欧洲二氧化碳期货市场有效性分析

欧盟排放贸易体系(EU ETS)是主要的国际碳交易市场,该体系排放许可单位(EUAs)的交易市场发展迅猛。为了帮助市场参与者更好地规避市场价格风险,利用单位根检验和协整关系检验验证了欧洲二氧化碳期货市场的有效范围,发现其在1个月内是有效的。在市场有效性范围内,对现货价格和期货价格建立了向量误差修正模型,同时发现该期货市场某时刻价格的影响可以持续3个月。     

Estimation of cointegrated models with exogenous variables

We consider a cointegrated vector autoregressive process of integrated order 1, where the process consists of endogenous variables and exogenous variables. Johansen [Cointegration in partial systems and the efficiency of single-equation analysis. J Econometrics. 1992;52:389–402], Harbo et al. [Asymptotic inference on cointegrating rank in partial systems. J Amer Statist Assoc. 1998;16:388–399], and Pesaran et al. [Structural analysis of vector error correction models with exogenous I(1) variables. J Econometrics. 2000;97:293–343] considered inference of such processes assuming that the non-stationary exogenous variables are not cointegrated, and thus they are weakly exogenous. We consider the case where exogenous variables are cointegrated. Parameterization and estimation of the model is considered, and the asymptotic properties of the estimators are presented. The method in this paper is also applicable for the models considered in Mosconi and Giannini [Non-causality in cointegrated systems: representation estimation and testing. Oxford Bull Econ Stat. 1992;54:399–417], Pradel and Rault [Exogeneity in vector error correction models with purely exogenous long-run paths. Oxford Bull Econ Stat. 2003;65:629–653], and Hunter [Cointegrating exogeneity. Econom Lett. 1990;34:33–35]. A real data example is provided to illustrate the methods. Finite sample properties of the estimators are also examined through a Monte Carlo simulation.     

Numerical testing of evolution theories †

Fisher's method of combining independent tests is used to construct tests of means of multivariate normal populations when the covariance matrix has intraclass correlation structure. Monte Carlo studies are reported which show that the tests are more powerful than Hotelling's T ²-test in both one and two sample situations.     

Online learning for quantile regression and support vector regression

We consider for quantile regression and support vector regression a kernel-based online learning algorithm associated with a sequence of insensitive pinball loss functions. Our error analysis and derived learning rates show quantitatively that the statistical performance of the learning algorithm may vary with the quantile parameter τ$\tau$. In our analysis we overcome the technical difficulty caused by the varying insensitive parameter introduced with a motivation of sparsity.     

Selective support vector machines

In this study we introduce a generalized support vector classification problem: Let X _i , i=1,…,n be mutually exclusive sets of pattern vectors such that all pattern vectors x _i,k , k=1,…,|X _i | have the same class label y _i . Select only one pattern vector $x_{i,k^{*}}In this study we introduce a generalized support vector classification problem: Let X _i , i=1,…,n be mutually exclusive sets of pattern vectors such that all pattern vectors x _i,k , k=1,…,|X _i | have the same class label y _i . Select only one pattern vector from each set X _i such that the margin between the set of selected positive and negative pattern vectors are maximized. This problem is formulated as a quadratic mixed 0-1 programming problem, which is a generalization of the standard support vector classifiers. The quadratic mixed 0-1 formulation is shown to be -hard. An alternative approach is proposed with the free slack concept. Primal and dual formulations are introduced for linear and nonlinear classification. These formulations provide flexibility to the separating hyperplane to identify the pattern vectors with large margin. Iterative elimination and direct selection methods are developed to select such pattern vectors using the alternative formulations. These methods are compared with a na?ve method on simulated data. The iterative elimination method is also applied to neural data from a visuomotor categorical discrimination task to classify highly cognitive brain activities.     

影子价格的特征及其计算

影子价格具备虚拟性、最优性、确定性、可及性及方向性,以此阐述对偶变量与影子价格的差异,并对线性规划问题中影子价格的求解做简要介绍.     

A new test for the mean vector in large dimension and small samples

In this article, we consider the problem of testing the mean vector in the multivariate normal distribution, where the dimension p is greater than the sample size N. We propose a new test T_Block and obtain its asymptotic distribution. We also compare the proposed test with other two tests. The simulation results suggest that the performance of the new test is comparable to the existing two tests, and under some circumstances it may have higher power. Therefore, the new statistic can be employed in practice as an alternative choice.     

一种针对不完全观测数据的消费者聚类方法

现有聚类方法都是基于消费者全部的行为信息,对于观测不完全的信息,提出了三阶段聚类方法。首先,使用样本数据的全部信息对消费者聚类;接着仅使用人口统计变量建立分类模型;最后对上述结果进行修正。三阶段聚类方法最大优点是可以将没有入选样本的个体分配到由样本个体得到的行为集群中去,将这个方法应用于电视行业,得到了很有实际应有价值的结果。     

Structural vector autoregressive analysis for cointegrated variables

Summary Vector autoregressive (VAR) models are capable of capturing the dynamic structure of many time series variables. Impulse response functions are typically used to investigate the relationships between the variables included in such models. In this context the relevant impulses or innovations or shocks to be traced out in an impulse response analysis have to be specified by imposing appropriate identifying restrictions. Taking into account the cointegration structure of the variables offers interesting possibilities for imposing identifying restrictions. Therefore VAR models which explicitly take into account the cointegration structure of the variables, so-called vector error correction models, are considered. Specification, estimation and validation of reduced form vector error correction models is briefly outlined and imposing structural short- and long-run restrictions within these models is discussed. I thank an anonymous reader for comments on an earlier draft of this paper that helped me to improve the exposition.