人民币汇率波动与贸易收支的协整分析

本文研究的是1985-2004年我国的进出口价格的需求弹性。首先给出了进出口价格需求弹性理论说明,接着通过平稳性检验、协整检验、建立误差修正模型等方法,分别对进口相对价格需求弹性和出口相对价格需求弹性进行实证检验。分析表明在我国ML条件成立,人民币汇率波动对我国进出口有显著的影响。     

Editorial collaborators

A simulation study of the binomial-logit model with correlated random effects is carried out based on the generalized linear mixed model (GLMM) methodology. Simulated data with various numbers of regression parameters and different values of the variance component are considered. The performance of approximate maximum likelihood (ML) and residual maximum likelihood (REML) estimators is evaluated. For a range of true parameter values, we report the average biases of estimators, the standard error of the average bias and the standard error of estimates over the simulations. In general, in terms of bias, the two methods do not show significant differences in estimating regression parameters. The REML estimation method is slightly better in reducing the bias of variance component estimates.     

Geeta distribution and its properties

A new discrete distribution defined over all the positive integers and with the name of Geeta distribution is described. It is L-shaped like the logarithmic series distribution, Yule distribution and the discrete Pareto distribution but is far more versatile than them as it has two parameters. It belongs to the classes of location parameter distributions, modified power series distributions, Lagrange series distributions and exponential distributions. Its mean fi, variance a2 and two recurrence formulae for higher central moments are obtained. Convolution theorem and variations in the model with changes in the parameters have been considered. ML estimators, MVU estimators and estimators based of mean and variance and on mean and first frequency have been derived.     

Robustness of Parameter Estimation Procedures in Multilevel Models When Random Effects are MEP Distributed

In this paper we examine maximum likelihood estimation procedures in multilevel models for two level nesting structures. Usually, for fixed effects and variance components estimation, level-one error terms and random effects are assumed to be normally distributed. Nevertheless, in some circumstances this assumption might not be realistic, especially as concerns random effects. Thus we assume for random effects the family of multivariate exponential power distributions (MEP); subsequently, by means of Monte Carlo simulation procedures, we study robustness of maximum likelihood estimators under normal assumption when, actually, random effects are MEP distributed.     

Generalized polya eggenberger family of distributions and its relation to lagrangian katz family

Janardan (1973) introduced the generalized Polya Eggenberger family of distributions (GPED) as a limiting distribution of the generalized Markov-Polya distribution (GMPD). Janardan and Rao (1982) gave a number of characterizing properties of the generalized Markov-Polya and generalized Polya Eggenberger distributions. Here, the GPED family characterized by four parameters, is formally defined and studied. The probability generating function, its moments, and certain recurrence relations with the moments are provided. The Lagrangian Katz family of distributions (Consul and Famoye (1996)) is shown to be a sub-class of the family of GPED (or GPED ₁ ) as it is called in this paper). A generalized Polya Eggenberger distribution of the second kind (GPED ₂ ) is also introduced and some of it's properties are given. Recurrence relations for the probabilities of GPED ₁ and GPED ₂ are given. A number of other structural and characteristic properties of the GPED ₁ are provided, from which the properties of Lagrangian Katz family follow. The parameters of GMPD ₁ are estimated by the method of moments and the maximum likelihood method. An application is provided.     

Burr-XII Distribution Parametric Estimation and Estimation of Reliability of Multicomponent Stress-Strength

In this paper, we estimate multicomponent stress-strength reliability by assuming Burr-XII distribution. The research methodology adopted here is to estimate the parameter using maximum likelihood estimation. Reliability is estimated using the maximum likelihood method of estimation and results are compared using the Monte Carlo simulation for small samples. Using real data sets we illustrate the procedure clearly.     

Penalized Maximum Likelihood Principle for Choosing Ridge Parameter

We consider the problem of choosing the ridge parameter. Two penalized maximum likelihood (PML) criteria based on a distribution-free and a data-dependent penalty function are proposed. These PML criteria can be considered as “continuous” versions of AIC. A systematic simulation is conducted to compare the suggested criteria to several existing methods. The simulation results strongly support the use of our method. The method is also applied to two real data sets.     

基于ML指数法的中国银行业贷款效率分析

阐述ML(Malmquist-Luenberger)指数构成及其分解方法,使用2007—2012年银行业相关数据计算考虑不良贷款的前提下投入产出导向的银行业贷款ML指数及其分解,结果表明在6年考察期间我国银行业贷款效率平均有0.002的降低,其原因是技术进步指数及规模效率指数降低。这说明银行贷款技术在大范围地普及,而贷款技术创新及贷款规模有待进一步发展,在市场发展中应密切关注经济萎缩的可能,并据此提出提高银行业贷款效率的建议。     

Weighted discrepancies and maximum likelihood estimation for discrete distributions

The paper shows that many estimation methods, including ML, moments, even-points, empirical c.f. and minimum chi-square, can be regarded as scoring procedures using weighted sums of the discrepancies between observed and expected frequencies The nature of the weights is investigated for many classes of distributions; the study of approximations to the weights clarifies the relationships between estimation methods, and also leads to useful formulae for initial values for ML iteration.     

相对时延对空时/时频调制系统性能的影响

在介绍空时/时频调制(ST-TFSK)系统原理的基础上,该文推导了在接收端已知相对时延条件下的非相干ML判决度量,讨论了在接收端未知相对时延条件下信噪比与系统误码率性能的关系,并将其结果与空时/频移键控(ST-FSK)系统的情形相比较。理论分析和仿真结果表明:低信噪比弱化了相对归一时延对ST-TFSK系统可靠性的影响;ST-TFSK系统对相对归一时延的敏感性弱于ST-4FSK系统。