Geometric ergodicity of nonlinear autoregressive models with changing conditional variances

The authors give easy‐to‐check sufficient conditions for the geometric ergodicity and the finiteness of the moments of a random process x_t = ?(x_t‐1,…, x_t‐p) + ?_tσ(x_t‐1,…, x_t‐q) in which ?: R^p → R, σ R^q → R and (?_t) is a sequence of independent and identically distributed random variables. They deduce strong mixing properties for this class of nonlinear autoregressive models with changing conditional variances which includes, among others, the ARCH(p), the AR(p)‐ARCH(p), and the double‐threshold autoregressive models.     

Approximate Confidence Limits for the Difference between Parameters of Two Pólya Distributions

The problem of calculating approximate confidence limits for the difference between success probability parameters of two Pólya distributions is solved for the first time. We suggest some new methods for determining these approximate confidence limits and consider their application to special cases: namely for the binomial and hypergeometric distributions. The various approximate confidence limits are evaluated and compared.     

Homosexual role separation: Implications for analyzing and modeling the spread of HIV

The analysis of the spread of HIV in homosexual populations must be based on knowledge of all factors which promote or inhibit transmission. Recently, data were reported from the Amsterdam cohort study that imply that sexual role separation and the changes therein should be taken into account in analyzing and modeling the spread of HIV. In this paper, a role separation mixing model is described and linked to data from the Amsterdam cohort. The model allows one to study the impact of homosexual role separation on the spread of HIV. The homosexual men are classified into four sexual subgroups based on the preference for: 1) no anal intercourse; 2) anal insertive only; 3) anal receptive only; 4) both insertive and receptive. The analysis accounts for variability and change in homosexual role behavior and loss to follow up. The results support the conjecture that there are large differences between the risks of receptive and insertive anal intercourse, with the latter carrying only minimal risk. The analysis indicates that the spread of HIV is mostly restricted to subgroup 4, the largest and sexually most active subgroup. In this subgroup, the estimated probability of HIV transmission from an infected insertive partner (in subgroup 2 or 4) to a receptive susceptible (in subgroup 4) is between 1 and 5 percent (assuming a closed cohort).     

Reconsideration of the F-test of the analysis of variance: the semi-bayesian significance test

The usual F-test of the analysis of variance is reconsidered within the Bayesian framework, In terms of predictive distributions, This leads to the notion of semi-Bayesian significance test, so called because it consists in only probabilizing the space of nuisance parameters, thus bringing a general principle for “eliminating” nuisance parameters, or more exactly incorporating information about these parameters. The approach is shown to extend the F-tests, by allowing the testing of hypotheses of non-zero effects.     

Goodness-of-Fit Tests for Multiplicative Models with Dependent Data

Abstract.  Several classical time series models can be written as a regression model between the components of a strictly stationary bivariate process. Some of those models, such as the ARCH models, share the property of proportionality of the regression function and the scale function, which is an interesting feature in econometric and financial models. In this article, we present a procedure to test for this feature in a non-parametric context. The test is based on the difference between two non-parametric estimators of the distribution of the regression error. Asymptotic results are proved and some simulations are shown in the paper in order to illustrate the finite sample properties of the procedure.     

带通滤波器的计算新思路

用一种新的思路和方法 ,先计算低通、再计算高通滤波器的有关参数 ,然后组合成带通滤波器     

关于孟德斯鸠分权理论的几个问题

近代以前的西方分权理论表现为混合政体理论，其本质是阶级分权，平衡社会各阶级之间的利益。孟德斯鸠对分权理论的贡献是把自由与分权相联系，并具体提出了三权分立的方案。三权分立只是现代国家分权模式的一种，它一般适用于内忧外患较少的国家。要实现真正的三权分立与制衡，局部的权力混合交叉是必要的。议会制国家事实上是议行合一。分权除了防止权力的滥用外，还能提高政府的工作效率。     

掺配调节的效应分析及对我国的启示

文章探讨政府采用“掺配调节”时进口商所面临的激励机制，分析在竞争性国内产业和国内垄断生产厂商的情况下这些限制的影响，然后再对“掺配调节”与作为达到各种政策目标的其他政策工具作一比较，在此基础上指出“掺配调节”对我国的借鉴意义。     

Measuring the complexity of generalized linear hierarchical models

Measuring a statistical model's complexity is important for model criticism and comparison. However, it is unclear how to do this for hierarchical models due to uncertainty about how to count the random effects. The authors develop a complexity measure for generalized linear hierarchical models based on linear model theory. They demonstrate the new measure for binomial and Poisson observables modeled using various hierarchical structures, including a longitudinal model and an areal‐data model having both spatial clustering and pure heterogeneity random effects. They compare their new measure to a Bayesian index of model complexity, the effective number p_D of parameters (Spiegelhalter, Best, Carlin & van der Linde 2002); the comparisons are made in the binomial and Poisson cases via simulation and two real data examples. The two measures are usually close, but differ markedly in some instances where p_D is arguably inappropriate. Finally, the authors show how the new measure can be used to approach the difficult task of specifying prior distributions for variance components, and in the process cast further doubt on the commonly‐used vague inverse gamma prior.     

A Non-parametric Test for Generalized First-order Autoregressive Models

We derive a non-parametric test for testing the presence of V(X_i,ε_i) in the non-parametric first-order autoregressive model X_i+1=T(X_i)+V(X_i,ε_i)+U(X_i)ε_i+1, where the function T(x) is assumed known. The test is constructed as a functional of a basic process for which we establish a weak invariance principle, under the null hypothesis and under stationarity and mixing assumptions. Bounds for the local and non-local powers are provided under a condition which ensures that the power tends to one as the sample size tends to infinity.The testing procedure can be applied, e.g. to bilinear models, ARCH models, EXPAR models and to some other uncommon models. Our results confirm the robustness of the test constructed in Ngatchou Wandji (1995) and in Diebolt & Ngatchou Wandji (1995).