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1.
Umberto Triacca 《Quality and Quantity》2012,46(6):1953-1957
In this note, it is argued that cointegration augments the distance between the differenced series. If two series, x t and y t , are integrated of order one and cointegrated and v t and w t are integrated of order one but not cointegrated then, under certain conditions, the distance between ??x t and ??y t is more than the distance between ??v t and ??w t . 相似文献
2.
3.
Douglas S. Bridges 《Journal of Mathematical Economics》1983,11(1):25-42
It is shown that, under certain conditions on a preference relation on a subset X of Rm, there exist real-valued functions u and v on X such that x is preferred to y if and only if u(x)>v(y). This generalises the familiar representation of preferences by a utility function in the case where the preference and indifference relations are transitive. The continuity of the functions u and v is also discussed. 相似文献
4.
Statistical techniques are effective and powerful means of quantifying the variability of processes, analyzing this variability with reference to product requirements, and eliminating this variability in product manufacturing. Many process capability indices have been effectively and widely used to determine whether the quality of a process meets preset targets. However, conventional process capability indices cannot be applied to assess the entire process capability of a product family with nominal-the-best specifications. This work presents a novel process capability index (CppT), which takes into account all family members. The index Cpp is a simple transformation from index Cpm, and CppT provides additional, individual information concerning the accuracy and precision of a process. Vännman’s (δ, γ)-plot [Vännman and Deleryd, Quality and Reliability Engineering International 15(3): 213–217 (1999)] is revised to compare the process capabilities of family members under both 100% inspection and sampling plans. Examples are provided to demonstrate the method’s practical application. 相似文献
5.
We discuss estimation of the model Yi=XibY+eYi, Ti=XibT+ eTi, when data on the continuous dependent variable Y and on the independent variables X are observed iff the ‘truncation variable’ T>0 and when T is latent. This case is distinct from both (i) the‘censored sample’ case, in which Y data are available iff T>0, T is latent and X data are available for all observations, and (ii) the ‘observed truncation variable’ case, in which both Y and X are observed iff T>0 and in which the actual value of T is observed whenever T>0. We derive a maximum-likelihood procedure for estimating this model and discuss identification and estimation. 相似文献
6.
H.D. Vinod 《Journal of econometrics》1980,12(2):143-150
Stein-Rule estimator for regression problems has been studied by several authors including Sclove (1968) and others listed in Vinod's (1978) survey. Ullah and Ullah (1978) provide the expressions for the mean squared error (MSE) of a double k-class (KK) estimator with parameters k1 and k2. When k2=1 the Stein-Rule estimator becomes a special case of KK and an optimal choice of k1 is known. This paper explores optimal theoretical choice of k1 and k2. We note that negative choices of k2 are permissible, and that thereis a large range of choices for K1 and k2 where the MSE of the Stein-Rule estimator can be reduced for regression problems based on multicollinear data. A simulation experiment is included. 相似文献
7.
We provide a new test for equality of two symmetric positive-definite matrices that leads to a convenient mechanism for testing specification using the information matrix equality or the sandwich asymptotic covariance matrix of the GMM estimator. The test relies on a new characterization of equality between two dimensional symmetric positive-definite matrices and : the traces of and are equal to if and only if . Using this simple criterion, we introduce a class of omnibus test statistics for equality and examine their null and local alternative approximations under some mild regularity conditions. A preferred test in the class with good omni-directional power is recommended for practical work. Monte Carlo experiments are conducted to explore performance characteristics under the null and local as well as fixed alternatives. The test is applicable in many settings, including GMM estimation, SVAR models and high dimensional variance matrix settings. 相似文献
8.
The center of a univariate data set {x
1,…,x
n} can be defined as the point μ that minimizes the norm of the vector of distances y′=(|x
1−μ|,…,|x
n−μ|). As the median and the mean are the minimizers of respectively the L
1- and the L
2-norm of y, they are two alternatives to describe the center of a univariate data set. The center μ of a multivariate data set {x
1,…,x
n} can also be defined as minimizer of the norm of a vector of distances. In multivariate situations however, there are several
kinds of distances. In this note, we consider the vector of L
1-distances y′1=(∥x
1- μ∥1,…,∥x
n- μ∥1) and the vector of L
2-distances y′2=(∥x
1- μ∥2,…,∥x
n-μ∥2). We define the L
1-median and the L
1-mean as the minimizers of respectively the L
1- and the L
2-norm of y
1; and then the L
2-median and the L
2-mean as the minimizers of respectively the L
1- and the L
2-norm of y
2. In doing so, we obtain four alternatives to describe the center of a multivariate data set. While three of them have been
already investigated in the statistical literature, the L
1-mean appears to be a new concept.
Received January 1999 相似文献
9.
