A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates

In this paper we present a parsimonious multivariate model for exchange rate volatilities based on logarithmic high-low ranges of daily exchange rates. The multivariate stochastic volatility model decomposes the log range of each exchange rate into two independent latent factors, which could be interpreted as the underlying currency specific components. Owing to the empirical normality of the logarithmic range measure the model can be estimated conveniently with the standard Kalman filter methodology. Our results show that our model fits the exchange rate data quite well. Exchange rate news seems to be currency specific and allows identification of currency contributions to both exchange rate levels and exchange rate volatilities.     

Likelihood Estimation for Censored Random Vectors

This article shows how to construct a likelihood for a general class of censoring problems. This likelihood is proven to be valid, i.e. its maximizer is consistent and the respective root-n estimator is asymptotically efficient and normally distributed under regularity conditions. The method generalizes ordinary maximum likelihood estimation as well as several standard estimators for censoring problems (e.g. tobit type I-tobit type V).     

中国企业员工福利状况分析

本文运用多元统计分析中的聚类分析法 ,对 2 0 0 0年各地区国有企业 ,集体企业 ,港、澳、台商投资企业以及外商投资企业在岗职工福利费用进行聚类分析 ,从而研究中国企业的员工福利状况 ,总结出员工福利分布特点和地区差异性     

A Bayesian model for ranking hazardous road sites

Summary.  Road safety has recently become a major concern in most modern societies. The identification of sites that are more dangerous than others (black spots) can help in better scheduling road safety policies. This paper proposes a methodology for ranking sites according to their level of hazard. The model is innovative in at least two respects. Firstly, it makes use of all relevant information per accident location, including the total number of accidents and the number of fatalities, as well as the number of slight and serious injuries. Secondly, the model includes the use of a cost function to rank the sites with respect to their total expected cost to society. Bayesian estimation for the model via a Markov chain Monte Carlo approach is proposed. Accident data from 519 intersections in Leuven (Belgium) are used to illustrate the methodology proposed. Furthermore, different cost functions are used to show the effect of the proposed method on the use of different costs per type of injury.     

Dynamic sampling plans in on-line control charts

Three simple dynamic sampling plans for detecting the change point are investigated in the discrete-time case. The first is a two-rate sampling CUSUM procedure. The second is a two-rate sampling Shiryayev-Roberts procedure. The third is a periodic sequential testing procedure. Two problems are discussed. First, simple design methods are provided for practical use. Second, a comparison between the three plans is made in the continuous-time case, which shows that by properly choosing the design parameters, the three plans can be made equally efficient in certain senses.     

QUALITY CONTROL WITH MULTIVARIATE DATA

The paper examines statistical process control of bivariate and multivariate data, using in particular the multivariate equivalents of the univariate Shewhart chart, CUSUM chart and the Exponentially Weighted Moving Average chart. This illustrates the usefulness of Principal Component methods in statistical process control with multivariate data.     

Correlates of experiences and perceptions of anti-Semitism among Jews in the United States

This paper investigates American Jews’ personal experiencing of anti-Semitism and perception of its extent. Analysis of NJPS-2000/2001 indicates that lower age, less education, and American nativity increase experiencing of anti-Semitism. Religious identification and attachment to Israel are positively associated with anti-Semitic experience; friendship with other Jews has the opposite effect. Contextual factors are not significant for the experiencing of anti-Semitism but living in a state that leans toward the Democratic Party has a downward effect. Contrary to experience, younger age and higher education are negatively associated with the perception of a high incidence of anti-Semitism. Being a woman, American born, and living in states with high concentrations of Jews positively affect Jews’ perception of anti-Semitism. A paramount determinant of the perception of anti-Semitism is the individual’s belief that he or she has experienced it. The results are discussed in reference to three working hypotheses of integration, group identification, and environment.     

A Multivariate Adaptive Exponentially Weighted Moving Average Control Chart

A multivariate extension of the adaptive exponentially weighted moving average (AEWMA) control chart is proposed. The new multivariate scheme can detect small and large shifts in the process mean vector effectively. The proposed scheme can be viewed as a smooth combination of a multivariate exponentially weighted moving average (MEWMA) chart and a Shewhart χ²-chart. The optimal design of the proposed chart is given according to a pre-specified in-control average run length and two shift sizes; a small and large shift each measured in terms of the non centrality parameter. The signal resistance of the newly proposed multivariate chart is also given. Comparisons among the new chart, the MEWMA chart, and the combined Shewhart-MEWMA (S-MEWMA) chart in terms of the standard and worst-case average run length profiles are presented. In addition, the three charts are compared with respect to their worst-case signal resistance values. The proposed chart gives somewhat better worst-case ARL and signal resistance values than the competing charts. It also gives better standard ARL performance especially for moderate and large shifts. The effectiveness of our proposed chart is illustrated through an example with simulated data set.     

Estimation and Test for Multi-Dimensional Regression Models

This work is concerned with the estimation of multi-dimensional regression and the asymptotic behavior of the test involved in selecting models. The main problem with such models is that we need to know the covariance matrix of the noise to get an optimal estimator. We show in this article that if we choose to minimize the logarithm of the determinant of the empirical error covariance matrix, then we get an asymptotically optimal estimator. Moreover, under suitable assumptions, we show that this cost function leads to a very simple asymptotic law for testing the number of parameters of an identifiable and regular regression model. Numerical experiments confirm the theoretical results.     

A New Goodness-of-Fit Test Based on the Empirical Characteristic Function

In this article, we present a goodness-of-fit test for a distribution based on some comparisons between the empirical characteristic function c_n(t) and the characteristic function of a random variable under the simple null hypothesis, c₀(t). We do this by introducing a suitable distance measure. Empirical critical values for the new test statistic for testing normality are computed. In addition, the new test is compared via simulation to other omnibus tests for normality and it is shown that this new test is more powerful than others.