C—代数的特征矩阵的性质

本主讨论了C-代数的特征矩阵的性质,并获得了求特征矩阵的逆的一个方法。     

Monte carlo sampling approach to testing nonnested hypothesis: monte carlo results

Alternative ways of using Monte Carlo methods to implement a Cox-type test for separate families of hypotheses are considered. Monte Carlo experiments are designed to compare the finite sample performances of Pesaran and Pesaran's test, a RESET test, and two Monte Carlo hypothesis test procedures. One of the Monte Carlo tests is based on the distribution of the log-likelihood ratio and the other is based on an asymptotically pivotal statistic. The Monte Carlo results provide strong evidence that the size of the Pesaran and Pesaran test is generally incorrect, except for very large sample sizes. The RESET test has lower power than the other tests. The two Monte Carlo tests perform equally well for all sample sizes and are both clearly preferred to the Pesaran and Pesaran test, even in large samples. Since the Monte Carlo test based on the log-likelihood ratio is the simplest to calculate, we recommend using it.     

Effectiveness of the Coral Tree Family Service family inpatient unit: a longitudinal study exploring change in family functioning

Child mental health disorders represent a major burden to public health in Australia due to high prevalence rates, the widespread impact across domains, and the potential for difficulties to persist into adolescence and adulthood. Extensive evidence exists for the use of parent management training and cognitive behavioural therapy to treat difficulties experienced by children; however, a proportion of children do not benefit as expected from these treatments. The use of complementary therapeutic approaches and variations to the mode and intensity of existing intervention is warranted; family inpatient units represent a unique example of this. The aim of this study is to evaluate the effectiveness of a well-established Australian inpatient unit that admits the whole family, for children aged 12 years and younger referred with mental health, behavioural, or emotional difficulties. This study's longitudinal within-subject study design utilised routinely collected outcome data from the systemic clinical outcome and routine evaluation, 15 item (SCORE-15)—a valid and reliable measure of family functioning—from a sample of 980 participants attending the Family Residential Program. This study reported significant improvement in family functioning across all outcome variables between baseline and post-intervention, with no variables returning to pre-intervention levels at follow-up. Clinically significant changes in overall family functioning showed that 37% of participant scores moved from the clinical range at baseline to the nonclinical range post-intervention. This study represents the first empirical evaluation of the Family Residential Program, and the reported results provide compelling evidence for the program to effect improvement in family functioning for families with long-standing and severe difficulties. Poor rates of questionnaire completion following intervention frequent the literature base of family inpatient units, with low post-intervention (56%) and follow-up (12%) rates evident in this study. This study uniquely contributes to the growing evidence base of family inpatient units using rigorous evaluation methods.     

Uncertainty Quantification in Case of Imperfect Models: A Non‐Bayesian Approach

The starting point in uncertainty quantification is a stochastic model, which is fitted to a technical system in a suitable way, and prediction of uncertainty is carried out within this stochastic model. In any application, such a model will not be perfect, so any uncertainty quantification from such a model has to take into account the inadequacy of the model. In this paper, we rigorously show how the observed data of the technical system can be used to build a conservative non‐asymptotic confidence interval on quantiles related to experiments with the technical system. The construction of this confidence interval is based on concentration inequalities and order statistics. An asymptotic bound on the length of this confidence interval is presented. Here we assume that engineers use more and more of their knowledge to build models with order of errors bounded by . The results are illustrated by applying the newly proposed approach to real and simulated data.     

Valuing equity-indexed annuities with icicled barrier options

Inspired by the recent popularity of autocallable structured products, this paper intends to enhance equity-indexed annuities (EIAs) by introducing a new class of barrier options, termed icicled barrier options. The new class of options has a vertical (icicled) barrier along with the horizontal one of the ordinary barrier options, which may act as an additional knock-in or knock-out trigger. To improve the crediting method of EIAs, we propose a new EIA design, termed autocallable EIA, with payoff structure similar to the autocallable products except for the minimum guarantee, and further investigate the possibility of embedding various icicled barrier options into the plain point-to-point or the ratchet EIAs. Explicit pricing formulas for the proposed EIAs and the icicled barrier options are obtained under the Black–Scholes model. To the purpose, we derive the joint distribution of the logarithmic returns at the icicled time and the maturity, and their running maximum. As an application of the well-known reflection principle, the derivation itself is an interesting probability problem and the joint distribution plays a key role in the subsequent pricing stage. Our option pricing result can be easily transferred to EIAs or other equity-linked products. The pricing formulas for the EIAs and the options are illustrated through numerical examples.     

A bivariate distribution with Lomax and geometric margins

We develop a stochastic model describing the joint distribution of $(X,N)$, where $N$ has a geometric distribution while $X$ is the sum of $N$ dependent, heavy-tail Pareto components. Models of this form arise in many applications, ranging from hydro-climatology to finance and insurance. We present fundamental properties of this vector, including marginal and conditional distributions, moments, representations, and parameter estimation. We also include an example from finance, illustrating modeling potential of this new bivariate distribution.     

The role of macroeconomic policies in the global crisis

This paper argues that the lack of timely and decisive policy action to correct domestic and external imbalances contributed crucially to the build-up of financial excesses that led to the financial crisis and the Great Recession. We focus on 2002–2007 and perform a number of counterfactual simulations to investigate two central elements of the story, namely: (a) an over-expansionary US monetary policy and the absence of effective macro-prudential supervision, which permitted a prolonged expansion of debt-financed consumer spending and (b) the choice by China and other emerging countries to pursue an export-led growth strategy supported by pegging their currencies to the US dollar, in conjunction with sluggish domestic demand in major advanced economies characterized by low potential output growth. The results of the simulations lend support to the view that if substantial, globally coordinated demand rebalancing had been undertaken early on, the macroeconomic and financial imbalances would not have accumulated to the extent that they did and the financial turmoil might have had less drastic global consequences.     

The Freshman 15: Is it Real?

Objective: The belief that college students gain 15 Ibs during freshman year is widespread, yet the evidence for this is limited. The authors aimed to determine whether college students gain weight during freshman year. Participants: The authors studied unmarried freshmen living on-campus at a private university in the northeastern United States. Methods: The authors used an online survey to collect information about social behaviors and weight. Results: The authors observed an average weight gain of 2.7 Ibs. About half of the students gained weight, and 15% lost weight. Men gained more weight than did women. Conclusions: Freshman weight gain was 5.5 times greater than that experienced by the general population.     

The educational attainment of second-generation immigrants in The Netherland

Since the mid-1960s the Netherlands has had a positive net immigration, mainly because of man power recruitment from Turkey and Morocco and immigration from the former Dutch colony of Surinam. Immigrants havea weak labor market position, which is related to their educational leveland language skills. Children and grandchildren of immigrants are expected to have a better chance of integration into Dutch society. In this paper we investigate whether this is true with respect to the educational attainment of second-generation immigrants from Turkey, Morocco, Surinam and the Dutch Antilles.The authors thank an anonymous referee and both editors for helpful comments. Responsible editors: David Card and Christoph M. Schmidt.