This paper proposes a first-order zero-drift GARCH (ZD-GARCH(1, 1)) model to study conditional heteroscedasticity and heteroscedasticity together. Unlike the classical GARCH model, the ZD-GARCH(1, 1) model is always non-stationary regardless of the sign of the Lyapunov exponent , but interestingly it is stable with its sample path oscillating randomly between zero and infinity over time when . Furthermore, this paper studies the generalized quasi-maximum likelihood estimator (GQMLE) of the ZD-GARCH(1, 1) model, and establishes its strong consistency and asymptotic normality. Based on the GQMLE, an estimator for , a -test for stability, a unit root test for the absence of the drift term, and a portmanteau test for model checking are all constructed. Simulation studies are carried out to assess the finite sample performance of the proposed estimators and tests. Applications demonstrate that a stable ZD-GARCH(1, 1) model is more appropriate than a non-stationary GARCH(1, 1) model in fitting the KV-A stock returns in Francq and Zakoïan (2012). 相似文献
10.
The preliminary test ridge regression estimators (PTRRE) based on the Wald (W), Likelihood Ratio (LR) and Lagrangian Multiplier (LM) tests for estimating the regression parameters has been considered in this paper. Here we consider the multiple regression model with student t error distribution. The bias and the mean square errors (MSE) of the proposed estimators are derived under both null and alternative hypothesis. By studying the MSE criterion, the regions of optimality of the estimators are determined. Under the null hypothesis, the PTRRE based on LM test has the smallest risk followed by the estimators based on LR and W tests. However, the PTRRE based on W test performs the best followed by the LR and LM based estimators when the parameter moves away from the subspace of the restrictions. The conditions of superiority of the proposed estimators for both shrinkage parameter, k and the departure parameter, are provided. Some tables for the maximum and minimum guaranteed efficiency of the proposed estimators have been given, which allows us to determine the optimum level of significance corresponding to the optimum estimator. Finally, we conclude that the estimator based on Wald test dominates the other two estimators in the sense of having highest minimum guaranteed efficiency. 相似文献
11.
Let X
1, X
2, ..., X
n
be a random sample from a normal distribution with unknown mean μ and known variance σ
2. In many practical situations, μ is known a priori to be restricted to a bounded interval, say [−m, m] for some m > 0. The sample mean , then, becomes an inadmissible estimator for μ. It is also not minimax with respect to the squared error loss function. Minimax and other estimators for this problem have
been studied by Casella and Strawderman (Ann Stat 9:870–878, 1981), Bickel (Ann Stat 9:1301–1309, 1981) and Gatsonis et al.
(Stat Prob Lett 6:21–30, 1987) etc. In this paper, we obtain some new estimators for μ. The case when the variance σ
2 is unknown is also studied and various estimators for μ are proposed. Risk performance of all estimators is numerically compared for both the cases when σ
2 may be known and unknown. 相似文献
12.
《Journal of Management Studies》1976,13(3):297-315
Books reviewed in this article: COMPUTERS Making Computers Pay. By JOHN GRAHAM Choosing and Keeping Computer Staff. By ANTHONY CHANDOR A Practical Approach to Computer Simulation in Business. By L. L. CARTER and E. HUZAN Computer Application in Business. By SIMON LAMBOURN Managing the Computer. By GEORGE W. RADLEY Computer for Management; Language and Concepts. By R. G. A. BOLAND and R. M. OXTOBY Computer in Business Studies. By HAROLD LUCAS Business Systems and Data Processing Procdures. By FRANK J. CLARK, RONALD GALE and ROBERT GRAY Cobol for Studnt. By ANDREW PAKKIN Basic, a Compute Programming Language with Business and Management Application. By C. CARL PEGELS MARKETING Intrnational Marketing Management. By JAMES M. LIVINGSTONE Product Policy and Management. By MICHAEL J. BAKER and RONALD McTAVISH Pricing. By F. LIVESY Marketing Management Cases (2nd edn) By WILLIAM M. WEILBACHER Exercises in Marketing - Projects and Case Studies. By RICHARD H. BUURMAN Advertising Management. by C. WEINBERG, P. ROYLE, P. LAW and K. SIMMONDS Product Management. Edited by P. LAW, C. WEINBERG, P. ROYLE and K. SIMMONDS THE MULTINATIONALS Economic Analysis and the Multinational Entrprise, Edited by JOHN H. DUNNING The Future of the Multinational Entrprise. By PETER J. BUCKLEY and MARK CALLSON The International Enterprise. By JAMES M. LIVINGSTONE The Multinational Company. By E. J. KOLDE THE JOURNAL OF MANAGEMENT STUDIES The Multinational Man. The Role of the Manger Abroad. By THOMAS AITKEN BUSINESS AND SOCIETY Business stratgies for Survival. Edited by W. K. PURDIE and B. TAYLOR The Corporate Society. Edited by ROBIN MARRIS Social Responsibility and the Business Predicament. Edited by J. W. McKIE Political Responsibility and Industry. By EDMUND DELL Business and Socity. By THOMAS KEMPNER, KEITH MACMILLAN and KEVIN HAWKINS Management Scienc and Urban Problems. By MICHAEL J. C. MARTIN ET AL. Management and Morality. By JOHN ADAIR 相似文献
13.
