函数严格单调充要条件的改进

对文献［２］中函数严格单调的“充要条件”给出了反例;给出并证明了两个新充要条件．     

A Numerical Study of Small Parameter Behavior of Some Families of Distributions

Limiting distributions play an important role in approximating the exact distributions, especially when they have a rather cumbersome analytic form, or simply when they do not have a closed from. The question that naturally arises is how good the approximation is. In this article, we propose a procedure for the numerical assessment of the “goodness” of some easy-to-calculate limiting distributions, originally proposed in Bar-Lev and Enis, in various cases of the underlying distributions, some of which are inherently computationally challenging. The details of the procedure are provided in three examples. The first example deals with the gamma distributions; the second deals with Bessel distributions related to a symmetric random walk, and the third example deals with positive stable distributions. The details of two additional variations of these examples are also discussed. These examples illustrate the ease with which the limiting approximations could be applied in the various cases, well-demonstrating their computational simplicity and attractiveness.     

Testing for residual correlation of any order in the autoregressive process

We are interested in the implications of a linearly autocorrelated driven noise on the asymptotic behavior of the usual least-squares estimator in a stable autoregressive process. We show that the least-squares estimator is not consistent and we suggest a sharp analysis of its almost sure limiting value as well as its asymptotic normality. We also establish the almost sure convergence and the asymptotic normality of the estimated serial correlation parameter of the driven noise. Then, we derive a statistical procedure enabling to test for correlation of any order in the residuals of an autoregressive modelling, giving clearly better results than the commonly used portmanteau tests of Ljung–Box and Box–Pierce, and appearing to outperform the Breusch–Godfrey procedure on small-sized samples.     

社会稳定机制体系及其建构

社会利益关系日益复杂多变,社会人群之间利益矛盾不断增多和扩大是多元社会特别是转型社会的显著特征.为此,一、建立可操作的有序的社会稳定--利益关系制约机制体系;二、建立可操作的有序的社会稳定--人群关系制约机制体系,这对维护社会稳定具有重要的意义.     

Projection estimators of Pickands dependence functions

The authors consider the construction of intrinsic estimators for the Pickands dependence function of an extreme‐value copula. They show how an arbitrary initial estimator can be modified to satisfy the required shape constraints. Their solution consists in projecting this estimator in the space of Pickands functions, which forms a closed and convex subset of a Hilbert space. As the solution is not explicit, they replace this functional parameter space by a sieve of finite‐dimensional subsets. They establish the asymptotic distribution of the projection estimator and its finite‐dimensional approximations, from which they conclude that the projected estimator is at least as efficient as the initial one.     

Truncation bounds for infinite expansions for the stable distributions

A number of authors have presented tabulations for the stable distributions based on infinite expansions for the density functions. In this paper we derive exact bounds for the truncation errors in these expansions and use the results to comment on some of the problems that have arisen in tabulating the stable distribution functions. The derivation of the truncation bounds relies on a little-known result for complex argument Taylor series due to Darboux (1876) which IS of much wider applicability than the present context.     

The normal tempered stable regression model

Abstract

This paper deals with the statistical studies of the normal tempered stable model defined by Barndorff-Nielsen and Shephard. It represents the natural extension of the normal inverse Gaussian one introduced by Barndorff-Nielsen. We basically use the Monte-Carlo’s approximation in order to simulate this distribution. We introduce a linear regression model with normal tempered stable error. We apply this model for the analyzing of the daily logarithm returns data on CAC40 index. The parameters estimation results show that this model better deals with long tailed distribution which is the case for the CAC40 logarithm returns.     

明代的国家建制与皇储教育

明代皇储教育中的诸多问题与国家建制有着内在关联。明代帝王在国家制度构建中表现出迷信制度本身在巩固统治方面的功能而忽视人的因素的偏颇的倾向 ,造成皇储养成的错位 ;明太祖又完全从构建稳定结构的政治制度出发 ,强行对东宫官属实行一元化改造 ,使得明代皇储教育运作出现功能性障碍 ;顽固坚持皇位嫡长子继承制更导致皇储个体失去自我完善的内在动力 ,而建储制度本身存在的问题又使得皇储教育难以真正执行     

场外衍生品市场监管的演化博弈分析

金融危机使场外衍生品市场广受争议, 政府监管的缺失被认为是酿成灾难性后果的根源之一。从有限理性的角度出发, 运用演化博弈的分析框架, 对市场交易主体与政府监管主体之间的策略选择、演变轨迹及影响因素展开了讨论, 发现复制动态系统中存在5个局部均衡点, 并且在不同情形下趋向于不同的均衡点。依据模型的结论, 得出增强我国场外衍生品市场监管效率的对策建议, 包括加大监管强制效力、完善监管激励机制、降低监管成本支出、推动产品规范运行、健全市场自律机制等措施。     

林农合作组织的合作联盟博弈分析

运用博弈论研究林业经济合作组织主体之间的合作问题,通过建立一个合作联盟的博弈模型,分析了林农和合作组织的纳什均衡策略及均衡结果。在此基础上,进一步分析了合作组织达到稳定的规模情况,最后使用案例对博弈模型进行了验证。研究结果表明:如果加入该组织后获得的收益不少于保留收益,林农就会有加入组织的意愿;如果新的林农加入合作组织后能够为原合作组织带来收益增长的空间,合作组织就会制定合理的分配份额激励林农加入。一个地区是否出现林农加入合作组织的行为以及合作组织达到稳定的最大规模与该地区的规模效益函数、组织成本函数、外部性函数和组织的分配规则情况有关。