Subsampling the distribution of diverging statistics with applications to finance

In this paper we propose a subsampling estimator for the distribution of statistics diverging at either known or unknown rates when the underlying time series is strictly stationary and strong mixing. Based on our results we provide a detailed discussion of how to estimate extreme order statistics with dependent data and present two applications to assessing financial market risk. Our method performs well in estimating Value at Risk and provides a superior alternative to Hill's estimator in operationalizing Safety First portfolio selection.     

《城市园林绿化资源调查技术规程》的研制

城市园林绿化资源调查是城市园林绿化行业管理的一项基础工作,是对现行城建统计制度的重要补充和完善。文章通过研制规程,建立了城市园林绿化资源的概念,规定了调查的内容、组织方法,调查因子的定义、分类标准与调查方法,调查图斑区划,前期准备工作,外业调查,统计计算,调查质量管理,调查成果报告等技术要求,并应用于2010年开展的徐州市城市园林绿化资源调查中,取得了较好的成果。     

Forecast combinations under structural break uncertainty

This paper proposes two new weighting schemes that average forecasts based on different estimation windows in order to account for possible structural change. The first scheme weights the forecasts according to the values of reversed ordered CUSUM (ROC) test statistics, while the second weighting method simply assigns heavier weights to forecasts that use more recent information. Simulation results show that, when structural breaks are present, forecasts based on the first weighting scheme outperform those based on a procedure that simply uses ROC tests to choose and forecast from a single post-break estimation window. Combination forecasts based on our second weighting scheme outperform equally weighted combination forecasts. An empirical application based on a NAIRU Phillips curve model for the G7 countries illustrates these findings, and also shows that combination forecasts can outperform the random walk forecasting model.     

Local Powers of Optimal One‐sample and Multi‐sample Tests for the Concentration of Fisher‐von Mises‐Langevin Distributions

One‐sample and multi‐sample tests on the concentration parameter of Fisher‐von Mises‐Langevin distributions on (hyper‐)spheres have been well studied in the literature. However, only little is known about their behaviour under local alternatives, which is due to complications inherent to the curved nature of the parameter space. The aim of the present paper therefore consists in filling that gap by having recourse to the Le Cam methodology, which has recently been adapted from the linear to the spherical setup. We obtain explicit expressions of the powers for the most efficient one‐ and multi‐sample tests. As a nice by‐product, we are also able to write down the powers (against local Fisher‐von Mises‐Langevin alternatives) of the celebrated Rayleigh test of uniformity. A Monte Carlo simulation study confirms our theoretical findings and shows the empirical powers of the above‐mentioned procedures.     

Robust influence diagnostics for generalized linear models with continuous responses

This article introduces two parametric robust diagnostic methods for detecting influential observations in the setting of generalized linear models with continuous responses. The legitimacy of the two proposed methods requires no knowledge of the true underlying distributions so long as their second moments exist. The performance of the two proposed influence diagnostic tools is investigated through limited simulation studies and the analyses of an illustration.     

客观现象的概率统计解释举例

本文通过应用概率统计方法解释人类行为与认识活动实例的分析,说明了基于概率统计方法如何描述客观现象和理解人类的认识行为,进而得出概率统计方法是基于归纳的演绎推理,其本质是认识论中的归纳推理。     

长尾市场网络销售商的订单履行渠道选择模型

研究传统市场和长尾市场条件下,网络零售商保有库存策略和直运策略的选择模型。建立了单周期动态仿真模型,进行了算例仿真,测算了市场竞争、供应商折扣、零售商订购策略和消费者对网络销售方式的接受程度等影响因素对网络零售商总利润的影响。结果表明,在缺乏定价权的实际条件下,网络零售商要获得更高的销售利润,需要增加产品品类、争取更大的价格折扣、采购合适数量的产品、选择合适的订单履行渠道。在未来的长尾市场中,产品品类更多、竞争更激烈、消费者选择产品的视野更开阔,直运方式将代替保有库存方式成为许多网络零售商的主流订单履行方式。     

基于经费限额的备件订货方法研究

由于受国家经济体制和经济条件等因素的影响,器材备件的供应主要采取＂实物限额与经费限额相结合,以经费限额为主＂模式,要求器材管理部门,根据经费限额量,制定科学合理的器材订货计划,使有限的资源得到更充分的利用,以达到更好的军事经济效益。     

基于可得性和消耗率的备件订货策略研究

对机器维修保养所需备件的订货策略进行了研究,基于备件的可得性和消耗率,将备件分为四类:关键备件、重要备件、一般备件和特殊备件,针对不同的备件,给出了不同的订货策略。     

Patterns on an ancient artifact: a coincidence?

The Phaistos Disk is an ancient artifact from Crete. At each side of the disk, a series of unknown signs is written along a spiral. Professional archaeologists expect that we will only learn what it is until similar objects are found. A statistical analysis in this article shows what it is not: it is not a one‐dimensional text, since there are relations between the signs in adjacent windings of the spiral. Three patterns of such relations have been identified. A Monte Carlo simulation of one of them has been performed, using a model of the spiral form. It is concluded that the probability of this pattern being coincidental is small, well below the conventional threshold.