股市波动率的短期预测模型和预测精度评价

基于幂转换以及不设定扰动项的具体相关结构和分布形式,构建了半参数的短期预测模型来预测中国股市的波动率.模型采用基于极值估计量的两阶段估计法进行估计,估计方法的小样本性质表现良好.此外,还通过具有Bootstrap特性的SPA检验实证比较了新模型与其他6种预测模型的预测精度.实证结果表明,在各种损失函数下,半参数短期预测...     

Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods

This paper considers Lagrange Multiplier (LM) and Likelihood Ratio (LR) tests for determining the cointegrating rank of a vector autoregressive system. n order to deal with outliers and possible fat-tailedness of the error process, non-Gaussian likelihoods are used to carry out the estimation. The limiting distributions of the tests based on these non-Gaussian pseudo-)likelihoods are derived. These distributions depend on nuisance parameters. An operational procedure is proposed to perform inference. It appears that the tests based on non-Gaussian pseudo-likelihoods are much more powerful than their Gaussian counterparts if the errors are fat-tailed. Moreover, the operational LM-type test has a better overall performance than the LR-type test. Copyright O 1998 by Marcel Dekker, Inc.     

论普通话水平测试焦虑心理及调节

普通话水平测试焦虑是应试人在测试准备阶段和测试过程中的心理紧张、担心、恐惧等在情绪上的反应。导致焦虑的原因主要有 :期望值太高 ,心理负荷过大 ;自信心和心理预防措施不足 ;知识技能及相关准备不充分。为提高测试成绩 ,减轻或排解过强焦虑 ,应试人要正确认识普通话水平测试 ,端正测试动机 ;提出适宜的等级目标 ;做好充分准备 ,形成良好的测试状态 ;掌握一些处理“怯场”的办法。     

我国城镇居民旅游兴趣统计分析

文章依据我国城镇居民旅游兴趣抽样数据,运用列联分析中X~2检验和对数线性模型效应分析理论。对我国城镇居民旅游兴趣分年龄、经济收入、文化程度进行定量分析,据此提出一些建议。     

Monte carlo sampling approach to testing nonnested hypothesis: monte carlo results

Alternative ways of using Monte Carlo methods to implement a Cox-type test for separate families of hypotheses are considered. Monte Carlo experiments are designed to compare the finite sample performances of Pesaran and Pesaran's test, a RESET test, and two Monte Carlo hypothesis test procedures. One of the Monte Carlo tests is based on the distribution of the log-likelihood ratio and the other is based on an asymptotically pivotal statistic. The Monte Carlo results provide strong evidence that the size of the Pesaran and Pesaran test is generally incorrect, except for very large sample sizes. The RESET test has lower power than the other tests. The two Monte Carlo tests perform equally well for all sample sizes and are both clearly preferred to the Pesaran and Pesaran test, even in large samples. Since the Monte Carlo test based on the log-likelihood ratio is the simplest to calculate, we recommend using it.     

On the joint distribution of placement statistics under progressive censoring and applications to precedence test

In reliability and survival analysis, comparison of two or more populations is an important problem. For example, while comparing a treatment group with a control group, one may be interested in determining whether the observations in the treatment group have a longer lifetime than those from the control group, that is, whether the treatment is effective or not. In such a study, it would be extremely valuable to make a decision based on early failures. In this paper, we consider independent progressively Type-II censored random samples from two populations with cumulative distribution function's (cdf) F(·)$F(·)$ and G(·)$G(·)$ respectively, and discuss a precedence test for testing the equality of the two distributions based on placements. For this purpose, we derive the joint distribution of the first l   placement statistics from the progressively censored sample from F(·)$F(·)$. We then derive the exact null distribution of the precedence test statistic which is simply the sum of the placements. We provide the rejection regions for fixed levels of significance and various sample sizes and different progressive censoring schemes.     

胡尖山地区长 6、长 4+5 储层有利区预测

摘要：以胡尖山油田长 6、长 4+5 油藏为例,综合应用地质资料、岩芯分析资料、测井资料以及试油资料,开展了长 6和长 4+5 油藏小层划分和对比、单井相分析,建立测井相识别模式,编制小层沉积相平面展布图,进而分析沉积相演化规律;探讨储层砂体展布以及物性分布规律,从而深入认识研究区的储层特征。在此基础上对储层进行流动单元的划分,然后结合试油资料对胡尖山油田长 6、长 4+5 油藏的储层进行有利区域的预测,为油田待开发区域的合理建产开发提供了理论指导     

An operative extension of the likelihood ratio test from fuzzy data

In the present paper we are going to extend the likelihood ratio test to the case in which the available experimental information involves fuzzy imprecision (more precisely, the observable events associated with the random experiment concerning the test may be characterized as fuzzy subsets of the sample space, as intended by Zadeh, 1965). In addition, we will approximate the immediate intractable extension, which is based on Zadeh’s probabilistic definition, by using the minimum inaccuracy principle of estimation from fuzzy data, that has been introduced in previous papers as an operative extension of the maximum likelihood method.