Estimation of Dynamic Bivariate Mixture Models

This note compares a Bayesian Markov chain Monte Carlo approach implemented by Watanabe with a maximum likelihood ML approach based on an efficient importance sampling procedure to estimate dynamic bivariate mixture models. In these models, stock price volatility and trading volume are jointly directed by the unobservable number of price-relevant information arrivals, which is specified as a serially correlated random variable. It is shown that the efficient importance sampling technique is extremely accurate and that it produces results that differ significantly from those reported by Watanabe.     

The Estimation of Dynamic Bivariate Mixture Models

Watanabe estimated the dynamic bivariate mixture models introduced by Tauchen and Pitts and modified by Andersen using a Bayesian method via Markov chain Monte Carlo techniques. Based on a maximum likelihood method via efficient importance sampling, Liesenfeld and Richard obtained estimates that are significantly different from those of Watanabe. This note corrects the error in the multimove sampler used by Watanabe and reproduces all analyses in the work of Watanabe using a corrected multimove sampler. The estimates using the correct multimove sampler are found to be close to those obtained by Liesenfeld and Richard.     

An alternative approach to variable selection for prediction

A procedure for selecting a subset of predictor variables in regression analysis is suggested. The procedure is so designed that it leads to the selection of a subset of variables having an adequate degree of informativeness with a directly specified confidence coefficient. Some examples are considered to illustrate the application of the procedure.     

Covariate Selection for the Semiparametric Additive Risk Model

Abstract.  This paper considers covariate selection for the additive hazards model. This model is particularly simple to study theoretically and its practical implementation has several major advantages to the similar methodology for the proportional hazards model. One complication compared with the proportional model is, however, that there is no simple likelihood to work with. We here study a least squares criterion with desirable properties and show how this criterion can be interpreted as a prediction error. Given this criterion, we define ridge and Lasso estimators as well as an adaptive Lasso and study their large sample properties for the situation where the number of covariates p is smaller than the number of observations. We also show that the adaptive Lasso has the oracle property. In many practical situations, it is more relevant to tackle the situation with large p compared with the number of observations. We do this by studying the properties of the so-called Dantzig selector in the setting of the additive risk model. Specifically, we establish a bound on how close the solution is to a true sparse signal in the case where the number of covariates is large. In a simulation study, we also compare the Dantzig and adaptive Lasso for a moderate to small number of covariates. The methods are applied to a breast cancer data set with gene expression recordings and to the primary biliary cirrhosis clinical data.     

流言的流变:SARS舆情的传播学分析

无论是对于传媒管理、还是对于社会与政治变革而言,SARS危机事件中的流言传播现象都是一个难得的研究样本。舆论的进程及相关的跨学科调查表明:流言生成于主流传媒的缺位,平息于民众信息权力的恢复;在流言的最初阶段,存在着属于中产阶层的敏感人群,这意味着传播管理有可能采取更有针对性的对策;流言传播对于“道听途说”的明显的信道依赖,表明了流言在信息封锁之中更可能演变为谣言和谎言,更为重要的趋势是,新媒介在流言传播中的作用已日益显著。     

Cultural Variables and International Business

IntroductionCulturegivesanindividualananchoringpoint,ani dentity ,aswellascodesofconduct (MichaelR ,Iikka ,andMichaelH 2 0 0 2 :33) .Ofmorethan 16 0definitionsofculture (AlfredandClyde 1985 :11) ,mostagreeonsomebasicprinciples ,butthereisalotofvariationonthedetails .Cultureisalsomultidimensional ,consistingofanumberofcommonelementsthatareinterdependent.Thedifferencesinculturehaveanimportantimpactonmanyaspectsofamultinationalcompany’sactivity .Thispaperwillmainlydiscusstheeffectofsomeofthe…     

资源、环境与贫困关系的研究

我国政府目前正在进行着一场世纪工程—西部大开发。然而,西部开发由于地域辽阔,情况尤显复杂,故不能搞“一刀切”。本文作者在此文论述中针对生态敏感地区、森林丰富地区、生物多样性地区作了资源、环境与贫困关系的深层次研究分析,提出一些值得我们重视和思考的问题。     

制造商供应量变化时同质多物品拍卖价格策略研究

本文分析了制造商供应量变化时、在多个零售商非单位需求情形下的统一价格拍卖与歧视价格拍卖,得到了两种拍卖方式下零售商的报价策略、制造商的价格策略及其相关性质。结果表明:统一价格拍卖中,零售商在低价时所提交数量高于其真实需求,在高价时所提交数量低于其真实需求。歧视价格拍卖中零售商在低价会选择提交自己真实的需求量,在高价会选择提交低于真实的需求量。若参与拍卖的零售商越多,相对歧视价格拍卖,统一价格拍卖提交的需求量扭曲越少,从机制设计的角度来看,制造商更倾向于用统一价格拍卖的方式进行产品批发。