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1.
Abstract The methodological discussion in D e R oos -S chaafsma (1981) Section 6 is continued by proposing asymptotic methods as a substitute for laborious confidence interval computations. 相似文献
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Dr. Jacke Wesołowski 《Metrika》1989,36(1):299-309
Summary The gamma process is determined by the form of conditional expectations and conditional variances. Also a new characterization of the gamma law is obtained and then applied to characterize the gamma process among the processes with independent increments. 相似文献
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This paper considers the class of m-variate autoregressive moving average (ARMA) processes with stable innovations and time dependent coefficients. A set of
suitable AR and MA regularity conditions is given to ensure existence and uniqueness of valid solutions. A simple form of
the above solution is expressed in terms of one sided Green's matrix functions associated with the AR operator. We solve the
prediction problem arising in this class of models. A few examples are added to support the general theory. 相似文献
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We estimate the data generating process of daily excess returns of 20 major German stocks in a CAPM framework with time varying betas. Our sample spans a 23 year period from 1974 to 1996. An asymmetric dependence of volatility on lagged innovations is taken into account. We introduce beta impulse response functions to shed light on the structural implications of systematic risk associated with competing volatility models. The dependence of beta on news is characterized with respect to different sources (asset specific vs. market general news). The empirical results suggest that negative news emerging from the market involve a stronger impact on beta relative to positive news. Concerning firm specific news the opposite relation is found for the majority of the analysed data sets. 相似文献
6.
H. P. Lopuhaä 《Statistica Neerlandica》1997,51(2):220-237
By means of a straightforward application of empirical process theory, we show that S-estimators of multivariate location and covariance are asymptotically equivalent to a sum of independent vector and matrix valued random elements respectively. This provides an alternative proof of asymptotic normality of S-estimators and clearly explains the limiting covariance structure. It also leads to a relatively simple proof of asymptotic normality of the length of the shortest α-fraction. 相似文献
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I. H. Tajuddin 《Statistica Neerlandica》1996,50(3):362-366
Groeneveld (1986) in discussing the skewness for the Weibull family has pointed out the shortcomings of the classical measures of asymmetry—the standardized third moment and the Pearson measure of skewness. He has shown that a modified form of the Pearson measure b3 = (μ-m)/E|X-m| portrays the skewness of Weibull family quite well. We give another competitive measure of skewness T that is easy to interpret and is based on conditional expectations. The proposed measure satisfies the desirable properties of a skewness measure. 相似文献
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本文试图以关联理论的视角对软新闻翻译进行剖析,探讨关联理论与软新闻翻译之间的内在统一性、耦合性、互通性和适用性,并在此基础上阐述关联理论指导下的软新闻翻译策略和技法。 相似文献
9.
对话性是人类语言固有的属性,没有对话,就没有语篇。新闻语篇的生成者既与先前的语篇,又和潜在的读者进行对话,并策略性的选择词汇语法资源来实现对话扩展和对话收缩的介入,从而隐性地影响读者对信息的认知立场。 相似文献
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信息不对称增加了交易成本,造成了不对称双方的＂逆向选择＂和＂道德风险＂问题,大大的降低了资源配置的效率。分析了信息不对称对上市公司治理的影响,结合欧美发达国家成熟的公司治理经验,对相关问题提出了对策。 相似文献
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根据不完全信息静态博弈理论和农村公路供给现状,分析农村公路供给中存在的问题,建立不完全信息静态博弈模型。通过对博弈均衡分析,提出解决农村公路供给信息不对称的相应建议和对策。 相似文献
12.
In multivariate analysis, the measure of variance accounted for plays a central role. In this paper, we show that an alternative approach, distance-based multivariate analysis, also yields solutions that can be summarized by a ratio of variances. For classical multivariate analysis, this ratio is equal to the variance accounted for (VAF) and in distance-based multivariate analysis it equals distance accounted for (DAF). We show that DAF in distance-based multivariate analysis can always be made higher than VAF in classical multivariate analysis. This property is illustrated for principal components analysis, multiple correspondence analysis, multiple regression, and analysis of variance. 相似文献
13.
