Monitoring means and covariances of multivariate non linear time series with heavy tails

In this paper, the focus is on sequential analysis of multivariate financial time series with heavy tails. The mean vector and the covariance matrix of multivariate non linear models are simultaneously monitored by modifying conventional control charts to identify structural changes in the data. The considered target process is a constant conditional correlation model (cf. Bollerslev, 1990 Bollerslev, T. (1990). Modeling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model. Rev. Econ. Stat. 72:498–505.[Crossref], [Web of Science ®] , [Google Scholar]), an extended constant conditional correlation model (cf. He and Teräsvirta, 2004 He, C., Teräsvirta, T. (2004). An extended constant conditional correlation GARCH model and its fourth-moment structure. Economet. Theory 20:904–926.[Crossref], [Web of Science ®] , [Google Scholar]), a dynamic conditional correlation model (cf. Engle, 2002 Engle, R.F. (2002). Dynamic conditional correlation: A simple class of multivariate GARCH models. J. Bus. Econ. Stat. 20(3):339–350.[Taylor &; Francis Online], [Web of Science ®] , [Google Scholar]), or a generalized dynamic conditional correlation model (cf. Capiello et al., 2006 Capiello, L., Engle, R., Sheppard, K. (2006). Asymmetric correlations in the dynamics of global equity and bond returns. J. Financial Economet. 4(4):537–572.[Crossref] , [Google Scholar]). For statistical surveillance we use control charts based on residuals. Further, the procedures are constructed for t-distribution. The detection speed of these charts is compared via Monte Carlo simulation. In the empirical study, the procedure with the best performance is applied to log-returns of the stock market indices FTSE and CAC.     

Exponentially weighted moving average charts for correlated multivariate Poisson processes

In this article, we study exponentially weighted moving average (EWMA) control schemes to monitor the multivariate Poisson distribution with a general covariance structure, so that the practitioner can simultaneously monitor multiple correlated attribute processes more effectively. The statistical performance of the charts is assessed in terms of the run length properties and compared against other mainstream attribute control schemes. The application of the proposed methods to real-life and simulated datasets is demonstrated.     

Parameter estimation for multivariate diffusion processes with the time inhomogeneously positive semidefinite diffusion matrix

Statistical inference for the diffusion coefficients of multivariate diffusion processes has been well established in recent years; however, it is not the case for the drift coefficients. Furthermore, most existing estimation methods for the drift coefficients are proposed under the assumption that the diffusion matrix is positive definite and time homogeneous. In this article, we put forward two estimation approaches for estimating the drift coefficients of the multivariate diffusion models with the time inhomogeneously positive semidefinite diffusion matrix. They are maximum likelihood estimation methods based on both the martingale representation theorem and conditional characteristic functions and the generalized method of moments based on conditional characteristic functions, respectively. Consistency and asymptotic normality of the generalized method of moments estimation are also proved in this article. Simulation results demonstrate that these methods work well.     

Testing monotonic equilibrium residual entropy of N-State Random Evolution

In this study, we propose an information measure of uncertainty associated with the random equilibrium residual lifetime of a system driven by N-State Random Evolution. A U-statistic test driven by a moment inequality is proposed for testing the hypothesis that the uncertainty of equilibrium remaining life of a system remains unchanged (when system is in the steady state) against the alternative situation when system’s equilibrium residual life has increasing uncertainty over time (i.e., the life distribution has Increasing Equilibrium Residual Entropy property). Some numerical results such as tabulated critical values and empirical power of the proposed test statistic are presented as well.     

Contextual influence on evaluation capacity building in a rapidly changing environment under new governmental policies

Evaluation capacity building (ECB) is a context-dependent process. Contextual factors affecting ECB implementation have been explored theoretically and practically, but their influence within a changing environment has seldom been discussed. This study examined essential context-sensitive parameters, particularly those involved in implementing new governmental policies regarding higher education. Taiwan was used as a case study for exploring the effect of contextual change on ECB attributes from the perspectives of training receivers and providers. Surveys and interviews were used for data collection and importance–performance analysis was applied for data analysis. Four prominent features were identified. First, the ECB attributes perceived as important by receivers were performed adequately, whereas those perceived as less important were performed less well. Second, under new policies, training provider designed training covering a wide range of ECB, whereas receivers focused on those can be directly applied in evaluation process. Third, in a small education system such as Taiwan’s, the complexity of peer review is high and ethical issues become important. Fourth, because the evaluation structure has been changed from single- to dual-track, receivers expect more training for institution staff, whereas providers insist on hierarchical training. Aligning ECB supply and needs is paramount for adaptation to new policies.     

制度变迁过程的历史沉淀成本效应分析

在新古典完全竞争市场理论——历史沉淀成本决策无关性的假设前提背景下,从未来不确定性、信息不完全和财务预算约束等角度考察历史沉淀成本对制度变迁过程的影响,为制度变迁过程确立一个新的分析视角,从而弥补了原有研究的不足。在现实经济生活中,市场不完全是常态,有限理性、交易成本、信息不完全和环境不确定性等因素普遍存在,历史沉淀成本很容易发挥作用,从而表明:未来越不确定,信息越不完全,资源越稀缺,导致财务预算越硬,历史沉淀成本效应越大,制度变迁过程越困难;反之越容易。由此可发现,在放松完全竞争市场的假设前提条件下,当事人的决策不可能不受到历史沉淀成本的影响。因此,只有当事人对历史沉淀成本的约束条件作出正确的理性反应,才能使其决策更加贴近真实世界,这对于全面认识制度变迁过程具有重要的理论创新意义和现实指导价值。     

过程性评价的哲学诠释

过程性评价是在教学过程中对学生学习的各类信息加以即时、动态地解释,借以优化学习过程、调整教学策略从而实现教学过程价值增值的活动。教学价值的内在性、生成性决定了过程性评价不但要揭示内在于学习过程中的价值,而且要生成学习过程的新价值。顺应教学活动的过程性特征,过程性评价在解释复杂学习过程的基础上,要即时地揭示当下学习情境与学生未来发展的关系,指引学生面向未来的发展方向。过程性评价在复杂的教学情境中对学生知识建构与转知成智的学习过程进行全面分析,能够起到促进个体生命完满建构的作用。     

唯物史观与《资本论》的创作过程

《资本论》的创作过程是马克思从政治经济学的研究开始,经历了政治经济学研究对象和方法的确定、理论体系的构建,最后明确为写作《资本论》“四卷结构”的过程.马克思对政治经济学研究的过程,是马克思创立唯物史观并论证其科学性的过程.唯物史观的创立及运用,使马克思在对政治经济学理论体系的结构研究中,逐步明确了《资本论》的研究任务,《资本论》“四卷结构”的形成是政治经济学理论体系的结构整体拓展的重要方面.唯物史观的创立及运用,也使马克思在《资本论》的创作中,逐步明确了研究对象,并把对社会生产关系的分析放到了社会矛盾运动的整体中.