A circular-cone test for testing homogeneity against a simple tree order

Several methods exist for the problem of testing the equality of several treatments against the one-sided alternative that the treatments are better than the control. These methods include Dunnett's test, Bartholomew's likelihood-ratio test, the Abelson-Tukey-Schaafsma-Smid optimal-contrast test, and the multiple-contrast test of Mukerjee, Robertson, and Wright. A new test is proposed based on an approximation of the likelihood-ratio test of Bartholomew. This test involves using a circular cone in place of the alternative-hypothesis cone. The circular-cone test has excellent power characteristics similar to those of Bartholomew's test. Moreover, it has the advantages of being simpler to compute and may be used with unequal sample sizes.     

论清代科举考试内容对书院教学的影响

科举考试内容主要通过考题表现出来,清代乡试、会试考题涵盖了儒家经典、文学、史学、哲学等方面的知识。书院作为清代承担教学功能的主要机构,其教学活动受到科举考试内容的深刻影响,并通过卓有成效的教学活动为科举服务,作为清代省城书院的岳麓书院亦是如此,她因此成为湖南科举及第率最高的教育机构。     

Statistical inference for a relaxation index of stochastic dominance under density ratio model

Stochastic dominance is usually used to rank random variables by comparing their distributions, so it is widely applied in economics and finance. In actual applications, complete stochastic dominance is too demanding to meet, so relaxation indexes of stochastic dominance have attracted more attention. The π index, the biggest gap between two distributions, can be a measure of the degree of deviation from complete dominance. The traditional estimation method is to use the empirical distribution functions to estimate it. Considering the populations under comparison are generally of the same nature, we can link the populations through density ratio model under certain condition. Based on this model, we propose a new estimator and establish its statistical inference theory. Simulation results show that the proposed estimator substantially improves estimation efficiency and power of the tests and coverage probabilities satisfactorily match the confidence levels of the tests, which show the superiority of the proposed estimator. Finally we apply our method to a real example of the Chinese household incomes.     

A multivariate zero-inflated binomial model for the analysis of correlated proportional data

In this paper, a new multivariate zero-inflated binomial (MZIB) distribution is proposed to analyse the correlated proportional data with excessive zeros. The distributional properties of purposed model are studied. The Fisher scoring algorithm and EM algorithm are given for the computation of estimates of parameters in the proposed MZIB model with/without covariates. The score tests and the likelihood ratio tests are derived for assessing both the zero-inflation and the equality of multiple binomial probabilities in correlated proportional data. A limited simulation study is performed to evaluate the performance of derived EM algorithms for the estimation of parameters in the model with/without covariates and to compare the nominal levels and powers of both score tests and likelihood ratio tests. The whitefly data is used to illustrate the proposed methodologies.     

被保险人因“履行道德上义务”所致之损害——评中国台湾地区高等法院台中分院2012年度保险上易1判决

此件系争事故发生既出于被保险人之故意,则依中国台湾地区《保险法》第29条第2项但书规定,损害出于投保人或被保险人之故意者,保险人不负保险责任。然此件被保险人复主张,其接受捐肝手术之行为,乃为救助其夫,虽出于故意但属“履行道德上义务”,依中国台湾地区《保险法》第30条,保险人对于因“履行道德上义务”所致之损害应负赔偿责任。根据英美法上的“公众良心标准”,此件被保险人捐肝救夫之行为,其故意行为乃造成身体之伤害,而其欲成就之利益乃救助丈夫性命,两相权衡,其欲成就之利益显大于因故意行为而造成之损害,故保险人应负理赔之责。     

国际碳市场价格驱动力研究——以欧盟排放交易体系为例

探索碳市场价格驱动力是能源经济领域关注的焦点问题之一。基于欧盟排放交易体系（EU ETS）碳期货价格,综合运用结构性断点检验、协整技术和岭回归方法分析碳市场价格驱动因素和驱动模式。结果表明：2007年巴厘行动计划、2008年全球金融危机和2011年欧债危机,均对碳市场价格走势产生了显著影响,导致了碳市场价格发生结构性变化;碳市场价格与能源价格、工业生产、气温条件等因素间存在协整关系;自2009年10月以来,碳市场价格观测值低于均衡值,未来碳市场价格仍将倾向于贬值。     

基于条件概率积分变换的多元Copula函数选择

本文构建了基于条件概率积分变换的Copula函数选择方法,通过对条件概率积分变换下Anderson-Darling(AD)、Kolmogorov-Smirnov(KS)、Cramér-von Mises(CM)这三种统计量的比较,讨论在不同样本容量和变量维数下其对多种Copula函数的拟合效果。利用GSPTSE、INMEX.MX和NDX三大股指样本,将基于条件概率积分变换的Copula函数选择方法与核密度估计和极大似然估计选择法的效果进行系统比较。结果表明,基于条件概率积分变换的检验法可以有效解决多元Copula函数的选择问题,其拟合优度检验更精确、更稳定;核密度估计检验在大样本下比较稳定,而小样本下稳定性较差;相比之下,极大似然值检验法则不稳定。     

债券流动性与违约风险相关性溢价及实证研究

债券的流动性与违约风险都是影响债券溢价的重要因素,然而以往在违约风险最为突出的公司债券定价中却很少考虑两种风险相关性关系的影响,这与发达市场实证经验不符.在已有研究的基础上同时引入两种风险相关性,通过对Copula函数刻画的不同相关性结构情况下公司债券的收益率和风险变化分析,以及对中国短、中、长期公司债券市场数据的实证检验均发现,流动性与违约风险的相关性之间存在显著的正相关性,且对债券利差具有显著的影响和交互作用.     

Copula函数选择对投资组合压力测试的影响分析

将在刻画变量之间相关性方面具有优势的Copula函数与能够准确评估市场极端情况的压力测试两种方法相结合,通过度量市场危机发生的期望等待时间,实证检验不同Dopula函数对投资组合压力测试结果的影响.在实证过程中,首先选择上证A股、深成A股两个市场指数作为研究样本,构造能反映单变量极值的广义帕累托边际分布,然后采用不同形式的Copula函数刻画变量之间的相关性结构,利用压力测试的方法考察Copula函数的选择对刻画投资组合风险的影响.实证检验表明,在度量两个市场同时出现危机情况的等待时间时,拟合效果较好与拟合效果较差的两种Copula函数对风险的估计存在显著的差别.这一结论表明,在压力测试的应用中引入Copula函数为组合投资风险管理指出了一个新的方向,但仍需要在描述相关性过程中慎重考虑Copula函数的选择.     

股市波动率的短期预测模型和预测精度评价

基于幂转换以及不设定扰动项的具体相关结构和分布形式,构建了半参数的短期预测模型来预测中国股市的波动率.模型采用基于极值估计量的两阶段估计法进行估计,估计方法的小样本性质表现良好.此外,还通过具有Bootstrap特性的SPA检验实证比较了新模型与其他6种预测模型的预测精度.实证结果表明,在各种损失函数下,半参数短期预测...