Rate efficient estimation of realized Laplace transform of volatility with microstructure noise

In this paper, we consider the problem of estimating the Laplace transform of volatility within a fixed time interval [0,T] using high‐frequency sampling, where we assume that the discretized observations of the latent process are contaminated by microstructure noise. We use the pre‐averaging approach to deal with the effect of microstructure noise. Under the high‐frequency scenario, we obtain a consistent estimator whose convergence rate is , which is known as the optimal convergence rate of the estimation of integrated volatility functionals under the presence of microstructure noise. The related central limit theorem is established. The simulation studies justify the finite‐sample performance of the proposed estimator.     

论传统文化与现代化

现代化是一种历史的必然,中国传统文化必须根据现代化的要求进行改造。首先,中国文化中与封建社会相联系的部分必须抛弃;其次,中国传统文化中关于人、人性、做人的基本精神和基本原则。要根据现代化的发展进行新的诠释;再次,必须吸收西方文化中的合理成分。只有经过这样的改造,中国传统文化才能适应现代化的发展。     

关于移就的定义

以往移就的定义都脱不了传统范畴观的窠臼,往往采用单一标准界定这一范畴边缘模糊的综合性修辞手段。典型范畴理论能很好地解决这一问题。移就是将通常用于修饰、描写甲事物性状的词语移用到乙事物上去,典型的转移方式是移人类性状于外物,典型的句法形式是形名组合的定中结构。     

全球化对海外华文教育的影响

全球化将波及到人类生活的各层面,也对海外华人产生多方面的影响。随着华人活动的全球化,带动华语言文化的广泛传播,海外华文教育随之而发生演变。全球化时代必将带来华人的文化整合,华人必须在参与世界现代化、全球化的过程中,与各自国家的发展寻求平衡;同时保持民族性,使自身文化的特质进一步明确与突显。全球化也必将带来华文教育的整合。全球化将把海外华文教育带人一个新时代。     

基于多值序列模运算的混合变换域水印

提出一种基于多值序列模运算的新的变换域公开水印算法,将图像的特征序列量化成可忍受的极限能量多值水印信号随机嵌入到图像的DCT、DWT混合变换域中,通过对特征序列量化结果和提取水印的相关性进行统计,得出水印判定结果。     

Comparing mean ranks for repeated measures data

Rank tests are considered that compare t treatments in repeated measures designs. A statistic is given that contains as special cases several that have been proposed for this problem, including one that corresponds to the randomized block ANOVA statistic applied to the rank transformed data. Another statistic is proposed, having a null distribution holding under more general conditions, that is the rank transform of the Hotelling statistic for repeated measures. A statistic of this type is also given for data that are ordered categorical rather than fully rankedo Unlike the Friedman statistic, the statistics discussed in this article utilize a single ranking of the entire sample. Power calculations for an underlying normal distribution indicate that the rank transformed ANOVA test can be substantially more powerful than the Friedman test.     

First-exit times for compound poisson processes for some types of positive and negative jumps

We consider the one-sided and the two-sided first-exit problem for a compound Poisson process with linear deterministic decrease between positive and negative jumps. This process (X(t)) _t≥0 occurs as the workload process of a single-server queueing system with random workload removal, which we denote by M/G _u /G _d /1, where G _u (G _d ) stands for the distribution of the upward (downward) jumps; other applications are to cash management, dams, and several related fields. Under various conditions on G _u and G _d (assuming e.g. that one of them is hyperexponential, Erlang or Coxian), we derive the joint distribution of τ _y =inf{t≥0|X(t)?(0,y)}, y>0, and X(τ _y ) as well as that of T=inf{t≥0|X(t)≤0} and X(T). We also determine the distribution of sup{X(t)|0≤t≤T}.     

譜分析和滤波兼容的模拟系統

本文利用序列的双重性原理对移动傅立叶变换作了深入的研究.根据频率采样理论,将模拟系统的传递函数H(ω)分解为若干子系统之和,并画出其结构框图,这个系统可以用来测量模拟信号的移动离散谱,也可用作低通、带通或梳状滤波器.最后还给出实现该系统的具体方框图.     

Martingale generalizations and preservation of martingale properties

This article investigates circumstances under which seven important martingale properties are preserved by the following six martingale generalizations: quasimartingales, amarts, martingales in the limit, games fairer with time, progressive martingales, and eventual martingales.     

General location transform of the order statistics from the exponential,pareto and weibull,with application to maximum likelihood estimation

Based one some common distribution properties of the order statistics and the transformation theory by Efron(1982), we determine unified explicit general location transformations, which map the distributions of the order statistics from the Exponential, Pareto and Weibull to a standard normal distribution. This result is used to derive analytical formulas for the maximum likelihood estimators of the shape parameter of these distributions of order statistics. The presented exact method is applied to catastrophe earthquake life reinsurance.