to the uniform distribution, depending on an unknown parameter. Let there be k > 2 given populations yielding samples of unequal sizes from such densities. Now let a partial order on the set of the value defining the populations be given. we treat isotonic estimation, testing for order restrictins, and testing for homogeneity against order restrictions. The exact distrubutions of these tests turn out to be similar in structure to those for the normal distrubution case as iven in Barlow, Bartholomew, Bremner and Brunk (1972) and in Robertson and wegman (1978), in that they can be expressed as weighted chi square distributions. applications to selection and ranking methodlogy are pointed out.     

A class of correlated weighted Poisson processes

In this paper, we propose new classes of correlated Poisson processes and correlated weighted Poisson processes on the interval [0,1], which generalize the class of weighted Poisson processes defined by Balakrishnan and Kozubowski (2008), by incorporating a dependence structure between the standard uniform variables used in the construction. In this manner, we obtain another process that we refer to as correlated weighted Poisson process. Various properties of this process such as marginal and joint distributions, stationarity of the increments, moments, and the covariance function, are studied. The results are then illustrated through some examples, which include processes with length-biased Poisson, exponentially weighted Poisson, negative binomial, and COM-Poisson distributions.     

具有扩散的三种群捕食系统的持久性和周期解

讨论了一类具有扩散和比率依赖功能性反应的非自治三种群捕食者—食饵模型,运用Liapunov函数方法得到了该模型一致持久和全局渐近稳定的充分条件;并讨论了其周期系统正周期解的存在唯一性。     

In Memoriam: Martin Taitel,Francis E. McLntyre

A discrete uniform distribution is defined over the integers 1, 2, …, k. Following Tenenbein, who investigated the point estimation of k for a sample drawn without replacement, this paper considers a number of point estimators of k for sampling with replacement and presents conservative confidence sets for k for both methods of sampling.     

An Analysis of Nonlinearities,Heteroscedasticity, and Functional Form in the Market Model

Using a generalized specification of the single-index market model, this study examines the sources of statistical anomalies previously found in estimating the market model. Two generalized models are developed for juxtaposition with the traditional linear specification. The most general model is a Box–Cox model with different λ's and heteroscedastic errors. The empirical results indicate that previous findings of significant “nonlinearities” are primarily attributable to nonnormalities and unequal variance.