Estimation of structural mean breaks for long-memory data sets

In long-memory data sets such as the realized volatilities of financial assets, a sequential test is developed for the detection of structural mean breaks. The long memory, if any, is adjusted by fitting an HAR (heterogeneous autoregressive) model to the data sets and taking the residuals. Our test consists of applying the sequential test of Bai and Perron [Estimating and testing linear models with multiple structural changes. Econometrica. 1998;66:47–78] to the residuals. The large-sample validity of the proposed test is investigated in terms of the consistency of the estimated number of breaks and the asymptotic null distribution of the proposed test. A finite-sample Monte-Carlo experiment reveals that the proposed test tends to produce an unbiased break time estimate, while the usual sequential test of Bai and Perron tends to produce biased break times in the case of long memory. The experiment also reveals that the proposed test has a more stable size than the Bai and Perron test. The proposed test is applied to two realized volatility data sets of the S&P index and the Korea won-US dollar exchange rate for the past 7 years and finds 2 or 3 breaks, while the Bai and Perron test finds 8 or more breaks.     

On tail behaviour of kth upper order statistics under fixed and random sample sizes via tail equivalence

For a fixed positive integer k, limit laws of linearly normalized kth upper order statistics are well known. In this article, a comprehensive study of tail behaviours of limit laws of normalized kth upper order statistics under fixed and random sample sizes is carried out using tail equivalence which leads to some interesting tail behaviours of the limit laws. These lead to definitive answers about their max domains of attraction. Stochastic ordering properties of the limit laws are also studied. The results obtained are not dependent on linear norming and apply to power norming as well and generalize some results already available in the literature. And the proofs given here are elementary.     

First‐order bias correction for fractionally integrated time series

Most of the long memory estimators for stationary fractionally integrated time series models are known to experience non‐negligible bias in small and finite samples. Simple moment estimators are also vulnerable to such bias, but can easily be corrected. In this article, the authors propose bias reduction methods for a lag‐one sample autocorrelation‐based moment estimator. In order to reduce the bias of the moment estimator, the authors explicitly obtain the exact bias of lag‐one sample autocorrelation up to the order n⁻¹. An example where the exact first‐order bias can be noticeably more accurate than its asymptotic counterpart, even for large samples, is presented. The authors show via a simulation study that the proposed methods are promising and effective in reducing the bias of the moment estimator with minimal variance inflation. The proposed methods are applied to the northern hemisphere data. The Canadian Journal of Statistics 37: 476–493; 2009 © 2009 Statistical Society of Canada     

论新闻计算句子长短的句子标准

新闻语体的句子应该比其他语体的句子短，这是由新闻的易读性决定的。但是目前的一些新闻语言研究中，统计出的句子比其他语体的句子还要长几倍。一些新闻语言研究中同时以单句和复句为单位。单句和复句在语法结构上不是同一层级的语言单位，同时作为计算单位，是违反逻辑的。语法系统中，小句是基本的句子，是传递信息的基本单位。新闻语言研究中也应以小句为计算单位。     

类矩形双肢钝体涡致振动和气动抑振机理

针对具有类矩形双肢钝体断面拱肋的大跨度拱桥在风洞试验过程易出现大幅涡激振动问题，沿拱肋模型表面进行动态风压同步测量及基于POD算法的本征气动力荷载分布模式分解，获得了涡振发生时对于周期性涡激力具有最大贡献的气动力荷载作用位置，初步揭示出此类断面涡激动发生时的局部气动力荷载作用机制。以上海卢浦大桥和肇庆西江特大桥此类具有双肢钝体断面拱桥为工程实例，结合涡激气动力沿拱肋周向时空气分布特征，提出并以二维悬吊节段模型风洞试验验证了拱肋断面多种有针对性的气动控制措施；结合实际桥梁拱肋的三维空间效应，利用全桥气弹模型     

The Role of the Social Worker in Long-Term Care

Abstract

Making use of a formulation by Rosalie Kane of the ingredients necessary to “a good life” for residents of homes for the aged and other long term care facilities, the role of the social worker in insuring the presence of these ingredients is discussed. Included is an analysis of the responsibilities and tasks of the social worker which must be carried and fulfilled in order that social workers make appropriate contributions to “the good life.”     

Statistical properties of detrended fluctuation analysis

The main goal of this work is to consider the detrended fluctuation analysis (DFA), proposed by Peng et al. [Mosaic organization of DNA nucleotides, Phys. Rev. E. 49(5) (1994), 1685–1689]. This is a well-known method for analysing the long-range dependence in non-stationary time series. Here we describe the DFA method and we prove its consistency and its exact distribution, based on the usual i.i.d. assumption, as an estimator for the fractional parameter d. In the literature it is well established that the nucleotide sequences present long-range dependence property. In this work, we analyse the long dependence property in view of the autoregressive moving average fractionally integrated ARFIMA(p, d, q) processes through the analysis of four nucleotide sequences. For estimating the fractional parameter d we consider the semiparametric regression method based on the periodogram function, in both classical and robust versions; the semiparametric R/S(n) method, proposed by Hurst [Long term storage in reservoirs, Trans. Am. Soc. Civil Eng. 116 (1986), 770–779] and the maximum likelihood method (see [R. Fox and M.S. Taqqu, Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series, Ann. Statist. 14 (1986), 517–532]), by considering the approximation suggested by Whittle [Hypothesis Testing in Time Series Analysis (1953), Hafner, New York].     

Looking for max-semistability: A new test for the extreme value condition

To test the extreme value condition, Cramér-Von Mises type tests were recently proposed by Drees et al. (2006) and Dietrich et al. (2002). Hüsler and Li (2006) presented a simulation study on the behavior of these tests and verified that they are not robust for models in the domain of attraction of a max-semistable distribution function. In this work we develop a test statistic that distinguishes quite well distribution functions which belong to a max-stable domain of attraction from those in a max-semistable one. The limit law is deduced and the results from a numerical simulation study are presented.