上交所国债收益率的聚类结构分析

对上海证券交易所2004年7月1日到11月12日的17种记账式国债的日收益率时间序列进行预分析,在此基础上对日收益率时间序列做了分离趋势修正。提出了一种基于各个国债收益率之间相关性的测度距离的方法,并根据这种新方法对修正后的国债日收益率时间序列进行了聚类分析。通过对采用联接算法计算出的阈值向量和层次树进行权衡比较,将17种国债分成了5类。分类结果表明,我国国债的日收益率之间的相关性程度并不是很明显地依赖于它们的到期时间,因此存在可能进行套利的机会。     

Inequality measurement and the time structure of household income in Israel

The aim of this paper is to empirically evaluate the effect of the length of the accounting period on indices of inequality of household income in Israel. There are three main findings: (1) The analysis of the impact of the accounting period on the Gini index of inequality can be done in a way which is identical to analyzing the effect of the accounting period on the coefficient of variation; (2) changing the accounting period from one to three months decreases, on average, the Gini index of inequality by about 1.7%. Furthermore, the Gini index calculated from a three-month accounting period was 3.9%–4.1% higher than the index based on a 12-month period. The change in the accounting period from 12 months to three months accounts for 27% to 37% of the increase in inequality in the last two decades, depending on the type of income considered. (3) The above relationship is stable over the years but is sensitive to the definition of income.     

教育与人力资本分布状况对我国经济增长的影响

如果用人均受教育年限和教育基尼系数这两个指标来衡量我国的教育分布状况,我们就会发现:我国居民总体的受教育程度仍然偏低,人力资本平均水平和教育分配的不平等程度对经济增长分别有正的和负的影响,东部和中部地区对人力资本分布平等性的依赖程度要超过西部。为了改善我国教育分布状况,应大力普及义务教育、允许多种形式的教育投入和建立学费听证会制度,以促进教育的公平增长。     

Factor Multivariate Stochastic Volatility via Wishart Processes

This paper proposes a high dimensional factor multivariate stochastic volatility (MSV) model in which factor covariance matrices are driven by Wishart random processes. The framework allows for unrestricted specification of intertemporal sensitivities, which can capture the persistence in volatilities, kurtosis in returns, and correlation breakdowns and contagion effects in volatilities. The factor structure allows addressing high dimensional setups used in portfolio analysis and risk management, as well as modeling conditional means and conditional variances within the model framework. Owing to the complexity of the model, we perform inference using Markov chain Monte Carlo simulation from the posterior distribution. A simulation study is carried out to demonstrate the efficiency of the estimation algorithm. We illustrate our model on a data set that includes 88 individual equity returns and the two Fama-French size and value factors. With this application, we demonstrate the ability of the model to address high dimensional applications suitable for asset allocation, risk management, and asset pricing.     

我国城镇居民家庭纯收入和生活消费支出的典型相关分析

文章介绍了两组随机变量相关性的一种统计分析方法———典型相关分析(canonicalcorrelationanalysis),然后利用这种方法,借助SAS软件研究了我国31个省市自治区城镇居民家庭纯收入与生活消费支出的相关关系。     

Covariate Adjusted Correlation Analysis via Varying Coefficient Models

Abstract.  We propose covariate adjusted correlation (Cadcor) analysis to target the correlation between two hidden variables that are observed after being multiplied by an unknown function of a common observable confounding variable. The distorting effects of this confounding may alter the correlation relation between the hidden variables. Covariate adjusted correlation analysis enables consistent estimation of this correlation, by targeting the definition of correlation through the slopes of the regressions of the hidden variables on each other and by establishing a connection to varying-coefficient regression. The asymptotic distribution of the resulting adjusted correlation estimate is established. These distribution results, when combined with proposed consistent estimates of the asymptotic variance, lead to the construction of approximate confidence intervals and inference for adjusted correlations. We illustrate our approach through an application to the Boston house price data. Finite sample properties of the proposed procedures are investigated through a simulation study.     

Reproducibility of clinical data I: continuous outcomes

Across a variety of clinical settings, repeated measurements on an individual, obtained under identical circumstances, often differ from one another. This implies the measurements lack perfect reproducibility. Topics related to reproducibility of clinical measurements are introduced in this paper. In this first of two parts, continuous outcomes are addressed. The intraclass correlation coefficient, ρ, has been the traditional coefficient of reproducibility for continuous outcomes. The importance of ρ regarding observations on an individual, and observations among populations, is outlined. Estimation and inferential procedures for ρ are reviewed and worked examples are provided. Copyright © 2004 John Wiley & Sons, Ltd.     

基于灰色关联度法的轨道交通线网评价

通过对城市轨道交通线网评价和灰色系统相关理论的介绍，提出了应用于城市轨道交通线网规划的灰色评价模型。该模型通过比较各方案与理想方案之间关联度的大小来区分各方案的优劣，并通过实例验证了这种方法的应用能提高轨道交通线网规划评价的客观性、公正性、合理性。该方法可以为城市轨道交通网络规划方案的评价及方案优选服务，避免因人为失误而造成的决策偏差。     

微型燃气轮机冷热电联供系统的热经济性分析

通过划分我校能源岛系统的子系统图，计算了各股能流的热力学参数和火用值，并进行了热力性能计算及结果分析．在此基础上求取各子系统的燃料炯和产品炯单价及其经济系数，对结果进行了热经济分析，指出了系统的不足之处，并提出了改进意见．     

父母教养方式与中学生自尊的相关研究

采用父母教养方式评价量表(EMBU)和自尊量表(SES),分别对初一、初二、初三194名初中生进行了自尊和父母教养方式团体测验,将测验结果进行相关统计,并对研究结果进行分析发现,(1)不同性别学生所感受到的父母教养方式存在差异。(2)不同性别学生的自尊没有差异;不同年级学生的自尊有差异。(3)中学生的自尊与其所感受到的来自父母的情感温暖与理解有显著的正相关,而与父母的惩罚、严厉,拒绝、否认以及父亲的过度保护有显著的负相关。