On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations

ABSTRACT

This paper discusses the detailed performance of an iterative plug-in (IPI) bandwidth selector for estimating the diurnal duration pattern in a Semi-ACD (semiparametric autoregressive conditional duration) model. For this purpose a large simulation study was carried out. The effects of different factors, which affect the selected bandwidth are discussed in detail. The simulated results and data examples show that the proposed IPI algorithm works very well in practice and that the Semi-ACD model in general is clearly superior to the parametric ACD model, if there is a deterministic trend in the duration data. It is also shown that the bandwidth selection, and the estimation of the diurnal pattern and the model parameters will all be clearly improved, if the sample size is enlarged. According to the goodness-of-fit of the estimated diurnal pattern, a best combination of the above-mentioned factors is found. Moreover, a comparative study shows that our proposal usually outperforms the commonly used cubic spline.     

Nonparametric regression: An up–to–date bibliography

We attempt to give a complete list of references in non parametric regression estimation (including non parametric time series analysis), with a brief introduction of these works according a classification taking the diversity of problems or methods into account.     

一类二阶双曲型方程的样条解法

从二元样条空间S12(△(2)mn)的理论出发,构造了一类新的差分格式,且利用它得到了一类二阶双曲型方程的样条解,且证明了这样的解的存在性、唯一性和收敛性问题.     

Multivariate partially linear single-index models: Bayesian analysis

Partially linear single-index models play important roles in advanced non-/semi-parametric statistics due to their generality and flexibility. We generalise these models from univariate response to multivariate responses. A Bayesian method with free-knot spline is used to analyse the proposed models, including the estimation and the prediction, and a Metropolis-within-Gibbs sampler is provided for posterior exploration. We also utilise the partially collapsed idea in our algorithm to speed up the convergence. The proposed models and methods of analysis are demonstrated by simulation studies and are applied to a real data set.     

《家》：用艺术创作作为斗争武器的典范——写于《家》出版75周年之际

流行于1928年以后的“革命文学”在艺术上由于公式化、概念化、纯粹的政治鼓动而失败；而巴金的《家》不走“革命文学”的套路，在坚实的生活基础上，以真实而又生动的生活画面，深刻揭露封建礼教的罪恶，并成功地塑造了高老太爷、觉新、觉慧等不同社会意义的典型形象，因而成为中国现代文学史上的一部经典作品，也成为以艺术创作作为斗争武器的典范。     

“惧内”现象剖析

:“惧内”是家庭中丈夫处于从属地位 ,而妻子居主权威的社会现象 ,有其存在的理由 ,且有漫长的历史 ,成因和种类也较多 ,爱情是其前提和基础 ,对协调家庭关系具有双重作用     

Testing Serial Correlation in Single Index Models

In this article, we propose two testing procedures for the serial correlation in single index models by virtue of B spline approximation for unknown single index function. Under some regular conditions, we show that our proposed statistics asymptotically follow normal and χ² distribution. Many numerical studies illustrate that the proposed procedures can perform very well for moderate sample size.     

社会保障会计理论问题剖析

社会保障会计是会计基本方法、基本原则、基本原理等在社会保障方面会计方面的具体应用。社会保障对一个国家和社会的经济增长和政治稳定,具有重要的意义。然而,和国际社会保障会计相比,中国社会保障制度虽然比较健全,但在社会保障基金会计方面却远远落后于国际水平。大量国内外文献已深入探讨了社会保障会计的概念、意义和核算基础,本论文根据已有的研究成果,创新性地提出改革中国现有的社会保障会计制度的建议。     

项目教学法在《思想道德修养与法律基础》课程中的运用和探索

探讨了项目教学法的内涵和特点,以及在"思想道德修养与法律基础"课程教学中的应用步骤、产生效果的原因和注意事项.