MODEL REFERENCE ADAPTIVE SYSTEM ESTIMATES FOR COUNTING PROCESSES

The adaptive estimation procedure of the model reference adaptive system is modified and applied to counting process models. Maximum likelihood estimates constitute a subclass of the adaptive estimators considered. The adaptive estimator is shown to be strongly consistent and to converge in law to a normal variate. Applications are considered; for example properties of the adaptive estimate are obtained for a periodic intensity model.     

Dynamic Modeling with Structural Equations and Stochastic Differential Equations: Applications with the German Socio-economic Panel

The paper discusses an application of linear dynamic models to multi-wave longitudinal data. Starting from three-wave and four-wave simplex models using standard structural equations, linear dynamic state space models with stochastic differential equations are presented. The main differences between longitudinal structural equations (static view) and stochastic differential equations (dynamic view) are emphasized. Substantively, the models prove the relation, stability and change of two concepts in a period of 10 years: National Identity and Intention to stay in Germany. Data from a sample of migrant workers in Germany included in the German Socio-economic Panel (GSOEP) are used for the analyses. Results and further developments of dynamic models are discussed in the final section.The authors thank Hermann Singer for his comments and discussions on applications of dynamic models.     

期权定价模型的离散化矩估计

在本文中,把期权定价模型中的漂移项为一个常数,波动率假定为一个Ornstein-Uhlenbeck过程,在一定的条件下,把模型转变成唯一个双线性自回归EV模型,然后对其中的m(·)函数进行离散化后,通过矩估计的方法估计m(·)函数的系数,从而得到波动率σ的矩估计。     

多期最优资产组合选择模型分析研究

在对多期最优资产组合选择模型研究的基础上 ,着重分析了模型的求解 ,为证券投资者进行多期投资提供了科学的依据和方法。     

IPO定价机制的随机微分分析

利用具有随机特征投资组合问题的最优投资策略,分析IPO定价机制对投资者的投资决策的影响,进而定性分析新股定价机制存在的问题和缺陷。从投资者投资决策最优化的角度指出我国IPO定价机制改革只有向完全市场化方向改变,才能提高投资者的投资理性,使我国的证券市场不断走向成熟,逐步缩小与发达国家之间的差距。     

A general framework for frontier estimation with panel data

The main objective of the paper is to present a general framework for estimating production frontier models with panel data. A sample of firms i = 1, ..., N is observed on several time periods t = 1, ... T. In this framework, nonparametric stochastic models for the frontier will be analyzed. The usual parametric formulations of the literature are viewed as particular cases and the convergence of the obtained estimators in this general framework are investigated. Special attention is devoted to the role of N and of T on the speeds of convergence of the obtained estimators. First, a very general model is investigated. In this model almost no restriction is imposed on the structure of the model or of the inefficiencies. This model is estimable from a nonparametric point of view but needs large values of T and of N to obtain reliable estimates of the individual production functions and estimates of the frontier function. Then more specific nonparametric firm effect models are presented. In these cases, only NT must be large to estimate the common production function; but again both large N and T are needed for estimating individual efficiencies and for estimating the frontier. The methods are illustrated through a numerical example with real data.     

sk−p Fractional factorial designs in sb blocks

Draper and Guttman (1997) shows that for basic 2^k−p designs, p≥0, k − p replicates of blocks designs of size two are needed to estimate all the usual (estimable) effects. In this work, we provide an algebraic formal proof for the two-level blocks designs results and present results applicable to the general case; that is, for the case of s ^k factorial (p=0) or s ^k−p fractional factorial (p >0) designs in s ^b blocks, where 0<b<k− p, at least replicates are needed to clear up all possible effects. Through the theoretical development presented in this work, it can provide a clearer view on why those results would hold. We will also discuss the estimation equations given in Draper and Guttman (1997).  Research supported in part by the National Science Council of Taiwan, R.O.C., Grant No. NSC 89-2118-M110-010. Acknowledgement. The authors would like to thank the referee for very helpful comments.     

CENTRAL LIMIT THEORMS IN C[0,1] FOR A CLASS OF ESTIMATORS OF A DISTRIBUTION FUNCTION

As non–parametric estimates of an unknown distribution function (d.f.) F based on i.i.d. observations X ₁ X_n with this d.f.

are used, where H _n is a sequence of d.f.'s converging weakly to the unit mass at zero. Under regularity conditions on F and the sequence ( H _n) it is shown that √_n( F _n– F ) and √_n( R _n – F ) in C [0,1] converge in distribution to a process G with G( t ) = W° ( F ( t )), where W ° is a Brownian bridge in C [0,1]. Further the a.s. uniform convergence of R., is considered and some examples are given.     

关于常微分方程教学探索

常微分方程是高等教育的核心基础课程的一部分重要内容,是进一步学习泛函分析,偏微分方程,稳定性理论和控制论等方向的入门学科,具有很强的理论性与应用性的背景,因此,对该部分的教学的教师有责任进行教学设计与探索,以期取得令人满意的教学效果。     

Method-of-moment view of linear simultaneous equation systems

In this paper, we review the modern method-of-moment-based approaches to identification and estimation of linear simultaneous equation systems. First, we present the rank condition for the structural form (SF) parameter identification. The rank condition comes naturally and is much easier to understand than that in the conventional reduced-form-based indirect approach. Then, we show how to estimate all SF parameters jointly (in a single step) with method-of-moment estimators. As it turns out, using only unconditional moments, but not any conditional moments, greatly simplifies the identification and estimation issues, and makes light work of conveying the essential ideas involved.     

偏微分方程模型在高速公路交通的应用

偏微分方程中函数的变量是关于时间和空间的,在许多领域中的现象都可以用这样的函数来描述。本文主要以交通模型和人口模型方面的应用来分析和评价。     

一类分数阶方程的数值解法

文章用有限差分法对Fisher分数阶微分方程进行近似和求解,对所建立的差分格式进行了合理的收敛性和稳定性分析,最后通过数值算例得到了方程的数值解表达式,并验证了数值解与精确解高度拟合,进而证明了该差分格式的可行性。     

Input- and Output-Oriented Technical Efficiency of Ukrainian Collective Farms, 1989–1992: Bayesian Analysis of a Stochastic Production Frontier Model

We propose estimation of a stochastic production frontier model within a Bayesian framework to obtain the posterior distribution of single-input-oriented technical efficiency at the firm level. All computations are carried out using Markov chain Monte Carlo methods. The approach is illustrated by applying it to production data obtained from a survey of Ukrainian collective farms. We show that looking at the changes in single-input-oriented technical efficiency in addition to the changes in output-oriented technical efficiency improves the understanding of the dynamics of technical efficiency over the first years of transition in the former Soviet Union.