On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series

This article discusses the discretization of continuous-time filters for application to discrete time series sampled at any fixed frequency. In this approach, the filter is first set up directly in continuous-time; since the filter is expressed over a continuous range of lags, we also refer to them as continuous-lag filters. The second step is to discretize the filter itself. This approach applies to different problems in signal extraction, including trend or business cycle analysis, and the method allows for coherent design of discrete filters for observed data sampled as a stock or a flow, for nonstationary data with stochastic trend, and for different sampling frequencies. We derive explicit formulas for the mean squared error (MSE) optimal discretization filters. We also discuss the problem of optimal interpolation for nonstationary processes – namely, how to estimate the values of a process and its components at arbitrary times in-between the sampling times. A number of illustrations of discrete filter coefficient calculations are provided, including the local level model (LLM) trend filter, the smooth trend model (STM) trend filter, and the Band Pass (BP) filter. The essential methodology can be applied to other kinds of trend extraction problems. Finally, we provide an extended demonstration of the method on CPI flow data measured at monthly and annual sampling frequencies.     

Realized Volatility: A Review

This article reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general univariate framework for estimating realized volatilities, a simple discrete time model is presented in order to motivate the main results. A continuous time specification provides the theoretical foundation for the main results in this literature. Cases with and without microstructure noise are considered, and it is shown how microstructure noise can cause severe problems in terms of consistent estimation of the daily realized volatility. Independent and dependent noise processes are examined. The most important methods for providing consistent estimators are presented, and a critical exposition of different techniques is given. The finite sample properties are discussed in comparison with their asymptotic properties. A multivariate model is presented to discuss estimation of the realized covariances. Various issues relating to modelling and forecasting realized volatilities are considered. The main empirical findings using univariate and multivariate methods are summarized.     

清代永定河管理制度的建立与志书编纂

永定河是北京地区最大的水系 ,由于河流的地势落差与土质差异 ,历史上的永定河成为北京地区最大的水患之源 ,直接威胁京城地区的社会生活。然而历代政府皆未建立相应的专门管理机构。直到清康熙年间 ,清政府在加大河道治理力度的同时 ,在永定河设置官署 ,将永定河的治理正式纳入国家的社会职能之中 ,使河道的治理制度化。清政府的治河所为 ,促进了相应的志书编纂 ,先后出现了《永定河志》和《永定河续志》二部志书。《永定河志》是传统史学的经世致用精神很好的体现。     

Questions & Answeres: Reflections on Forecasting

Dedicated to the late Professor J. B. S. Haldane who brought to my attention the following very significant story from the ancient Indian epic Mahabharat (Nala—Damayanti Akhy[abar]n): The king lost his way in a jungle and was required to spend the night in a tree. The next day he told some fellow traveller that the total number of leaves on the tree were “so many”. On being challenged as to whether he counted all the leaves he replied; “No, but I counted leaves on a few branches of the tree and I know the science of die throwing”. (I can vouch for accurateness of the reproduction only in the essential respects.)     

Additive Regression Model for Continuous Time Processes

In the setting of additive regression model for continuous time process, we establish the optimal uniform convergence rates and optimal asymptotic quadratic error of additive regression. To build our estimate, we use the marginal integration method.     

Extremes Values of Discrete and Continuous Time Strongly Dependent Gaussian Processes

The joint limit distribution of the maximum of a continuous, strongly dependent stationary Gaussian process and the maximum of this process sampled at discrete time points is studied. It is shown that these two extreme values are asymptotically totally dependent if the grid of the discrete time points is sufficiently dense, and asymptotically dependent if the the grid points are sparse or Pickands grids. Our results are motivated by the deep contributions Piterbarg (2004 Piterbarg , V. I. ( 2004 ). Discrete and continuous time extremes of Gaussian processes . Extremes 7 : 161 – 177 .[Crossref] , [Google Scholar]) and Hüsler (2004 Hüsler , J. ( 2004 ). Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes . Extremes 7 : 179 – 190 .[Crossref] , [Google Scholar]).     

Effects of continuous military operations on physical fitness capacity and physical performance

The purposes of this study were to determine the effects of a continuous field artillery scenario on physical fitness capacity and performance and to estimate the physical intensity of the scenario by continuous heart rate monitoring. Twenty-four artillerymen comprising three, 8-man guncrews participated in an 8-day, combat-simulated operation. Body composition and measures of fitness (isokinetic strength of the arms and legs, isometric handgrip strength, dynamic lifting, and upper body anaerobic power) were determined before and immediately following the scenario. Physical performance was assessed by daily ratings from senior noncommissioned officers experienced in artillery operations. The intensity of physical activity and amount of sleep were estimated from continuously recorded heart rate using electrocardiographic tape recorders worn by the soldiers. No changes occurred in body weight or upper body anaerobic power from pre- to post-scenario. However, measures of muscular strength and lifting capacity increased by 12%-18% post-scenario. Physical performance scores were significantly higher on Days 1 and 8 compared to the other days but no differences were seen from days 2 through 7. The mean ±SD for daily sleep was 5.3 ± 1.3 h. The soldiers averaged 22 min and 2.9 min per day, respectively, at heart rates equal to or greater than 50% and 75% of their maximal heart rates. The results suggest that soldiers who are allowed 5 h sleep per day and who are required to perform at relatively moderate levels of physical intensity show no decrements in physical fitness capacity or evidence of physical fatigue for up to 8 days of continuous operations.     

重审唐宋词体研究的现代音乐学视角

倚西声而填中词是早期艺术歌曲的通行做法,这种实践方式为现代词学研究者所借鉴,成为理解传统词乐关系尤其是“倚声填词”与“选词配乐”的经验基础。“音乐文学”观念的确立与“倚声填词”的重新定义,将传统谱例之学提升到现代歌词学层面。唐宋诗词乐谱是骨干谱,一曲多变是其常态,不同于确定自足的西方现代乐谱。以往对词之本质特征的界定,过于强调其不同于声诗、乐府的以词从乐、由乐定词的一面,而忽略了其选词配乐甚至以乐从词、依字行腔的一面。现代音乐学为我们将词的起源归结为一种音乐或乐曲形态提供了理论与实践依据,同时也夸大了音乐的决定作用并造成了对“倚声”的狭隘理解。     

Validating cultural discrepancy: A case study

A total of 172 employees rated 15 cultural values; first as theyactually were manifested within the organization and secondly how theyshould be manifested. Differences between these ratings formed their Culture Discrepancy Scores. A discriminant analysis showed that for permanent employees, intent to stay on with the organization could be predicted from their Culture Discrepancy Scores. Correlational analyses indicated that for permanent employees, higher Culture Discrepancy Scores were predictive of: 1) rating the organization as a worse place to work, 2) being less likely to choose to work for the organization again, and 3) rating stress levels as unhealthy. For seasonal employees, higher Culture Discrepancy Scores were predictive of: 1) rating the organization as a worse place to work, 2) taking less pride in working for the organization, 3) rating the organization as less competitive in the industry, and 4) rating stress levels as unhealthy.