经济冷战研究综述

经济冷战是冷战的重要组成部分.西方学术界,特别是20世纪八、九十年代新档案解密以来,在宏观及微观研究中都取得了丰盛的成果,本文试图从其起源问题及其他问题两方面来分析.中国学术界在这一领域成果相对有限,主要是对经济冷战宏观性地描述及对具体事件的勾画.     

A new random permutation test in ANOVA models

This paper developed an exact method of random permutations when testing both interaction and main effects in the two-way ANOVA model. The method of this paper can be regarded as a much improved model when compared with those of the previous studies such as Still and White (1981) and ter Braak (1992). We further conducted a simulation experiment in order to check the statistical performance of the proposed method. The proposed method works relatively well for small sample sizes compare with the existing methods. This work was supported by Korea Science and Engineering Foundation Grant (R14-2003-002-0100)     

Some characterizations of discrete distributions based on weak records

Let X ₁, X ₂,... be iid random variables (rv's) with the support on nonnegative integers and let (W _n , n≥0) denote the corresponding sequence of weak record values. We obtain new characterization of geometric and some other discrete distributions based on different forms of partial independence of rv's W _n and W _n+r —W _n for some fixed n≥0 and r≥1. We also prove that rv's W ₀ and W _n+1 —W _n have identical distribution if and only if (iff) the underlying distribution is geometric.     

Comparison of different estimation techniques for portfolio selection

The main problem in applying the mean-variance portfolio selection consists of the fact that the first two moments of the asset returns are unknown. In practice the optimal portfolio weights have to be estimated. This is usually done by replacing the moments by the classical unbiased sample estimators. We provide a comparison of the exact and the asymptotic distributions of the estimated portfolio weights as well as a sensitivity analysis to shifts in the moments of the asset returns. Furthermore we consider several types of shrinkage estimators for the moments. The corresponding estimators of the portfolio weights are compared with each other and with the portfolio weights based on the sample estimators of the moments. We show how the uncertainty about the portfolio weights can be introduced into the performance measurement of trading strategies. The methodology explains the bad out-of-sample performance of the classical Markowitz procedures.     

Cox模型和寿险退保研究中的比例危险性

利用生存分析研究寿险退保问题是一个很好的工具，因为可以将寿险保单的持续期（persistency duration）视为生存期长，而将保单的退保或失效看作一个“保单生命”的结束，这其中的保单退保或失效就成为生存研究的目标事件。而导致保单失效的因素会有很多，只有通过利用Cox比例危险模型拟合寿险退保数据以分析影响客户退保的原因，并在对Cox模型的比例危险假设进行检验时，发现部分影响因素并不遵守此前提条件，从而推理得到这些影响因素在不同的时间段对客户退保的影响方式不同。也就是说，其影响有短期效应和长期效应之分。     

我国商业银行无形资产统计问题研究

摘　　要:商业银行无形资产是形成商业银行核心竞争力的基础和产生超额收益的源泉,加强商业银行无形资产统计工作,有利于充分揭示商业银行无形资产基本内容和对核心竞争力的影响。笔者认为,目前我国商业银行无形资产统计指标体系设置不完整,统计制度不健全,统计内容不全面,统计分析不深入,影响经济决策。笔者认为,完善商业银行无形资产统计制度时,应从组织结构类、客户关系类、知识创新类和人力资本类等四个方面对无形资产进行统计,逐步细化统计指标,明确具体的统计内容,建立、健全无形资产价值信息系统,深化无形资产统计分析工作,以此为基础,提出提高商业银行核心竞争力的基本策略。     

Evaluation of multilevel decision trees

The evaluation of decision trees under uncertainty is difficult because of the required nested operations of maximizing and averaging. Pure maximizing (for deterministic decision trees) or pure averaging (for probability trees) are both relatively simple because the maximum of a maximum is a maximum, and the average of an average is an average. But when the two operators are mixed, no simplification is possible, and one must evaluate the maximization and averaging operations in a nested fashion, following the structure of the tree. Nested evaluation requires large sample sizes (for data collection) or long computation times (for simulations).     

Easy-to-construct confidence bands for comparing two simple linear regression lines

This paper shows how to construct confidence bands for the difference between two simple linear regression lines. These confidence bands provide directly the information on the magnitude of the difference between the regression lines over an interval of interest and, as a by-product, can be used as a formal test of the difference between the two regression lines. Various different shapes of confidence bands are illustrated, and particular attention is paid towards confidence bands whose construction only involves critical points from standard distributions so that they are consequently easy to construct.     

Maximum log-likelihood ratio test for a change in three parameter Weibull distribution

Asymptotic behavior of a log-likelihood ratio statistic for testing a change in a three parameter Weibull distribution is studied. It is shown that if a shape parameter α>2$\alpha >2$ the law of iterated logarithm for maximum-likelihood estimators is still valid and the log-likelihood testing statistic is asymptotically distributed (after an appropriate normalization) according to a Gumbel distribution.     

A graphical summary of disparities in health care and related summary measures

In order to assess the effectiveness of government programs designed to reduce disparities in the health care minority groups receive relative to the majority white population, a proper statistical measure should be used. This article proposes a measure of and its accompanying graph, which is readily interpretable and is not affected by the number of minority subgroups examined.