On Statistical Models for d-Dimensional Stable Processes, and Some Generalizations

In statistical models where jumps of a d -dimensional stable process ( S _t ) _{t ≥0} are observed in windows with certain asymptotic properties, and where parameters appearing in the Levy measure of S are to be estimated, we have asymptotically efficient estimators. If Poisson random measure μ on (0, ∞) × ( R ^d \{0}) with intensity dt Λ( dx ) replaces the jump measure of S , where Λ is a ε-finite measure on R ^d \{0} admitting tail parameters in a suitable sense, we specify a notion of neighbourhood which allows to treat efficiency in statistical experiments of the second type by switching to accompanying sequences of the stable process type considered first.     

力量不对等供应链下游寡头行为演化机理

以常见的垄断竞争的供应商和寡头竞争的强势零售商组成的供应链为研究对象,应用演化博弈论中双种群演化模型探讨供应商讨价还价能力对强势零售商使用买方势力行为的影响,得到强势零售商对供应商交易行为的演化稳定策略(ESS)。研究表明,供应商的讨价还价能力和零售商转嫁成本策略导致的交易成本和风险成本是影响ESS的重要因素,供应商较高的讨价还价能力及转嫁成本策略导致的较高的交易成本和风险成本,将有助于消除零售商滥用买方势力的行为。     

Stock Returns Predictability in Transition Economies

I investigate the possible existence of predictable components in Croatia, Hungary, Latvia, Russia, Slovakia, and Ukraine excess returns over the relevant risk-free rates using non-Gaussian state space or unobservable-component models with stable distributions and volatility persistence. The results show that most stock markets in these countries encompass volatility persistence. Moreover, these markets have a stable characteristic exponent α ranging from 1.607 for Hungary to 1.749 for Latvia showing heavy tails. However, for Russia the characteristic exponent α of 1.999 is close to the value pertaining to normal behavior. Our findings reveal that even after accounting for nonnormality and volatility persistence, a predictable signal in return exists in Croatia, Hungary, Latvia, Slovakia, and Ukraine at the 5 percent level of significance using critical values from Monte Carlo simulations. The efficient estimated excess returns range from 0.003 (0.036) percent per month (annum) for Ukraine to 0.094 (1.128) percent per month (annum) for Russia.     

自由能判据的应用及讨论

由自由能判据推导出了均匀系统的平衡条件和平衡的稳定性条件,并应用自由能判据讨论范德瓦尔斯等温气液相变．     

Monitoring the mean of autocorrelated observations with one generally weighted moving average control chart

Traditionally, using a control chart to monitor a process assumes that process observations are normally and independently distributed. In fact, for many processes, products are either connected or autocorrelated and, consequently, obtained observations are autocorrelative rather than independent. In this scenario, applying an independence assumption instead of autocorrelation for process monitoring is unsuitable. This study examines a generally weighted moving average (GWMA) with a time-varying control chart for monitoring the mean of a process based on autocorrelated observations from a first-order autoregressive process (AR(1)) with random error. Simulation is utilized to evaluate the average run length (ARL) of exponentially weighted moving average (EWMA) and GWMA control charts. Numerous comparisons of ARLs indicate that the GWMA control chart requires less time to detect various shifts at low levels of autocorrelation than those at high levels of autocorrelation. The GWMA control chart is more sensitive than the EWMA control chart for detecting small shifts in a process mean.     

Ewma control chart under linear drift

An accurate numerical procedure is presented for computing the average run length (ARL) of an exponentially weighted moving average (EWMA) chart under a linear drift in the process mean. The performance of an EWMA chart is then evaluated under a linear drift in the mean. In processes where gradual linear drifts rather than abrupt changes in the mean model the shifts in the mean more accurately, an evaluation of the performance of an EWMA chart under a linear drift is more appropriate. Tables of optimal smoothing parameters and control chart limits are given which make the design of EWMA charts easy.     

Inference for Continuous Semimartingales Observed at High Frequency

The econometric literature of high frequency data often relies on moment estimators which are derived from assuming local constancy of volatility and related quantities. We here study this local‐constancy approximation as a general approach to estimation in such data. We show that the technique yields asymptotic properties (consistency, normality) that are correct subject to an ex post adjustment involving asymptotic likelihood ratios. These adjustments are derived and documented. Several examples of estimation are provided: powers of volatility, leverage effect, and integrated betas. The first order approximations based on local constancy can be over the period of one observation or over blocks of successive observations. It has the advantage of gaining in transparency in defining and analyzing estimators. The theory relies heavily on the interplay between stable convergence and measure change, and on asymptotic expansions for martingales.     

Estimation in the Positive Stable Shared Frailty Cox Proportional Hazards Model

Shared frailty models are of interest when one has clustered survival data and when focus is on comparing the lifetimes within clusters and further on estimating the correlation between lifetimes from the same cluster. It is well known that the positive stable model should be preferred to the gamma model in situations where the correlated survival data show a decreasing association with time. In this paper, we devise a likelihood based estimation procedure for the positive stable shared frailty Cox model, which is expected to obtain high efficiency. The proposed estimator is provided with large sample properties and also a consistent estimator of standard errors is given. Simulation studies show that the estimation procedure is appropriate for practical use, and that it is much more efficient than a recently suggested procedure. The suggested methodology is applied to a dataset concerning time to blindness for patients with diabetic retinopathy.     

用稳恒电场模拟静电场的理论依据

通过对稳恒电场及稳恒电流场特性的分析，探讨了利用稳恒电场模拟静电场的理论依据；通过对特例和一般带电情况的讨论．指出成功实现模拟所具备的条件及其应用的局限性．     

Limit theory for autoregressive-parameter estimates in an infinite-variance random walk

We consider the asymptotic behaviour of least-squares and M-estimates of the autoregressive parameter when the process is an infinite-variance random walk. It is shown that certain M -estimates converge faster than least-squares estimates and that they are also asymptotically normal.