中国大陆、中国香港、美国股市市场风险比较研究

通过对中国大陆、中国香港、美国股市日收益率的分析,运用POT模型对三个股市的市场风险进行测度,得出以下结论:(1)三个股市在日收益率分布特征上具有一定的共性,但中国大陆股市的高收益是建立在高风险基础上的,中国香港股市中存在极端收益的可能性大,美国股市的收益率波动性较小;(2)持有大陆股票存在的期望损失最大,持有美国股票面临的期望损失最小,所以我国各经济主体应共同努力以规避股市市场风险.     

Analysis of covariance in mixed models with unequal subclass numbers

Blue of estimable linear functions and exact tests of hypotheses concerning such functions usually do not exist in the covariance model with random factors having unknown variances. This is true even in the equal subclass numbers case. This paper suggests alternative methods for finding linear unbiased estimators and presents methods for computing sampling variances which are linear functions of the unknown parameter variances. Also, higher level covariates are defined and nonestimability problems resulting from association of such covariates with fixed factors are discussed.     

Multivariate data with missing observations

In this paper, multivariate data with missing observations, where missing values could be by chance or by design, are considered for various models including the growth curve model. The likelihood equations are derived and the consistency of the estimates established. The likelihood ratio tests are explicity derived.     

Regression analysis of longitudinal data with outcome‐dependent sampling and informative censoring

We consider a regression analysis of longitudinal data in the presence of outcome‐dependent observation times and informative censoring. Existing approaches commonly require a correct specification of the joint distribution of longitudinal measurements, the observation time process, and informative censoring time under the joint modeling framework and can be computationally cumbersome due to the complex form of the likelihood function. In view of these issues, we propose a semiparametric joint regression model and construct a composite likelihood function based on a conditional order statistics argument. As a major feature of our proposed methods, the aforementioned joint distribution is not required to be specified, and the random effect in the proposed joint model is treated as a nuisance parameter. Consequently, the derived composite likelihood bypasses the need to integrate over the random effect and offers the advantage of easy computation. We show that the resulting estimators are consistent and asymptotically normal. We use simulation studies to evaluate the finite‐sample performance of the proposed method and apply it to a study of weight loss data that motivated our investigation.     

Construction of a criterion for testing hypothesis about covariance function of a stationary Gaussian stochastic process with unknown mean

In this paper, a new criterion is constructed for testing hypothesis about covariance function of Gaussian stationary stochastic process with an unknown mean. This criterion is based on the fact that we can estimate the deviation of covariance function from its estimator with a given accuracy and reliability in L_p metric.     

“若”类让步连词的语法化及相关问题考察

＂若＂类让步连词与假设连词在语义上具有关联性,而且＂若＂类让步连词的使用年代均不早于与之同形的假设连词,根据语法化相关理论推断＂若＂类让步连词是由与之同形的假设连词语法化而来的。语法化过程发生的句法环境是转折假设复句,语义上则经历了从[＋假设]、[±转折]、[？让步]到[＋假设]、[＋转折]、[＋让步]的转化。这两类关系密切的连词在表义上的差异主要体现在：有否前项,能否表示周遍性意义及实现可能性大小等方面。     

Preliminary phi-divergence test estimators for linear restrictions in a logistic regression model

The problem of estimation of the parameters in a logistic regression model is considered under multicollinearity situation when it is suspected that the parameter of the logistic regression model may be restricted to a subspace. We study the properties of the preliminary test based on the minimum ϕ -divergence estimator as well as in the ϕ -divergence test statistic. The minimum ϕ -divergence estimator is a natural extension of the maximum likelihood estimator and the ϕ -divergence test statistics is a family of the test statistics for testing the hypothesis that the regression coefficients may be restricted to a subspace.     

Projection designs for mixture experiments in orthogonal blocks

Mixture experiments are often carried out in the presence of process variables, such as days of the week or different machines in a manufacturing process, or different ovens in bread and cake making. In such experiments it is particularly useful to be able to arrange the design in orthogonal blocks, so that the model in tue mixture vanauies may ue iitteu inucpenuentiy or tne UIOCK enects mtrouuceu to take account of the changes in the process variables. It is possible in some situations that some of the ingredients in the mixture, such as additives or flavourings, are present in soian quantities, pernaps as iuw a.s 5% ur even !%, resulting in the design space being restricted to only part of the mixture simplex. Hau and Box (1990) discussed the construction of experimental designs for situations where constraints are placed on the design variables. They considered projecting standard response surface designs, including factorial designs and central composite designs, into the restricted design space, and showed that the desirable property of block orthogonality is preserved by the projections considered. Here we present a number of examples of projection designs and illustrate their use when some of the ingredients are restricted to small values, such that the design space is restricted to a sub-region within the usual simplex in the mixture variables.     

一般截面复合曲梁在复杂受力下的正应力研究

给出了一般截面形状的复合曲梁在复杂载荷作用下正应力的计算公式，作为特殊情况，该梁在平面弯曲时的相应公式也可以从上述公式得到。最后给出了计算实例。     

Globalisation Continues: The Maastricht Globalisation Index Revisited and Updated

Globalisation is a complex process which leads to an increasing connectedness and interrelatedness in the political, economic, social and cultural, technological, and environmental domain on many different scales. While this is a truly global phenomenon, it also has different impacts and manifestations in different geographic localities. As a result, different nations exhibit different levels of globalisation or connectedness. Further, perspectives on globalisation are manifold and change over time, therefore it is crucial to continuously reflect upon and revise existing methodologies. Composite indices are a powerful tool to capture and measure complex concepts that allow for monitoring complex systems over time and yield relative rankings and comparisons. This article presents a revised and updated Maastricht Globalisation Index for 117 countries and three points in time—2000, 2008, and 2012—including a new calculation methodology and data. Results show that globalisation still continues but has slowed down, due to the recent economic crisis.