14.
Ishai Oren 《Journal of Mathematical Economics》1981,8(3):207-220
For ? an anonymous exactly strongly consistent social choice function (ESC SCF) and x an alternative, define to be the size of a minimal blocking coalition for x. By studying the correspondence between ? and , we establish the existence, uniqueness and monotonicity of ESC SCF's. We also prove the following conjecture of B. Peleg: A non–constant anonymous ESC SCF depends on the knowledge of every player's full preference profile. 相似文献
15.
Consider the heteroscedastic regression model Y
(j)(x
in
, t
in
) = t
in
β + g(x
in
) + σ
in
e
(j)(x
in
), 1 ≤ j ≤ m, 1 ≤ i ≤ n, where sin2=f(uin){\sigma_{in}^{2}=f(u_{in})}, (x
in
, t
in
, u
in
) are fixed design points, β is an unknown parameter, g(·) and f(·) are unknown functions, and the errors {e
(j)(x
in
)} are mean zero NA random variables. The moment consistency for least-squares estimators and weighted least-squares estimators
of β is studied. In addition, the moment consistency for estimators of g(·) and f(·) is investigated. 相似文献
16.
The paper considers forecasting a contemporal linear aggregate yt of a vector time series Z't =(Z1t,...,Zkt). We first disciss the case where Zt follows a stationary multiple moving average process and propose a measure of the efficiency of aggregation. A necessary and sufficient condition is given for the case of no gain by employing the component series. Extension of the results to stationary multiple autoregressive process and some non-stationarity processes is discussed, and an illustrative example is given. 相似文献
17.
Abstract . Many of the richest people have all or a large part of their accumulated wealth in land, yet the men and women who work the land are usually their country's most poverty-stricken. The landowning elite is very powerful because land has been concentrated in few hands. In the Third World' of less developed countries (LDCs) and in the United States this situation in the last four decades has led to an emphasis on export crops and a restructuring of agriculture to produce them. Brazilis an example of this change, which has led to deforestation and multiplication of the hungry, homeless and alienated, the new “barbarians within the gates.” Comparable developments are seen in the U.S., threatening fiscal and political stability in many countries. 相似文献
18.
Hagen Scherb 《Metrika》2001,53(1):71-84
Uniformly most powerful (UMP) tests are known to exist in one-parameter exponential families when the hypothesis H
0 and the alternative hypothesis H
1 are given by
(i) H
0 : θ≤θ0, H
1 : θ>θ0, and
(ii) H
0 : θ≤θ1 or θ≥θ2, H
1 : θ1<θ<θ2, where θ1<θ2.
Likewise, uniformly most powerful unbiased (UMPU) tests do exist when the hypotheses H
0 and H
1 take the form
(iii) H
0 : θ1≤θ≤θ2, H
1 : θ<θ1 or θ>θ2, where θ1<θ2, and
(iv) H
0 : θ=θ0, H
1:θ≠θ0.
To determine tests in case (i), only one critical value c and one randomization constant γ have to be computed. In cases (ii) through (iv) tests are determined by two critical values
c
1, c
2 and two randomization constants γ1, γ2. Unlike determination of tests in case (i), computation of critical values and randomization constants in the remaining cases
is rather difficult, unless distributions are symmetric. No straightforward method to determine two-sided UMP tests in discrete
sample spaces seems to be known. The purpose of this note is to disclose a distribution independent principle for the determination
of UMP tests in cases (ii) through (iv).
Received: March 1999 相似文献
19.
Paolo Scapparone 《Decisions in Economics and Finance》1999,22(1-2):5-11
In this paper we say that a preference (i.e. irreflexive) relationP isregular (or aweak order) if both it and its non-comparability relation are transitive; we also say that a preference relationP * is aconvex extension of another preference relationP ifP?P * holds andP * is regular and convex-valued. We prove that a convex extension ofP exists if and only if every non-empty and finite set of alternativesA is not included in the convex hull of ∪ x∈A P(x). 相似文献
20.
Prof. Dr. H. Stenger 《Metrika》1988,35(1):77-92
Summary Suppose that a real numbery
u is associated with each unitu of a populationU and that the functiony:u →y
u onU is known to be an element of the parameter space Θ. The statistician has to select a samples ⊂U ofn units and to employy
u;u ∈s to estimate the arithmetic mean of ally
u,u ∈U.
The performance of such a strategy is assessed by its mean square error or, more simply, by the supremum of the mean square
error. This supremum cannot be determined exactly for the parameter space of Scott/Smith (1975). We propose, therefore, an
asymptotic approximation; this approximation is based on the assumption, that the sample sizen is fixed and that linear estimators have to be used. 相似文献