The Double Gaussian Approximation for High Frequency Data

Abstract High frequency data have become an important feature of many areas of research. They permit the creation of estimators in highly non‐parametric classes of continuous‐time models. In the context of continuous semi‐martingale models, we here provide a locally parametric ‘double Gaussian’ approximation, to facilitate the analysis of estimators. As in Mykland and Zhang (Econometrica, 77, 2009, p. 1403), the error in the approximation can be offset with a postasymptotic likelihood correction. The current approximation is valid in large neighbourhoods, permitting a sharp analysis of estimators that use local behaviour over asymptotically increasing numbers of observations.     

中国经济增长路径中稳定状态推移的政策模拟 ——基于拉姆齐模型的实证研究

 本文基于拉姆齐模型的动态分析框架，借助于对其中若干重要参数的分析，对中国经济增长中的稳定状态及其推移问题进行了实证研究；并利用研究结论对中国经济增长的最优路径进行了模拟。初步结论为：①中国经济增长路径中存在稳定状态且随其参变量的变化而移动；②此稳定状态可以通过政策优化参数而向后推移；③可调控参数分别为消费跨期替代弹性、人均消费增长率、资本份额、技术进步速率、社会平均折旧率、人口自然增长率。     

Numerical Bayesian inference with arbitrary prior

The purpose of the paper, is to explain how recent advances in Markov Chain Monte Carlo integration can facilitate the routine Bayesian analysis of the linear model when the prior distribution is completely user dependent. The method is based on a Metropolis-Hastings algorithm with a Student-t source distribution that can generate posterior moments as well as marginal posterior densities for model parameters. The method is illustrated with numerical examples where the combination of prior and likelihood information leads to multimodal posteriors due to prior-likelihood conflicts, and to cases where prior information can be summarized by symmetric stable Paretian distributions.     

Frailty models and copulas: similarities and differences

Copulas and frailty models are important tools to model bivariate survival data. Equivalence between Archimedean copula models and shared frailty models, e.g. between the Clayton-Oakes copula model and the shared gamma frailty model, has often been claimed in the literature. In this note we show that, in both the models, there is indeed a well-known equivalence between the copula functions; the modeling of the marginal survival functions, however, is quite different. The latter fact leads to different joint survival functions.     

关于随机可拓集的结构

本文研究随机可拓集的正域、负域、零域及可拓域、稳定域的一些性质。     

A Statistical Analysis of Probabilistic Counting Algorithms

Abstract. This article considers the problem of cardinality estimation in data stream applications. We present a statistical analysis of probabilistic counting algorithms, focusing on two techniques that use pseudo‐random variates to form low‐dimensional data sketches. We apply conventional statistical methods to compare probabilistic algorithms based on storing either selected order statistics, or random projections. We derive estimators of the cardinality in both cases, and show that the maximal‐term estimator is recursively computable and has exponentially decreasing error bounds. Furthermore, we show that the estimators have comparable asymptotic efficiency, and explain this result by demonstrating an unexpected connection between the two approaches.     

高阶非线性系统零解的全局稳定性

研究了一类高阶非线性微分系统,通过建立适当的李雅普诺夫函数,得出了这类高阶非线性系统零解全局渐近稳定性较弱的充分条件     

人民币汇率的超稳定状态及其突破

人民币汇率的超稳定状态正在增加中国经济体系的不稳定性 ,汇率的运行不能体现管理浮动汇率制度的内涵。中国加入 WTO后 ,现行汇率政策必须要进行调整 ,人民币汇率面临方向性选择 ,但宣布升值或贬值均非良策。本文提出要从市场建设及其运行方面完善汇率形成机制 ,实现人民币汇率的合理浮动 ,同时为外贸企业提供避险工具 ,建立科学的汇率管理信息系统 ,保证市场运行     

走出人民币汇率稳定的认识误区

在涉及人民币汇率稳定的讨论中,应该首先弄清楚以下三个基本问题,即汇率稳定本身是政策目标还是手段？当前汇率的稳定是由市场形成还是由行政机制决定？人民币汇率继续保持稳定究竟是利大还是弊大？对以上问题进行充分认识和分析,才能得出确实可行的结论,避免走入人民币汇率稳定的认识误区。     

突发事件中舆情传播机制与演化博弈分析

针对当前研究较少从属性层次来研究突发事件中的舆情传播问题,本文运用突发事件的结构化描述方法从属性层次分析了舆情的产生和传播的动力学机制,进而分别建立了传播主体的决策行为和博弈关系的结构化描述框架。然后,考虑传播主体的认知差异,运用演化博弈论方法分别对社会公众之间及社会公众与政府部门之间的博弈关系进行了研究。最后,运用实际案例对理论研究的有效性进行了验证,并运用数值仿真考查了该案例中博弈主体的认知差异对博弈均衡的影响。