The estimation for Lévy processes in high frequency data

In this article, a generalized Lévy model is proposed and its parameters are estimated in high-frequency data settings. An infinitesimal generator of Lévy processes is used to study the asymptotic properties of the drift and volatility estimators. They are consistent asymptotically and are independent of other parameters making them better than those in Chen et al. (2010 Chen, S. X., Delaigle, A., Hall, P. (2010). Nonparametric estimation for a class of Lévy processes. Journal of Econometrics 157:257–271.[Crossref], [Web of Science ®] , [Google Scholar]). The estimators proposed here also have fast convergence rates and are simple to implement.     

“微笑曲线”视角下中国客车制造行业竞争战略及其优化

为了深入研究 “微笑曲线”在中国客车制造行业的应用价值,从客车制造行业价值链的各个环节入手,通过对产业链上、中、下游各环节附加值的分析,从理论知识层面制定出中国客车制造行业竞争战略优化方案,并且在解读“微笑曲线”模型以及对现阶段中国客车制造企业竞争策略剖析的基础上,进一步提出中国客车制造行业“微笑曲线”。研究表明,中国客车制造行业通过自主创新和技术引进构建企业核心竞争力,在采取外包中游制造业的同时,拓展下游品牌销售,可以确保持续性的附加价值和永续性的经营价值,以实现中国客车制造行业的转型和升级。     

Parametric Inference in Stationary Time Series Models with Dependent Errors

This article is concerned with inference for the parameter vector in stationary time series models based on the frequency domain maximum likelihood estimator. The traditional method consistently estimates the asymptotic covariance matrix of the parameter estimator and usually assumes the independence of the innovation process. For dependent innovations, the asymptotic covariance matrix of the estimator depends on the fourth‐order cumulants of the unobserved innovation process, a consistent estimation of which is a difficult task. In this article, we propose a novel self‐normalization‐based approach to constructing a confidence region for the parameter vector in such models. The proposed procedure involves no smoothing parameter, and is widely applicable to a large class of long/short memory time series models with weakly dependent innovations. In simulation studies, we demonstrate favourable finite sample performance of our method in comparison with the traditional method and a residual block bootstrap approach.     

Creating catalogues of two-level nonregular fractional factorial designs based on the criteria of generalized aberration

We consider the problem of constructing good two-level nonregular fractional factorial designs. The criteria of minimum G and G₂ aberration are used to rank designs. A general design structure is utilized to provide a solution to this practical, yet challenging, problem. With the help of this design structure, we develop an efficient algorithm for obtaining a collection of good designs based on the aforementioned two criteria. Finally, we present some results for designs of 32 and 40 runs obtained from applying this algorithmic approach.     

陕西省二氧化碳库兹涅茨曲线的形状、拐点与影响因素

以中国首批低碳试点地区——陕西省为研究对象,利用1978—2010年的时间序列数据,对人均二氧化碳排放的库兹涅茨曲线进行了经验估计,发现曲线形状为N型,两个拐点分别在人均GDP为3 370.31元和4 070.06元处。对影响人均二氧化碳排放的因素进行研究,利用迪式分解法进行短期分析,发现经济收入和能源消耗强度对人均二氧化碳的排放影响较大,而能源结构的影响很小;利用协整方程进行长期分析,结果表明,能源消耗强度、能源结构和第二产业结构对人均二氧化碳排放量的影响作用都比较大,其中最大的是能源结构。     

陕西能源资源产业指标对资源税调整的响应态势拟合

对所筛选出的能源资源的有关指标进行相关性分析,辨识出与资源税相关性较高的指标,进而对其进行Granger因果检验.甄别出与资源税因果关系可能性较大的变量,基于Eviews平台,通过实验进行线性曲线拟合,对这些因变量构造拟合方程,并对拟合结果进行检验.研究显示,分别构造全省煤炭采选业新增固定资产投资、规模以上煤炭采选业工业总产值、规模以上煤炭采选业工业销售产值、石油消费量、单位GDP能源消耗五个拟合方程能够较好地模拟对资源税变动的响应关系,进而为预判资源税调整后可能对能源资源产业发展所带来的变化和为采取相应的对策提供定量化的决策依据.     

非寿险费率厘定的索赔频率预测模型及其应用

在非寿险分类费率厘定中,泊松回归模型是最常使用的索赔频率预测模型,但实际的索赔频率数据往往存在过离散特征,使泊松回归模型的结果缺乏可靠性.因此,讨论处理过离散问题的各种回归模型,包括负二项回归模型、泊松-逆高斯回归模型、泊松-对数正态回归模型、广义泊松回归模型、双泊松回归模型、混合负二项回归模型、混合二项回归模型、Delaporte回归模型和Sichel回归模型,并对其进行系统比较研究认为:这些模型都可以看做是对泊松回归模型的推广,可以用于处理各种不同过离散程度的索赔频率数据,从而改善费率厘定的效果;同时应用一组实际的汽车保险数据,讨论这些模型的具体应用.     

基于三点分段的一类三角样条曲线的扩展

基于文献[5]中三点分段的一次和二次三角基函数的扩展,首先给出了带参数的二次和三次三角调配函数,当λi=0时,二次和三次三角基函数分别退化为文献[5]中的一次和二次三角基函数,然后建立了一种带局部调节参数λi的分段三角样条曲线。通过调整参数λi,能够使得当参数λi越大时,分段三角样条曲线越逼近控制多边形。对于曲线的连续性也做了相关的讨论,二次最高可达G2连续,三次最高可达G4连续。最后给出了两个数值例子,分别利用文中给出的二次和三次调配函数构造了达到G1连续和G3连续的两条曲线。     

移动荷载作用下接触网的动力响应

研究接触网在移动荷载作用下的动力响应。通过接触网的模型建立其运动微分方程,由于接触网的弹性系数在每跨内呈现函数的形式变化,经过适当变换后可以得出一个二阶变系数微分方程,采用WKB法对其进行求解。再通过周期性条件和悬挂点处力的平衡条件得出接触网的模态函数和频率方程。最后采用模态叠加法对接触线的运动微分方程进行求解,最终得出了接触线在受电弓作用下的动力响应。     

Urban African American Pre-Adolescent Social Problem Solving Skills

Summary

The results of two studies focusing on the social problem solving skills of African American preadolescent youth are detailed. In the first study data from a sample of 150 African American children, ages 9 to 11 years, was used to examine the association between type of youth social problem solving approaches applied to hypothetical risk situations and time spent in unsupervised peer situations of sexual possibility. Findings revealed that children with more exposure to sexual possibility situations generated a wider range of social problem solving strategies, but these approaches tended to be unrealistic and ambiguous. Further, there was a positive association between the amount of time spent unsupervised and youth difficulty formulating a definitive response to hypothetical peer pressure situations. Children with less exposure to sexual possibility situations tended to be more aggressive when approaching situations of peer pressure. In the second study, data from a non-overlapping sample of 164 urban, African American adult caregivers and their 9 to 11 year old children was examined in order to explore the associations between child gender, family-level factors including family communication frequency and intensity, time spent in situations of sexual possibility, and youth social problem solving approaches. Results revealed that children were frequently using constructive problem solving and help seeking behaviors when confronted by difficult social situations and that there was a significant relationship between the frequency and intensity of parent child communication and youth help seeking social problem solving approaches. Implications for research and family-based interventions are highlighted.