Testing the equality of two independent regression models

In some situations, for example in agriculture, biology, hydrology, and psychology, researchers wish to determine whether the relationship between response variable and predictor variables differs in two populations. In other words, we are interested in comparing two regression models for two independent datasets. In this work, we will use the parametric and nonparametric methods to establish hypothesis testing for the equality of two independent regression models. Then the simulation study is provided to investigate the performance of the proposed method.     

Finding the maximum efficiency for multistage ranked-set sampling

Multistage ranked-set sampling (MRSS) is a generalization of ranked-set sampling in which multiple stages of ranking are used. It is known that for a fixed distribution under perfect rankings, each additional stage provides a gain in efficiency when estimating the population mean. However, the maximum possible efficiency for the MRSS sample mean relative to the simple random sampling sample mean has not previously been determined. In this paper, we provide a method for computing this maximum possible efficiency under perfect rankings for any choice of the set size and the number of stages. The maximum efficiency tends to infinity as the number of stages increases, and, for large numbers of stages, the efficiency-maximizing distributions are symmetric multi-modal distributions where the number of modes matches the set size. The results in this paper correct earlier assertions in the literature that the maximum efficiency is bounded and that it is achieved when the distribution is uniform.     

Exchange option pricing in jump-diffusion models based on esscher transform

In the real world, we introduce a dynamic model about the risky asset which is governed by Brownian motion, stationary compound Poisson process and its compensation process. By choosing Esscher transform parameters, we obtain a risk-neural measure Q under which the discounted value of the risky underlying asset is a martingale. Then, we give the pricing formulas of Exchange option by change of numeraire. At last, we analyze the option pricing formula and provide numerical illustrations by introducing BBY stock and SBUX stock.     

Two multivariate generalized beta families

A multivariate generalized beta distribution is introduced that extends the univariate generalized beta distribution and includes many multivariate distributions, such as the multivariate beta of the first and second kind, the generalized gamma, and the Burr and Dirichlet distributions as special and limiting cases. These interrelationships can be illustrated using a distributional family tree. The corresponding marginal distributions are univariate generalized beta distributions and their special cases. Selected expressions for the moments are reported, and an application to the joint distribution of income and wealth is presented. A simple transformation of the multivariate generalized beta distribution leads to what will be referred to as a multivariate exponential generalized beta distribution, which includes a multivariate form of the logistics and Burr distributions as special cases.     

Measures of inaccuracy in record values

In this paper , we consider a measure of inaccuracy between distributions of the nth record value and parent random variable. We also propose the measure of residual inaccuracy of record values and study characterization results of dynamic cumulative residual inaccuracy measure. We discuss some properties of the proposed measures.     

Micro-Level Estimation of Optimal Consumption Choice With Intertemporal Nonseparability in Preferences and Measurement Errors

This article investigates the presence of habit formation in household consumption, using data from the Panel Study of Income Dynamics. We develop an econometric model of internal habit formation of the multiplicative specification. The restrictions of the model allow for classical measurement errors in consumption without parametric assumptions on the distribution of measurement errors. We estimate the parameters by nonlinear generalized method of moments and find that habit formation is an important determinant of household food-consumption patterns. Using the parameter estimates, we develop bounds for the expectation of the implied heterogenous intertemporal elasticity of substitution and relative risk aversion that account for measurement errors, and compute confidence intervals for these bounds. Supplementary materials for this article are available online.     

利率期限结构预测、国债定价及国债组合管理

国债利率期限结构是固定收益产品定价和投资组合管理的核心问题。本文利用NARX（Nonlinear AutoRegressive network with eXogenous inputs）神经网络模型研究利率曲线的运动机制,拟合并预测利率期限结构,在此基础上利用Hermite插值方法构造平滑的利率曲线并计算得到国债理论价格及其预测值。实证分析发现我国国债定价效率不足,交易价格显著偏离理论价格,但国债的理论价格的实际值和预测值均对交易价格具有显著的预测能力。基于上述发现本文提出了主动国债组合管理策略,通过预测的期限结构得到国债理论价格的预测值构建的多空对冲组合和单边多头组合均能获得显著的收益。本文的研究丰富了利率期限结构的研究方法,提出的主动国债组合管理策略对通过交易提高国债定价有效性具有参考价值。