Interpoint Distance Test of Homogeneity for Multivariate Mixture Models

Finite mixtures offer a rich class of distributions for modelling of a variety of random phenomena in numerous fields of study. Using the sample interpoint distances (IPDs), we propose the IPD‐test statistic for testing the hypothesis of homogeneity of mixture of multivariate power series distribution or multivariate normal distribution. We derive the distribution of the IPDs that are drawn from a finite mixture of the multivariate power series distribution and multivariate normal distribution. Based on the empirical distribution of the IPDs, we construct a bootstrap test of homogeneity for other multivariate finite mixture models. The IPD test is applied to mixture models for matrix‐valued distributions and a test of homogeneity for Wishart mixture is presented. Numerical comparisons show that IPD test has accurate type I errors and is more powerful in most multivariate cases than the expectation–maximization (EM) test and modified likelihood ratio test.     

Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates

We propose to forecast the Value-at-Risk of bivariate portfolios using copulas which are calibrated on the basis of nonparametric sample estimates of the coefficient of lower tail dependence. We compare our proposed method to a conventional copula-GARCH model where the parameter of a Clayton copula is estimated via Canonical Maximum-Likelihood. The superiority of our proposed model is exemplified by analyzing a data sample of nine different bivariate and one nine-dimensional financial portfolio. A comparison of the out-of-sample forecasting accuracy of both models confirms that our model yields economically significantly better Value-at-Risk forecasts than the competing parametric calibration strategy.     

Exchange rate contagion in Latin America

A regular vine copula approach is implemented for testing for contagion among the exchange rates of the six largest Latin American countries. Using daily data from June 2005 through April 2012, we find evidence of contagion among the Brazilian, Chilean, Colombian and Mexican exchange rates. However, there are interesting differences in contagion during periods of large exchange rate depreciation and appreciation. Our results have important implications for the response of Latin American countries to currency crises originated abroad.     

A number‐of‐modes reference rule for density estimation under multimodality

We consider kernel density estimation for univariate distributions. The question of interest is as follows: given that the data analyst has some background knowledge on the modality of the data (for instance, ‘data of this type are usually bimodal’), what is the adequate bandwidth to choose? We answer this question by extending Silverman's idea of ‘normal‐reference’ to that of ‘reference to a Gaussian mixture’. The concept is illustrated in the light of real data examples.     

基于时变Copula的我国股票市场联动性研究

通过运用Copula技术,构建4种Copula-GARCH模型,讨论金融市场的相关模式问题得出的结论是Joe-ClaytonCopula比正态Copula好,动态模型比静态模型要好。表明沪港股市确实存在非对称的相关变化规律。同时表明沪、港股票市场股市相关程度较小,两个市场联动性较弱,上海股市的波动具有相对的独立性,通过组合上海股市和香港股市的方式可以较好的降低投资风险。     

低温条件下泵站建设中大体积混凝土裂缝控制研究

文章结合西安市尚苑路雨水泵站工程中的大体积混凝土的设计与施工,对低温条件下进行施工的大体积混凝土的裂缝控制技术进行研究。     

Mixture representations for discrete Linnik laws

In this paper we give mixture representations for the discrete Mittag–Leffler and Linnik laws. Our results form the discrete analogues of the mixture representations for the generalized symmetric Linnik distribution obtained by P AKES (1998). As an application, we derive the infinite divisibility of mixtures of Mittag–Leffler distributions. Alternative mixture representations in terms of discrete stable distributions are also presented.     

A Bayesian-like estimator of the process capability index Cpmk

Pearn et al. (1992) proposed the capability index C_pmk, and investigated the statistical properties of its natural estimator for stable normal processes with constant mean μ. Chen and Hsu (1995) showed that under general conditions the asymptotic distribution of is normal if μ≠m, and is a linear combination of the normal and the folded-normal distributions if μ=m, where m is the mid-point between the upper and the lower specification limits. In this paper, we consider a new estimator for stable processes under a different (more realistic) condition on process mean, namely, P (μ≥m)=p, 0≤p≤1. We obtain the exact distribution, the expected value, and the variance of under normality assumption. We show that for P (μ≥m)=0, or 1, the new estimator is the MLE of C_pmk, which is asymptotically efficient. In addition, we show that under general conditions is consistent and is asymptotically unbiased. We also show that the asymptotic distribution of is a mixture of two normal distributions. RID="*" ID="*"  The research was partially supported by National Science Council of the Republic of China (NSC-89-2213-E-346-003).     

灵芝菌合剂促进沙土鼠脑缺血再灌注后学习记忆及海马神经保护

目的：以沙土鼠脑缺血再灌注模型为研究对象，观察分析灵芝菌合剂对脑缺血记忆能力影响及海马神经的保护作用。方法：取健康成年清洁级蒙古沙土鼠70只，体重（65±10）g，雌雄不分，随机分为4组。（1）假手术组：10只，作颈总动脉分离手术，不做颈总动脉夹闭手术。（2）对照组：20只，脑缺血手术后分别给予同药物剂量的生理盐水，没有任何其它干预措施，于脑缺血再灌注术后3天及10天各处死10只沙土鼠。（3）预防组：20只，其中10只沙土鼠预防性应用灵芝菌合剂200ml·kg^-1·d^-1共10天，术后继续用药10天；另外10只照此剂量预防用药3天，术后继续用药3天，与对照组同一时间处死取材。（4）治疗组，20只，手术完毕当时按照以上同样剂量灌胃给药治疗3天10只，治疗10天10只，每天一次，与对照组同一时间处死取材。所有沙土鼠在脑缺血再灌注手术3天前、手术后进行跳台训练实验，进行记忆测量。其中5只沙土鼠的后脑部分制成石蜡切片，5只沙土鼠的后脑部分做成冰冻切片。结果：跳台实验显示预防组、治疗组与假手术组两两比较有显著性差异（P〈0．01），尼氏小体染色显示海马CA1神经细胞凋亡有显著性差异。结论：灵芝菌合剂能改善脑缺血再灌注沙土鼠的记忆功能，对海马CA1区神经细胞有保护作用。     

Contracts with endogenous information

I study covert information acquisition and reporting in a principal agent problem allowing for general technologies of information acquisition. When posteriors satisfy two dimensional versions of the standard First Order Stochastic Dominance and Concavity/Convexity of the Distribution Function conditions, a first-order approach is justified. Under the same conditions, informativeness and riskiness of reports are equivalent. High powered contracts, that make the agent's informational rents more risky, are used to increase incentives for information acquisition, insensitive contracts are used to reduce incentives for information gathering. The value of information to the agent is always positive. The value of information to the principal is ambiguous.