In the general vector autoregressive process AR ( p ), multivariate least square estimation (LSE)/maximum likelihood estimation (MLE) of a subset of the parameters is considered when the complementary subset is suspected to be redundant. This may be viewed as a special case of linear constraints of autoregressive parameters. We incorporate this nonsample information in the estimation process and propose preliminary test and Stein-type estimators for the target subset of parameters. Under local alternatives their asymptotic properties are investigated and compared with those of unrestricted and restricted LSE. The dominance picture of the estimators is presented. 相似文献
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This paper studied the influence of news announcements and network investor sentiment on Chinese stock index and index futures market jumps. A machine learning text analysis algorithm was employed to measure investor forum sentiment. It was found that news arrivals were an important reason for jump occurrences, jumps were significantly associated with network investor sentiment, and while occasionally the news and network investor sentiment resulted in simultaneous market jumps, they appeared to be relatively independent. The network investor sentiment time-lag and asymmetric effects were also tested, from which it was found that network investor sentiment had a significant asymmetric effect on the jumps, but time-lag effects had little influence. News announcements and the top 25% of the extreme network sentiments were found to explain more than 50% of the jumps, with extreme sentiments tending to increase the volatility of the news-related jumps and persistently influencing returns after the news-related jumps. 相似文献
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In this paper a new process capability index (C pq ) has been introduced, which is easy to compute and performs well when compared with its natural competitor (C pm ). Work done while he was Lukacs Visiting Professor on leave from the University of Maryland. 相似文献
16.
江凯 《北京市经济管理干部学院学报》2008,23(4):59-62
本文运用EGARCH计量模型,对我国向美国出口增速变动进行杠杆效应分析。模型结果显示,出口增速在负向冲击下比受到正向冲击时的波动更加剧烈。次贷危机的恶化,也将会对我国向美国出口增速产生较大的负面影响,从而影响我国的整体出口。对此,文章给出了相关建议。 相似文献
17.
We consider improved estimation strategies for the parameter matrix in multivariate multiple regression under a general and natural linear constraint. In the context of two competing models where one model includes all predictors and the other restricts variable coefficients to a candidate linear subspace based on prior information, there is a need of combining two estimation techniques in an optimal way. In this scenario, we suggest some shrinkage estimators for the targeted parameter matrix. Also, we examine the relative performances of the suggested estimators in the direction of the subspace and candidate subspace restricted type estimators. We develop a large sample theory for the estimators including derivation of asymptotic bias and asymptotic distributional risk of the suggested estimators. Furthermore, we conduct Monte Carlo simulation studies to appraise the relative performance of the suggested estimators with the classical estimators. The methods are also applied on a real data set for illustrative purposes. 相似文献
18.
In manufacturing industries, it is often seen that the bilateral specification limits corresponding to a particular quality characteristic are not symmetric with respect to the stipulated target. A unified superstructure of univariate process capability indices was specially designed for processes with asymmetric specification limits. However, as in most of the practical situations a process consists of a number of inter‐related quality characteristics, subsequently, a multivariate analogue of , which is called CM(u,v), was developed. In the present paper, we study some properties of CM(u,v) like threshold value and compatibility with the asymmetry in loss function. We also discuss estimation procedures for plug‐in estimators of some of the member indices of CM(u,v). Finally, the superstructure is applied to a numerical example to supplement the theory developed in this article. 相似文献
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This study used hourly data to examine the dynamic conditional correlations and hedging strategies in the main cryptocurrency markets: Bitcoin (BTC), Ethereum (ETH), Litecoin (LTC), and Ripple (XRP). Multivariate generalized autoregressive conditional heteroskedasticity family models provided evidence of significant positive dynamic conditional correlations among these markets. A weaker conditional correlation was observed for the LCT–XRP portfolio than for the BTC–ETH portfolio, which had the highest correlation value. The dynamic correlations intensified after the cryptocurrency crisis. The results of a portfolio risk analysis suggested that investors should hold less BTC than LTC, ETH, and XRP to minimize risk while maintaining consistent expected portfolio returns. Investors should hold less BTC than the other cryptocurrencies during a crisis. In addition, the cheapest hedge strategy is to hold long BTC and short XRP regardless of the period. Holding long BTC and short LTC was found to be the most expensive hedge strategy. Finally, the study showed that an optimally weighted diversified portfolio provides the greatest reduction in risk and downside risk for ETH and LTC. For XRP, portfolio hedging is the best mechanism for reducing risk. 相似文献