一种新的基于交互多模型的序贯重要采样算法

通过将交互多模型（IMM）算法和粒子滤波（SIS）算法结合，提出了一种新的IMM～SIS算法。在每个模型中，都有一个标准的粒子滤波器，模型之间的交互与传统的IMM一样。由于在新的算法中，每个模型中粒子滤波都保证固定数量的粒子，因此不会出现粒子退化和贫乏现象。仿真证明了新的IMM—SIS算法在收敛速度和精度方面都要优于传统的IMM—EKF算法。     

Sequential point estimation of normal mean under LINEX loss function

A sequential point estimation of the mean of a normal distribution is considered under LINEX loss function. The regret of sequential procedures are obtained. Furthermore, it is shown that a sequential procedure with the sample mean as an estimate is asymptotically inadmissible. An accerelated stopping time is also considered. Received: December 1999     

Effect of Order of Contribution in a Sequential Public Goods Dilemma

This study examined how order of contribution in a sequential public goods dilemma affected cooperation. Under a sequential protocol of play, players of different levels of efficacy made decisions one after another. We contrasted a High-to-low versus Low-to-high Efficacy order in a nine-person game. Under a High-to-low order, high-efficacy players made decisions in positions 1–3, medium-efficacy players in positions 4–6, and low-efficacy players in positions 7–9. Under a Low-to-high order, the positions of high- and low-efficacy players were reversed. We hypothesized that cooperation rates would be higher in the High-to-low order that high-efficacy players (assigned in early positions), who would likely cooperate, would induce subsequent players to cooperate also. We found the anticipated effect that cooperation rate was higher in the High-to-low than the Low-to-high efficacy order. The efficacy order effect was the most prominent when people perceived that their group was becoming uncooperative. This study illustrates a new type of structural solution to social dilemmas that by systematically assigning people to different sequential positions, a group can be made more or less cooperative.     

Nonlinear Taylor rules in Central Eastern European countries

This study applies sequential panel selection method (SPSM), proposed by Chortareas and Kapetanios (2009) Chortareas, G., and G. Kapetanios. 2009. “Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels.” Journal of Banking and Finance 33: 390–404.[Crossref], [Web of Science ®] , [Google Scholar], to investigate to test the validity of Taylor rules to assess the nonstationary properties of the convergence of the real exchange rates for 10 Central Eastern European countries. The SPSM can be used to decompose a panel of real exchange rate series into two groups: a group of stationary series and a group of nonstationary series. We identify the stationary processes in the panel and demonstrate that Taylor rules holds for 7 of the 10 countries studied. These results imply that the choices and effectiveness of the monetary policies in Central Eastern European economies are highly influenced by external factors originating from the United States. Additionally, our findings highlight that their real exchange rate convergence is a mean reversion toward equilibrium values of Taylor rules in a nonlinear manner.     

Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies

This paper provides an investigation into the spillover effects of exchange rate returns and volatility for developed and emerging market currencies, using data from 1997 to 2011. The results suggest that spillovers in exchange rate returns have increased steadily over time, in moderate reaction to economic events. In contrast, spillovers in total observed volatility (measured by squared returns) react more strongly to economic events, and this transmission has remained at a relatively high level since the global financial crisis. Furthermore, over the course of time, global shocks would appear to account for a larger proportion of aggregate exchange rate volatility (and the relative importance of domestic shocks has declined). The paper also considers whether the increase in volatility spillover is due to sudden shocks, or whether it is due to changes in the stochastic trend of the underlying volatility process. The results suggests that in most cases, this increase is due to sudden shocks, however, in certain instances country‐specific events may perpetuate changes to the trend of the underlying volatility spillover.     

带量采购政策下制药企业投标过程中的价格决策分析——基于博弈论的视角

药品集中带量采购政策是中国医疗体制改革的重大举措,目的在于通过以“量”换“价”的方式,降低药品价格。采用不完全信息静态博弈和序贯博弈分析制药企业如何在投标过程中做出最优报价决策。结果表明：制药企业成本越低,最优投标报价策略下所实现的收益越高;参与竞争的制药企业越少,最优投标报价策略下所实现的收益越高;政府采购价格为顶价A与制药企业成本C的一半。基于研究结论,为完善药品集中带量采购政策,推进政企之间的利益均衡提出几点可行性建议。     

利用少量标签训练集的半监督OLTV算法的设计

目前,大多数半监督学习算法都要使用大量的带标签训练样例集,当只有一个带标签训练样例时许多方法便不再适用。因此,基于两个充分视图工作的OLTV算法被提出来了。本文实现了此算法,并对充分视图的构建进行了讨论。对于特定的数据集,首先对它进行属性划分,得到两个充分视图;然后再执行OLTV算法,这样由一个初始标签训练样例便可以得到两个新的标签样例。最后在公共数据集上的实验验证了所提出算法的有效性。     

Sequential versus Bundle Auctions for Recurring Procurement

We compare sequential and bundle procurement auctions in a framework of successive procurement situations, where current success positively or negatively affects future market opportunities. We find that in bundle auctions procurement cost is lower and less risky than in sequential standard auctions, but still higher than in the optimal sequential auction. Only a sequential second price auction leads to the efficient outcome.     

Design considerations for neyman-pearson and wald hypothesis testing

Summary The Neyman-Pearson Lemma describes a test for two simple hypotheses that, for a given sample size, is most powerful for its level. It is usually implemented by choosing the smallest sample size that achieves a prespecified power for a fixed level. The Lemma does not describe how to select either the level or the power of the test. In the usual Wald decision-theoretic structure there exists a sampling cost function, an initial prior over the hypothesis space and various payoffs to right/wrong hypothesis selections. The optimal Wald test is a Bayes decision rule that maximizes the expected payoff net of sampling costs. This paper shows that the Wald-optimal test and the Neyman-Pearson test can be the same and how the Neyman-Pearson test, with fixed level and power, can be viewed as a Wald test subject to restrictions on the payoff vector, cost function and prior distribution.     

股权分置改革——由市场走势引发的思考

股权分置改革后,沪深两市也走出了振荡中稳步攀升的走势,上证指数上涨幅度超过40％。这意味着,经过股权分置改革,资本市场“晴雨表”功能正在逐步发挥、资产定价标准趋于合理、价值投资理念逐步形成、管理层激励机制开始发挥作用以及我国的资本市场开始与国际接轨。然而现在毕竟处于股权分置改革初期,许多历史遗留问题还没有解决,因此还要通过完善新股发行的制度安排、切实解决上市公司大股东占款问题以及遏制更强烈的虚假信息披露冲动,来巩固股权分置改革的成果。