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A simplified version of the Neyman (1937) “Smooth” goodness-of-fit test is extended to account for the presence of estimated model parameters, thereby removing overfitting bias. Using a Lagrange Multiplier approach rather than the Likelihood Ratio statistic proposed by Neyman greatly simplifies the calculations. Polynomials, splines, and the step function of Pearson’s test are compared as alternative perturbations to the theoretical uniform distribution. The extended tests have negligible size distortion and more power than standard tests. The tests are applied to competing symmetric leptokurtic distributions with US stock return data. These are generally rejected, primarily because of the presence of skewness. 相似文献
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ARCH and GARCH models are widely used to model financial market volatilities in risk management applications. Considering a GARCH model with heavy-tailed innovations, we characterize the limiting distribution of an estimator of the conditional value-at-risk (VaR), which corresponds to the extremal quantile of the conditional distribution of the GARCH process. We propose two methods, the normal approximation method and the data tilting method, for constructing confidence intervals for the conditional VaR estimator and assess their accuracies by simulation studies. Finally, we apply the proposed approach to an energy market data set. 相似文献
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In this article, asymptotic inference for the mean of i.i.d. observations in the context of heavy-tailed distributions is
discussed. While both the standard asymptotic method based on the normal approximation and Efron's bootstrap are inconsistent
when the underlying distribution does not possess a second moment, we propose two approaches based on the subsampling idea
of Politis and Romano (1994) which will give correct answers. The first approach uses the fact that the sample mean, properly
standardized, will under some regularity conditions have a limiting stable distribution. The second approach consists of subsampling
the usual t-statistic and is somewhat more general. A simulation study compares the small sample performance of the two methods.
Received: December 1998 相似文献
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《物流技术与应用》2006,11(10)
新动态XIN DONG TAI沈阳加快推进国家区域性现代物流中心建设9月8日,辽宁省政协召开九届四十五次主席会议。根据年初省委批准的协商计划,省委、省政府就加快推进沈阳国家区域性现代物流中心建设等议题．在省政协主席会议层面上进行协商座谈。李克强做重要讲话。会上,省委书记、省人大常委会主任李克强指出,要把大力发展现代物流业作为推动全省经济结构战略性调整和优化区域经济布局的重大举措,充分发挥区位和交通优势,进一步整合物流资源,依靠体制机制创新,在扩大开放中把沈阳建成国家区域性现代物流中心,为实现辽宁老工业基地全面振兴提供有力支撑。李克强强调,实现辽宁全面振兴需要以沈阳为中心的中部城市群和以大连为龙头的沿海经济带实施战略带动。构建以大连为龙头的沿海经济带要以把大连建设成为东北亚国际航运中心为重要支撑,建设以沈阳为中心的中部城市群经济区则要以建设沈阳国家区域性现代物流中心为重要支撑。 相似文献
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