结合资产配置策略测算多期收益保证价值

投资机构能够采取某种资产配置策略,改变由收益保证所引致的期末偿付能力不足风险,并根据风险与价值对等的原则,进而改变收益保证的价值.但是,现有文献在测算收益保证价值时并没有考虑资产配置策略.针对现有文献的不足,在一种新的收益保证形式下,提出了结合资产配置策略测算收益保证价值的新方法,然后以固定组合(CM)、生命周期(DL...     

A note on scheffé's method of deriving confidence sets for directions and ratios of normals

Scheffé (1970) introduced a method for deriving confidence sets for directions and ratios of normals. The procedure requires use of an approximation and Scheffé provided evidence that the method performs well for cases in which the variances of the random deviates are known. This paper extends Scheffé's numerical integrations to the case of unknown variances. Our results indicate that Scheffé's method works well when variances are unknown     

A Benchmarking Approach to Temporal Disaggregation of Economic Time Series by Related Series

Several methods have been devised to deal with the problem of temporal disaggregation of economic time series (a) either when related series are available or (b) when only aggregate figures exist. In this article, we propose a statistical model-based approach to temporal disaggregation of economic time series by related series. The proposed approach is performed in two stages. In the first stage, we evaluate a preliminary estimate of the disaggregated series using a regression model for the disaggregated series and related series observed in the same frequency. The preliminary estimate of disaggregated series obtained in the first step is not consistent with aggregate figures. To ensure consistency we propose in the second stage, the use of a modified benchmarking approach based on signal extraction (Hillmer and Trabelsi, 1987 Hillmer , S. C. , Trabelsi , A. ( 1987 ). Benchmarking of economic time series . J. Amer. Statist. Assoc. 82 ( 400 ): 1064 – 1071 .[Taylor & Francis Online], [Web of Science ®] , [Google Scholar]; Trabelsi and Hillmer, 1990 Trabelsi , A. , Hillmer , S. C. ( 1990 ). Benchmarking time series with reliable benchmarks . Appl. Statist. 39 ( 3 ): 367 – 379 .[Crossref], [Web of Science ®] , [Google Scholar]) to adjust the preliminary estimate of disaggregate series. The approach developed here is used for Seasonally Adjusted (SA) and Not Seasonally Adjusted (NSA) data. A comparison with previous temporal disaggregation methods has been done.     

Layer Sampling

Layer sampling is an algorithm for generating variates from a non-normalized multidimensional distribution p( · ). It empirically constructs a majorizing function for p( · ) from a sequence of layers. The method first selects a layer based on the previous variate. Next, a sample is drawn from the selected layer, using a method such as Rejection Sampling. Layer sampling is regenerative. At regeneration times, the layers may be adapted to increase mixing of the Markov chain. Layer sampling may also be used to estimate arbitrary integrals, including normalizing constants.     

商业银行支持中小企业发展的路径研究

商业银行是社会间接融资的主体,更是支持中小企业发展的主导力量。由于商业银行缺乏支持中小企业融资的内在动力,所以融资难的现状没有得到根本解决,究其根源在于现行的存贷利差实际上是相对的恒利差体制,客观上鼓励商业银行做大放小。推进利率市场化、缩小存贷利差是促使商业银行选择中小企业作为主要客户的根本途径,是我国经济、金融体制改革的重要内容之一。     

An estimation in a linear model with response-related error

A maximum likelihood solution is presented for analyzing data which arise from a linear model whose error term is assumed to have variance proportional to some unknown power of the response. An efficient iterative method for solving the likelihood equations is obtained which incoporates use of a transfomation to orthogonalize the two variance paramaters. Assessments of the method are made through simulations study and the results are compared with those of the ordinary least squares. Examples from the literature are included to illustrate the method and also to compare the results with a weighted least squares estimates.     

完全成本法和变动成本法下营业利润差额的变动规律分析

完全成本法和变动成本法是两种不同的成本计算方法，采用这两种方法计算出的营业利润有可能出现差异。通过实例计算和公式推导，分析了这两种成本法营业利润差额产生的原因及变动规律。     

MIMO频率选择性信道自适应均衡

针对MIMO频率选择性信道提出了一种分数间隔的判决反馈均衡器,其优点是既对时间同步误差不敏感,又能在消除码间干扰的同时不引入噪声增益。同时比较了分别采用最小均方算法和恒模算法的分数间隔判决反馈均衡器,并通过仿真,分析了这两种算法的优缺点。在此基础上提出了一种改进的最小均方算法和恒模算法相结合的算法,改进后需要的训练序列为LMS算法的1/3,其结果是误码率比恒模算法有明显的提高。     

CDMA移动通信信号恒模特性的阵列有源校正算法

基于CDMA通信信号的恒模特性,提出了一种CDMA移动通信中的天线阵通道误差的有源在线校正算法。在天线阵列附近,发射扩谱序列正交于用户信号的同频辅助信号,用辅助信号对阵列接收信号解扩,采用恒模算法自适应的调节阵列通道滤波器参数,达到补偿阵列误差的目的。该方法克服了常规自校正算法受多径效应的影响和难以收敛不足。计算机模拟证实了该方法的有效性。     

A fully nonparametric diagnostic test for homogeneity of variances

The authors propose a new nonparametric diagnostic test for checking the constancy of the conditional variance function σ²(x) in the regression model Y_i = m(x_i) + σ(x_i)?_i, i = 1,…, m. Their test, which does not assume a known parametric form for the conditional mean function m(x), is inspired by a recent asymptotic theory in the analysis of variance when the number of factor levels is large. The authors demonstrate through simulations the good finite‐sample properties of the test and illustrate its use in a study on the effect of drug utilization on health care costs.