Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk

This article addresses the problem of the bias of income and expenditure elasticities estimated on pseudopanel data caused by measurement error and unobserved heterogeneity. We gauge these biases empirically by comparing cross-sectional, pseudo-panel, and true panel data from both Polish and U.S. expenditure surveys. Our results suggest that unobserved heterogeneity imparts a downward bias to cross-section estimates of income elasticities of at-home food expenditures and an upward bias to estimates of income elasticities of away-from-home food expenditures. “Within” and first-difference estimators suffer less bias, but only if the effects of measurement error are accounted for with instrumental variables.     

Location and scale parameter estimation from randomly censored data

The problem of location and scale parameter estimation from randomly censored data is analyzed through use of a regression model for the Kaplan-Meier quantlle process. Continuous time regression techniques are employed to construct estimators that are both asymptotically normal and efficient. Estimators with a particularly simple form are obtained for the Koziol-Green model for random censorship. In the event of no censoring the regression model, and resulting estimators, reduce to those proposed by Parzen (1979 a, b).     

Testtesting for the equality of scale parameters of k(> 2) exponential populations based on complete and type ii censored samples

This paper is concerned with testing the equality of scale parameters of K(> 2) two-parameter exponential distributions in presence of unspecified location parameters based on complete and type II censored samples. We develop a marginal likelihood ratio statistic, a quadratic statistic (Qu) (Nelson, 1982) based on maximum marginal likelihood estimates of the scale parameters under the null and the alternative hypotheses, a C(a) statistic (CPL) (Neyman, 1959) based on the profile likelihood estimate of the scale parameter under the null hypothesis and an extremal scale parameter ratio statistic (ESP) (McCool, 1979). We show that the marginal likelihood ratio statistic is equivalent to the modified Bartlett test statistic. We use Bartlett's small sample correction to the marginal likelihood ratio statistic and call it the modified marginal likelihood ratio statistic (MLB). We then compare the four statistics, MLBi Qut CPL and ESP in terms of size and power by using Monte Carlo simulation experiments. For the variety of sample sizes and censoring combinations and nominal levels considered the statistic MLB holds nominal level most accurately and based on empirically calculated critical values, this statistic performs best or as good as others in most situations. Two examples are given.     

Improved estimators of a location vector with unknown scale parameter

The problem of estimating, under arbitrary quadratic loss, the location vector parameter θ of a p-variate distribution (p ≥ 3) with unknown covari-ance matrix ∑ = α² D (where D is a known diagonal matrix) is considered. A large class of improved shrinkage estimators is developed for this problem. This work generalizes results of Berger and Brandwein and Strawderman for the case of a known scale parameter and extends the authors’ results for the class of scale mixtures of normal distributions.     

On probit versus logit dynamic mixed models for binary panel data

In this paper, we consider inferences in a binary dynamic mixed model. The existing estimation approaches mainly estimate the regression effects and the dynamic dependence parameters either through the estimation of the random effects or by avoiding the random effects technically. Under the assumption that the random effects follow a Gaussian distribution, we propose a generalized quasilikelihood (GQL) approach for the estimation of the parameters of the dynamic mixed models. The proposed approach is computationally less cumbersome than the exact maximum likelihood (ML) approach. We also carry out the GQL estimation under two competitive, namely, probit and logit mixed models, and discuss both the asymptotic and small-sample behaviour of their estimators.     

Volatility clustering in the presence of time-varying model parameters

The volatility pattern of financial time series is often characterized by several peaks and abrupt changes, consistent with the time-varying coefficients of the underlying data-generating process. As a consequence, the model-based classification of the volatility of a set of assets could vary over a period of time. We propose a procedure to classify the unconditional volatility obtained from an extended family of Multiplicative Error Models with time-varying coefficients to verify if it changes in correspondence with different regimes or particular dates. The proposed procedure is experimented on 15 stock indices.     

基于模糊PI控制的pmsm驱动控制系统

针对PI参数自整定存在控制系统数学模型的精确度、整定效率低和优化时间长的问题,提出一种基于模糊控制 的参数自整定的优化策略。以伺服控制系统的数学模型为基础,根据模糊控制的基本原理,设计PMSM的速度模糊PI 控制器。然后根据矢量控制原理,在MATLAB/Simulink仿真平台上搭建PMSM控制系统的模型,并对PMSM控制系统 进行了仿真。仿真结果表明：在传统PI控制的基础上增加参数自整定是正确和有效的,能使伺服系统具有较强的负载 抗扰性和良好的动态跟踪性能。     

工艺参数对防眩板注射残余应力的影响分析

残余应力会导致注塑制品出现应力痕、应力开裂,翘曲变形和后变形等问题,进而影响制品寿命,光学性能,电学性能和物理性能等。以防眩板为模型,利用Moldflow 软件采用有限元方法,系统分析了模具温度、熔体温度、注射速率、保压压力及玻璃纤维含量对残余应力的影响。结果表明,随注射速率和模具温度的增加残余应力增加,随保压压力、玻璃纤维含量和熔体温度的增加残余应力减小,但各因素对残余应力的影响并不一样,按其敏感程度依次是熔体温度、玻璃纤维含量、保压压力、注射速率及模具温度。     

2 m 4 n designs with resolution III or IV containing clear two-factor interaction components

The orthogonal arrays with mixed levels have become widely used in fractional factorial designs. It is highly desirable to know when such designs with resolution III or IV have clear two-factor interaction components (2fic’s). In this paper, we give a complete classification of the existence of clear 2fic’s in regular 2 ^m 4 ⁿ designs with resolution III or IV. The necessary and sufficient conditions for a 2 ^m 4 ⁿ design to have clear 2fic’s are given. Also, 2 ^m 4 ⁿ designs of 32 runs with the most clear 2fic’s are given for n = 1,2.      

CBN刀精车GCr15轴承钢的试验研究

本文利用正交试验法，通过用ＣＢＮ刀对ＧＣｒ１５轴承钢精车切削试验并对试验数据进行了多元线性处理，得出了在此切削条件下的切削用量三因素与刀具耐用度的Ｔａｙｌｏｒ公式，为解决难加工材料ＧＣｒ１５轴承钢的精车及实际生产提供了经验。