Non-Gaussian Ornstein–Uhlenbeck-based models and some of their uses in financial economics

Non-Gaussian processes of Ornstein–Uhlenbeck (OU) type offer the possibility of capturing important distributional deviations from Gaussianity and for flexible modelling of dependence structures. This paper develops this potential, drawing on and extending powerful results from probability theory for applications in statistical analysis. Their power is illustrated by a sustained application of OU processes within the context of finance and econometrics. We construct continuous time stochastic volatility models for financial assets where the volatility processes are superpositions of positive OU processes, and we study these models in relation to financial data and theory.     

On a bayesian approach for the shiftpoint problem

Using a direct resampling process, a Bayesian approach is developed for the analysis of the shiftpoint problem. In many problems it is straight forward to isolate the marginal posterior distribution of the shift-point parameter and the conditional distribution of some of the parameters given the shift point and the other remaining parameters. When this is possible, a direct sampling approach is easily implemented whereby standard random number generators can be used to generate samples from the joint posterior distribution of aii the parameters in the model. This technique is illustrated with examples involving one shift for Poisson processes and regression models.     

Nonparametric bayes estimation of the survival function from a record of failures and follow-ups

In some observational studies, we have random censoring model. However, the data available may be partially observable censored data consisting of the observed failure times and only those nonfailure times which are subject to follow-up. Suzuki (1985) discussed the problem of nonparametric estimation of the survival function from such partially observable censored data. In this article, we derive a nonparametric Bayes estimator of the survival function for such data of failures and follow-ups under a Dirichlet process prior and squared error loss. The limiting properties such as the mean square consistency, weak convergence and strong consistency of the Bayes estimator are studied. Finally, the procedures developed are illustrated by means of an example.     

Of what use are tests of significance and tests of hypothesis

This paper discusses the role of significance testing, in contrast to hypothesis testing. It takes the view that the two processes must be differentiated because they are in fact different even though they possess some common mathematical features. A supporting view of significance testing is presented. Difficulties and obscurities are discussed.     

A semiparametric maximum likelihood ratio test for the change point in copula models

In the present paper, a semiparametric maximum-likelihood-type test statistic is proposed and proved to have the same limit null distribution as the classical parametric likelihood one. Under some mild conditions, the limiting law of the proposed test statistic, suitably normalized and centralized, is shown to be double exponential, under the null hypothesis of no change in the parameter of copula models. We also discuss the Gaussian-type approximations for the semiparametric likelihood ratio. The asymptotic distribution of the proposed statistic under specified alternatives is shown to be normal, and an approximation to the power function is given. Simulation results are provided to illustrate the finite sample performance of the proposed statistical tests based on the double exponential and Gaussian-type approximations.     

Constructing press releases, constructing quotations: A case study

This paper reports on empirical research into how press releases are being constructed. It starts from previous discourse-analytic work which has pointed to the 'preformulated' nature of press releases: in particular, it has been shown that through a number of metapragmatic features press releases can easily be copied by journalists in their own news reporting. In this paper we set out to subject one of these features, viz. pseudo-quotations (or so-called constructed direct speech), to a further empirical study, in which we scrutinize the process of constructing the press releases. We propose a detailed analysis of this process by combining ethnographic fieldwork with some of the methodology of cognitive psychology, including think-aloud protocols and on-line registration of the writing process. On the basis of this case study it is concluded that the design and functions of quotations in press releases are more complex than has been assumed so far. In addition, our preliminary results indicate that the combination of methods that we propose in this paper provides a sound starting point for both quantitative and qualitative analysis, allowing for a detailed analysis and interpretation of how press releases are being constructed.     

商南蛮子话语音研究

陕西商南很多人是从安徽安庆移民来的,说的是蛮子话。参照相关方言材料和历史文献资料,考证了商南蛮子话说法的由来,描写了蛮子话的语音特点,并结合人口来源在方言地图上将商南蛮子话归到其祖语赣语怀岳片中去。     

Extremes of Markov chains with tail switching potential

Summary.  A recent advance in the utility of extreme value techniques has been the characteri- zation of the extremal behaviour of Markov chains. This has enabled the application of extreme value models to series whose temporal dependence is Markovian, subject to a limitation that prevents switching between extremely high and extremely low levels. For many applications this is sufficient, but for others, most notably in the field of finance, it is common to find series in which successive values switch between high and low levels. We term such series Markov chains with tail switching potential, and the scope of this paper is to generalize the previous theory to enable the characterization of the extremal properties of series displaying this type of behaviour. In addition to theoretical developments, a modelling procedure is proposed. A simulation study is made to assess the utility of the model in inferring the extremal dependence structure of autoregressive conditional heteroscedastic processes, which fall within the tail switching Markov family, and generalized autoregressive conditional heteroscedastic processes which do not, being non-Markov in general. Finally, the procedure is applied to model extremal aspects of a financial index extracted from the New York Stock Exchange compendium.     

Pathways between Parent–Child Interactions and Peer Acceptance: The Role of Children's Social Information Processing

This study examined the links among parents' interaction styles, their children's social information processing, and peer acceptance. Fourth‐grade children (N = 159) and their parents were observed during family discussions. One year later peer acceptance and children's information processing choices (goals, strategies, and attributions) in response to social dilemmas involving their parents and peers were assessed. Fathers' interaction styles with their children predicted both girls' and boys' information processing in regard to their fathers and peers, which, in turn, were related to peer acceptance. Mothers' interactive styles with their children predicted children's social information processing in regard to parents and peers and peer acceptance in similar ways, but only for girls. This study provided evidence that parent–child interaction is linked to children's information processing concerning their relationships with parents and peers and in turn with children being liked by peers. The implications of a social information processing approach for understanding family–peer links are emphasized.     

Alternative posterior consistency results in nonparametric binary regression using Gaussian process priors

We establish consistency of posterior distribution when a Gaussian process prior is used as a prior distribution for the unknown binary regression function. Specifically, we take the work of Ghosal and Roy [2006. Posterior consistency of Gaussian process prior for nonparametric binary regression. Ann. Statist. 34, 2413–2429] as our starting point, and then weaken their assumptions on the smoothness of the Gaussian process kernel while retaining a stronger yet applicable condition about design points. Furthermore, we extend their results to multi-dimensional covariates under a weaker smoothness condition on the Gaussian process. Finally, we study the extent to which posterior consistency can be achieved under a general model where, when additional hyperparameters in the covariance function of a Gaussian process are involved.