Resampling m-Dependent Random Variables with Applications to Forecasting

Resampling methods are proposed to estimate the distributions of sums of m -dependent possibly differently distributed real-valued random variables. The random variables are allowed to have varying mean values. A non parametric resampling method based on the moving blocks bootstrap is proposed for the case in which the mean values are smoothly varying or 'asymptotically equal'. The idea is to resample blocks in pairs. It is also confirmed that a 'circular' block resampling scheme can be used in the case where the mean values are 'asymptotically equal'. A central limit resampling theorem for each of the two cases is proved. The resampling methods have a potential application to time series analysis, to distinguish between two different forecasting models. This is illustrated with an example using Swedish export prices of coated paper products.     

Cross-sectional correlation robust tests for panel cointegration

We use meta-analytic procedures to develop new tests for panel cointegration, combining p-values from time-series cointegration tests on the units of the panel. The tests are robust to heterogeneity and cross-sectional dependence between the panel units. To achieve the latter, we employ a sieve bootstrap procedure with joint resampling of the units’ residuals. A simulation study shows that the tests can have substantially smaller size distortion than tests ignoring the presence of cross-sectional dependence while preserving high power. We apply the tests to a panel of post-Bretton Woods data to test for weak purchasing power parity.     

A new method for the estimation of variance matrix with prescribed zeros in nonlinear mixed effects models

We propose a new method for the Maximum Likelihood Estimator (MLE) of nonlinear mixed effects models when the variance matrix of Gaussian random effects has a prescribed pattern of zeros (PPZ). The method consists of coupling the recently developed Iterative Conditional Fitting (ICF) algorithm with the Expectation Maximization (EM) algorithm. It provides positive definite estimates for any sample size, and does not rely on any structural assumption concerning the PPZ. It can be easily adapted to many versions of EM.     

Pairwise likelihood estimation for multivariate mixed Poisson models generated by Gamma intensities

Estimating the parameters of multivariate mixed Poisson models is an important problem in image processing applications, especially for active imaging or astronomy. The classical maximum likelihood approach cannot be used for these models since the corresponding masses cannot be expressed in a simple closed form. This paper studies a maximum pairwise likelihood approach to estimate the parameters of multivariate mixed Poisson models when the mixing distribution is a multivariate Gamma distribution. The consistency and asymptotic normality of this estimator are derived. Simulations conducted on synthetic data illustrate these results and show that the proposed estimator outperforms classical estimators based on the method of moments. An application to change detection in low-flux images is also investigated.     

Smoothing parameter selection for a class of semiparametric linear models

Summary.  Spline-based approaches to non-parametric and semiparametric regression, as well as to regression of scalar outcomes on functional predictors, entail choosing a parameter controlling the extent to which roughness of the fitted function is penalized. We demonstrate that the equations determining two popular methods for smoothing parameter selection, generalized cross-validation and restricted maximum likelihood, share a similar form that allows us to prove several results which are common to both, and to derive a condition under which they yield identical values. These ideas are illustrated by application of functional principal component regression, a method for regressing scalars on functions, to two chemometric data sets.     

Patterns of practice: a reflection on the development of quantitative/mixed methodologies capturing everyday life related to water consumption in the UK

There is a growing body of research arguing the relevance of practice approaches to understand resource consumption, and to highlight alternative pathways to sustainability. These practice approaches offer an alternative conceptualisation of demand and have been demonstrated largely by qualitative research, particularly in the work on water and energy consumption in the home. However, these historical narratives and qualitative research have not, to date, lead to the development of quantitative or mixed methodologies that could potentially reflect the diversity of performances of practice across populations in a more systematic way. This paper reflects, critically, on one such attempt to scale a practice-based perspective into a quantitative survey on water consumption and practice in homes in the south and South-East of England. The use of quantitative and mixed methodology has substantial potential – from translating practice-based research to policy; developing indictors to track patterns of practices as they change over time; and the exploration of methodologies that reflect the bundling and coordination of practices associated with water use inside and outside the home. The benefits and utility of such a methodological approach are highlighted as cautions and future research directions.     

The U.S. mainstream expands – again

Building on neo-assimilation ideas, we conceptualise the ‘mainstream’ and then find compelling evidence of its expansion in the U.S. in the rising number of individuals who come from mixed minority–majority backgrounds. In terms of the contexts in which they are raised and their social identities and affiliations, on the whole they resemble whites more than they do minorities, and they marry whites at very high rates. Individuals who are partly black are exceptions to some of these patterns. We note an important similarity between this expansion and the one associated with post-World War II assimilation: both are connected with growing diversity of identity and ethnic expression in the mainstream. An equally important difference lies in the more modest magnitude of the current expansion. We close with a series of questions for future research raised by our argument.     

Integration's challenges and opportunities in the Wealthy West

A demographic transition to greater ethno-racial diversity, the product in part of large-scale immigration over decades, will create challenges and opportunities for Western societies in coming decades. In this paper, based on our study of the USA and four Western European countries, we sift evidence from the first decade of the twenty-first century to look for clues about the possible consequences of the transition for the integration of the second generation, specifically, the children of low-status immigrants. We find unmet challenges when it comes to educational attainment and early labour-market position. That is, although on average the second generation advances beyond its parents, in each society it lags well behind its agemates from the native majority. Yet we also find, using data from the USA, that segments of the second generation are experiencing social mobility into the upper tiers of the occupational hierarchy and socially integrating with members of the majority group, arguably expanding the societal mainstream. This paradoxical picture, we argue, captures crucial dynamics that will affect the near future in the wealthy West.     

Prediction intervals for time series models with trend via sieve bootstrap

This paper discusses method for constructing the prediction intervals for time series model with trend using the sieve bootstrap procedure. Gasser–Müller type of kernel estimator is used for trend estimation and prediction. The boundary modification of the kernel is applied to control the edge effect and to construct the predictor of a trend.     

论国际混业经营趋势下我国的金融监管

在国际混业经营趋势下,我国现行的金融监管模式存在很多的弊端,已经无法满足我国的金融监管需求.基于这种形式,本文分析了国际混业经营的现状、发展趋势以及我国现行金融监管制度下面临的困难,研究了在国际混业经营趋势下我国金融监管模式的选择,并提出了完善我国金融监管的对策.