Influential observations in GARCH models

This paper examines local influence assessment in generalized autoregressive conditional heteroscesdasticity models with Gaussian and Student-t errors, where influence is examined via the likelihood displacement. The analysis of local influence is discussed under three perturbation schemes: data perturbation, innovative model perturbation and additive model perturbation. For each case, expressions for slope and curvature diagnostics are derived. Monte Carlo experiments are presented to determine the threshold values for locating influential observations. The empirical study of daily returns of the New York Stock Exchange composite index shows that local influence analysis is a useful technique for detecting influential observations; most of the observations detected as influential are associated with historical shocks in the market. Finally, based on this empirical study and the analysis of simulated data, some advice is given on how to use the discussed methodology.     

Symmetrical design for symmetrical global sensitivity analysis of model output

Symmetrical global sensitivity analysis (SGSA) can help practitioners focusing on the symmetrical terms of inputs whose uncertainties have an impact on the model output, which allows reducing the complexity of the model. However, there remains the challenging problem of finding an efficient method to get symmetrical global sensitivity indices (SGSI) when the functional form of the symmetrical terms is unknown, including numerical and non-parametric situations. In this study, we propose a novel sampling plan, called symmetrical design, for SGSA. As a preliminary experiment for model feature extracting, such plan offers the virtue of run-size economy due to its closure respective to the given group. Using the design, we give estimation methods of SGSI as well as their asymptotic properties respectively for numerical model and non-parametrical model directly by the model outputs, and further propose a significance test for SGSI in non-parametric situation. A case study for a benchmark of GSA and a real data analysis show the effectiveness of the proposed design.     

Sensitivity Analysis Using Risk Measures

In a quantitative model with uncertain inputs, the uncertainty of the output can be summarized by a risk measure. We propose a sensitivity analysis method based on derivatives of the output risk measure, in the direction of model inputs. This produces a global sensitivity measure, explicitly linking sensitivity and uncertainty analyses. We focus on the case of distortion risk measures, defined as weighted averages of output percentiles, and prove a representation of the sensitivity measure that can be evaluated on a Monte Carlo sample, as a weighted average of gradients over the input space. When the analytical model is unknown or hard to work with, nonparametric techniques are used for gradient estimation. This process is demonstrated through the example of a nonlinear insurance loss model. Furthermore, the proposed framework is extended in order to measure sensitivity to constant model parameters, uncertain statistical parameters, and random factors driving dependence between model inputs.     

积极开发生态童装 提升中国制造童装国际竞争力

随着人们健康意识及环保意识的不断增强,健康、安全的生态童装日益受到关注。为避免出口童装被通报召回等贸易摩擦事件的发生,我国童装生产企业应结合相关国际童装安全标准,对童装进行科学设计并选用绿色环保的面料及辅料,以促进生态童装的研发以及提升中国制造的童装在国际市场的竞争力。     

Preschoolers' Attachment to Mother and Risk for Adjustment Problems in Kindergarten: Can Teachers Make a Difference?

Based on attachment theory, two aims were addressed. Firstly, we tested whether close teacher–child relationships may buffer children who are less securely attached to their mothers against negative outcomes, such as aggressive behavior. Secondly, our study evaluated whether teacher sensitivity may protect less securely attached children against forming less close relationships with their teachers. In a sample of 127 children, mother–child attachment was observed in preschool. In kindergarten, teacher sensitivity was observed, and teacher–child closeness and child aggressive behavior were rated by the teacher. Results of multilevel hierarchical regression analyses first showed that with high teacher–child closeness, less securely attached children are no longer at risk for more aggressive behavior. Secondly, it was found that with high teacher sensitivity, less securely attached children are no longer at risk for developing less close relationships with their teachers.     

Symmetrical Design of Experiment in Global Sensitivity Analysis Based on ANOVA High-dimensional Model Representation

This article reviews symmetrical global sensitivity analysis based on the analysis of variance of high-dimensional model representation. To overcome the computational difficulties and explore the use of symmetrical design of experiment (SDOE), two methods are presented. If the form of the objective function f is known, we use SDOE to estimate the symmetrical global sensitivity indices instead of Monte Carlo or quasi-Monte Carlo simulation. Otherwise, we use the observed values of the experiment to do symmetrical global sensitivity analysis. These methods are easy to implement and can reduce the computational cost. An example is given by symmetrical design of experiment.     

Local influence diagnostics for incomplete overdispersed longitudinal counts

We develop local influence diagnostics to detect influential subjects when generalized linear mixed models are fitted to incomplete longitudinal overdispersed count data. The focus is on the influence stemming from the dropout model specification. In particular, the effect of small perturbations around an MAR specification are examined. The method is applied to data from a longitudinal clinical trial in epileptic patients. The effect on models allowing for overdispersion is contrasted with that on models that do not.     

化工原理实验教学软件的开发

介绍了化工原理实验教学软件的基本框架、功能及其用途,软件采用Microsoft Visual Basic 6.0编写,界面友好,功能齐全、操作简单、并可根据实际需要进行功能扩充,为化工原理实验CAI教学与实际应用提供了方便。     

GaN晶片的CMP加工工艺研究

研究了GaN晶片的化学机械抛光(CMP)工艺,分析了在CMP加工工艺过程中对GaN晶片表面质量所产生的影响。实验采用质量分数30%的H2O2溶液与铁经过Fenton化学反应20 min后作为抛光液,并分别利用2种不同磨粒粒度W5和W0.5对晶片表面抛光,对不同工艺参数加工后的晶片表面进行测试分析,并推测加工过程中晶片表面可能发生的化学反应。     

对外开放形势下的利率风险管理问题研究

我国加入世贸组织后 ,利率市场化进程将加快 ,利率风险将成为我国商业银行的一种主要风险。文章在介绍西方主要的利率风险衡量技术的基础上 ,分析了对外开放形势下 ,我国商业银行利率风险产生的原因 ,并从商业银行、监管当局、金融市场三个层面提出利率风险管理的有关建议