Bayesian estimation of sensitivity level and population proportion of a sensitive characteristic in a binary optional unrelated question RRT model

Sihm et al. (2016 Sihm, J. S., A. Chhabra, and S. N. Gupta. 2016. An optional unrelated question RRT model. Involve: A Journal of Mathematics 9 (2):195–209.[Crossref] , [Google Scholar]) proposed an unrelated question binary optional randomized response technique (RRT) model for estimating the proportion of population that possess a sensitive characteristic and the sensitivity level of the question. In our work, decision theoretic approach has been followed to obtain Bayes estimates of the two parameters along with their corresponding minimal Bayes posterior expected losses (BPEL) using beta prior and squared error loss function (SELF). Relative losses are also examined to compare the performances of the Bayes estimates with those of the classical estimates obtained by Sihm et al. (2016 Sihm, J. S., A. Chhabra, and S. N. Gupta. 2016. An optional unrelated question RRT model. Involve: A Journal of Mathematics 9 (2):195–209.[Crossref] , [Google Scholar]). The results obtained are illustrated with the help of real survey data using non informative prior.     

基于体制转换模型的动态相关系数研究

对相关系数的马尔可夫体制转换模型（RSDC）进行拓展,将多维随机变量的协方差阵分成方差和相关系数,方差利用GARCH模型来描述,相关系数阵则划分为不同的状态。RSDC模型被应用于中国股票市场研究板块指数的动态相关性,给出行业板块的beta系数。实证结果表明两状态恰好体现高、低不同的相关性,且状态持续的概率较大,基于RSDC模型的beta系数与常相关系数的多元GARCH模型存在一定的差异。     

贝塔系数波动状况的实证分析

资本资产定价模型(CAPM)自创立以来得到广泛应用。但对CAPM的实证检验也争议不断。利用上海股票市场90家上市公司的数据作为样本,对CAPM中的贝塔系数的波动状况进行实证研究,结果表明所有股票的贝塔系数波动率都显著异于零,贝塔系数在不同的时期会发生变化。实证分析中如果忽略了这一点,必将导致对CAPM检验的失效。     

系统性风险动态特征与国家风险评级差异性——以金砖五国为例

准确追踪并度量东道国国家风险状况,对于跨国资本运作风险决策是不可或缺的.对国家风险度量的研究分为基于多属性决策的国家风险评估和基于资本资产定价理论的系统性风险建模两大类.研究选取金砖五国作为研究对象,对各国系统性风险的动态性进行建模,并通过考察系统性风险与基于多属性的ICRG国家风险评级的相关性,剖析两类国家风险度量的差异性.研究发现金砖五国的系统性风险波动较大,但近年波动在减缓;虽然受美国次贷危机冲击较大,但很快恢复平稳,抵抗外界风险能力增强.与反映一国的整体国家风险状况的ICRG国家风险评级相比,系统性风险更多是反映金融风险状况,能提供更高频的风险收益信息,二者互为补充,可提高跨国资本投资决策的合理性与准确性.     

中国证券市场中Beta系数的存在性及其相关特性研究

本文认为,中国证券市场存在资本资产定价模型中描述的Beta系数,本文发现,使用不同市场收益率的算法计算出来的Beta系数有着显著的差异。因此,存在以不同的方法计算得到的Beta系数,在相同的研究过程中得出不相同的结果的情况可能会出现。本文的研究结果证实了这样一个事实:在中国证券市场,至少是在本文研究的时间区间段,CAPM模型是成立的。本文还发现,中国证券市场中Beta系数并不存在显著的行业差异,但是在按照是否被纳入计算成份类指数的标准将股票进行分类,即分为成份股和非成份股,这两大类股票的Beta系数存在显著的差异;本文还发现,在中国证券市场中,几乎不存在支持资本资产定价模型中的无风险收益率的参数。     

上海股票市场系统流动性风险溢价研究

以收益率与系统流动性因子的β值作为系统流动性风险的代理变量,按照FF三因素模型的方法,将账面市值比替换成β值,构建新的包含市场超额收益、公司规模和β值的三因素模型,研究系统流动性风险与我国股市超额收益的关系。上证50指数成分股的实证结果表明,系统流动性风险对我国股市超额收益有显著影响,β值为正的股票获得正的系统流动性风险溢价,而β值为负的股票获得"负"溢价。     

A clustering method for global optimization based on thekth nearest neighbour

In this paper we describe a stochastic method for global optimization based on a uniform sampling in the search domain. After a reduction of the sample, computing the distance between the remaining points and using the distribution of the kth nearest neighbour enables clusters of points to be built up, hopefully fitting the regions of attraction of significant local optima; from each of these a local search is started. The properties of the method are analysed, and detailed computational results on standard test functions are provided.     

AN EXACT FORMULA FOR THE SYMMETRICAL INCOMPLETE BETA FUNCTION WHERE THE PARAMETER IS AN INTEGER OR HALF-INTEGER

A finite series for computing the symmetrical incomplete beta function with parameter q= 0.5, 1, 1.5, is derived. It is more efficient than existing algorithms for the general case, and obviates reference to the Pearson-Johnson tables and subsequent interpolation. This is advantageous in applications to statistical quality assurance, especially in computer simulations of acceptance schemes.     

Small Sample Tests for Shape Parameters of Gamma Distributions

The introduction of shape parameters into statistical distributions provided flexible models that produced better fit to experimental data. The Weibull and gamma families are prime examples wherein shape parameters produce more reliable statistical models than standard exponential models in lifetime studies. In the presence of many independent gamma populations, one may test equality (or homogeneity) of shape parameters. In this article, we develop two tests for testing shape parameters of gamma distributions using chi-square distributions, stochastic majorization, and Schur convexity. The first one tests hypotheses on the shape parameter of a single gamma distribution. We numerically examine the performance of this test and find that it controls Type I error rate for small samples. To compare shape parameters of a set of independent gamma populations, we develop a test that is unbiased in the sense of Schur convexity. These tests are motivated by the need to have simple, easy to use tests and accurate procedures in case of small samples. We illustrate the new tests using three real datasets taken from engineering and environmental science. In addition, we investigate the Bayes’ factor in this context and conclude that for small samples, the frequentist approach performs better than the Bayesian approach.     

我国股票市场期望收益的横向关系

本文研究了在上海和深圳股票交易市场中,β值,公司规模和股票的账面-市场价值比对月度和季度横截面普通股预期慎益的解释作用。经验结果表明,无论是在上海股票交易市场还是在深圳股票交易市场,股票的β值以及其账面-市场价值比对月度和季度的横截面股票预期收益都完全没有解释能力,公司规模和股票的预期收益之间存在着很不显著的负相关性。