Wavelet-based estimators of multivariable mean regression function with long-memory data

Wavelet analysis has been proved to be a powerful statistical technique in the non parametric regression. In this paper, we propose non linear wavelet-based estimators for multivariable mean regression function with long-memory data. We also provide an asymptotic expansion for the mean integrated squared error (MISE) of the function estimators. This MISE expansion still works even when the underlying mean regression function is only piecewise smooth. This paper extends the corresponding results in the literature for single variable to multivariable case.     

白朗宁夫人十四行诗赏析

十九世纪英国著名诗人白朗宁夫人的十四行诗,有其独到的魅力。它连绵不断,委婉缠绵;起伏跌宕,盘旋曲折;并且体现了女诗人“小声柔气”,贞静平和之特点。无论其情感内容,还是形式都为我们展示了一个优美的精神世界,对于我们抵御现代文明生命物化,提高精神有着重要意义。     

Estimation of conditional quantiles by a new smoothing approximation of asymmetric loss functions

In this paper, nonparametric estimation of conditional quantiles of a nonlinear time series model is formulated as a nonsmooth optimization problem involving an asymmetric loss function. This asymmetric loss function is nonsmooth and is of the same structure as the so-called lopsided absolute value function. Using an effective smoothing approximation method introduced for this lopsided absolute value function, we obtain a sequence of approximate smooth optimization problems. Some important convergence properties of the approximation are established. Each of these smooth approximate optimization problems is solved by an optimization algorithm based on a sequential quadratic programming approximation with active set strategy. Within the framework of locally linear conditional quantiles, the proposed approach is compared with three other approaches, namely, an approach proposed by Yao and Tong (1996), the Iteratively Reweighted Least Squares method and the Interior-Point method, through some empirical numerical studies using simulated data and the classic lynx pelt series. In particular, the empirical performance of the proposed approach is almost identical with that of the Interior-Point method, both methods being slightly better than the Iteratively Reweighted Least Squares method. The Yao-Tong approach is comparable with the other methods in the ideal cases for the Yao-Tong method, but otherwise it is outperformed by other approaches. An important merit of the proposed approach is that it is conceptually simple and can be readily applied to parametrically nonlinear conditional quantile estimation.     

张耒文学主张探微

张耒之“理”的内涵比较宽泛,在不同地方含义有别。基于“理”、“诚”的基本观点,张耒主张诗文要表达真实的思想感情,不造作,不虚假,不为文造情,推崇自然畅达的文风。     

Markov switch smooth transition HYGARCH model: Stability and estimation

Abstract

HYGARCH model is basically used to model long-range dependence in volatility. We propose Markov switch smooth-transition HYGARCH model, where the volatility in each state is a time-dependent convex combination of GARCH and FIGARCH. This model provides a flexible structure to capture different levels of volatilities and also short and long memory effects. The necessary and sufficient condition for the asymptotic stability is derived. Forecast of conditional variance is studied by using all past information through a parsimonious way. Bayesian estimations based on Gibbs sampling are provided. A simulation study has been given to evaluate the estimations and model stability. The competitive performance of the proposed model is shown by comparing it with the HYGARCH and smooth-transition HYGARCH models for some period of the S&P500 and Dow Jones industrial average indices based on volatility and value-at-risk forecasts.     

Joint models for a GLM-type longitudinal response and a time-to-event with smooth random effects

ABSTRACT

Longitudinal studies often entail non-Gaussian primary responses. When dropout occurs, potential non-ignorability of the missingness process may occur, and a joint model for the primary response and a time-to-event may represent an appealing tool to account for dependence between the two processes. As an extension to the GLMJM, recently proposed, and based on Gaussian latent effects, we assume that the random effects follow a smooth, P-spline based density. To estimate model parameters, we adopt a two-step conditional Newton–Raphson algorithm. Since the maximization of the penalized log-likelihood requires numerical integration over the random effect, which is often cumbersome, we opt for a pseudo-adaptive Gaussian quadrature rule to approximate the model likelihood. We discuss the proposed model by analyzing an original dataset on dilated cardiomyopathies and through a simulation study.     

通胀预期与央行货币政策有效性

不同通胀预期状态下货币政策有效性有何差异？本文试图采用Logistic平滑转换结构向量自回归模型来回答上述问题。我们以央行未来物价预期指数来度量通胀预期,基本结论如下:(1)短期来看,在低通胀预期状态下,货币政策对促进经济增长和增加就业相对更有效;(2)而对于通货膨胀影响方面,在高通胀预期状态下,货币政策对物价的冲击相对更快显现出来,而在低通胀预期状态时,货币冲击对物价水平的影响存在通货膨胀惊吓现象,即初期表现为低通胀,甚至通货紧缩,然后显现正向效应,在大约11期之后正向效应达到最大,且对物价影响力度往往大于高通胀预期状态下的货币政策冲击效应。     

论新亚欧大陆桥无阻碍运行中的机制建设

结合新亚欧大陆桥在开通以来的运营实践中暴露出来的涉及政策、法规等软件方面和涉及硬件投入方面许多问题,认为实现新亚欧大陆桥无阻碍运行,是目前新亚欧大陆桥建设中一个刻不容缓的问题。在系统研究的基础上,提出要从根本上解决大陆桥运输中存在的问题,必须从强化新亚欧大陆桥国内段运输通道的协调力度入手,尽快建立新亚欧大陆桥运输国际协调机制;设立新亚欧大陆桥国际论坛,充分挖掘和利用现有资源,完善新亚欧大陆桥国内、国际沟通机制;共建“新亚欧大陆桥国际信息中心”,完善新亚欧大陆桥反馈机制;强化新亚欧大陆桥区域管理机构,完善新亚欧大陆桥区域管理机制。     

生猪产业链价格的区制转移与非线性动态调整行为研究

准确刻画生猪产业链价格的动态行为特征是预测生猪市场价格变化趋势的基础,也是政府制定切实可行的生猪价格稳定政策的重要依据。本文以1994年6月至2018年6月中国生猪价格和猪肉价格月度数据为研究对象,运用多区制平滑转移自回归模型划分了生猪价格和猪肉价格序列的区制并实证分析了其区制转移特征;结合多区制平滑转移自回归估计方程的特征根和非线性脉冲响应分析进一步探究了生猪价格和猪肉价格的非线性动态调整行为特征。研究结果表明,生猪价格遵从一个三区制的平滑转移过程,猪肉价格则为一个四区制的平滑转移过程。生猪价格仅在低价位区和高价位区具有较强的持续性,而猪肉价格则在价格低迷区、价格坚挺区和价格恢复区均具有较强的持续性。从区制转移路径上来看,生猪价格很容易从中等价位迅速暴跌到低价位,猪肉价格倾向于由价格下跌区向价格低迷区转移以及由价格恢复区向价格坚挺区转移。随机冲击对猪肉价格的影响持久且具有微弱的"自我调节机制",对生猪价格的影响具有持久性但缺乏"自我调节机制";短期内,随机冲击对生猪市场价格波动起到正向促进作用,在长期,随机冲击对生猪价格主要体现为负效应,对猪肉价格整体表现为正效应。     

汇率均值回复的非线性STAR模型

多数研究表明，由于交易成本的存在，汇率偏离均值回复呈现非线性特征。基于非线性时间序列STAR模型对人民币、港币、日元以及英镑四种汇率进行建模，发现四种汇率均呈现均值回复，并且通过检验发现，除人民币外其他三种货币汇率服从对称制度的ESTAR模型，因此有管理的浮动制人民币汇率的动态行为的确有别于浮动汇率，并对人民币浮动制改革有一定的参考作用。