Data features1

This article attempts to provide a formal framework for a data based inference which explicitly and consistently recognizes the approximate nature of probability models. It is based on the idea that a stochastic model is adequate if samples generated under the model are very much like the sample actually obtained. The formalization is based on the concept of data feature. Examples are given of applying the ideas to different areas of statistics including location-scale models, densities, non-parametric regression, interlaboratory test, auto-regressive processes and the analysis of variance. The four cornerstones of the approach are direct comparison, approximation, weak topologies and parsimony. The approach is contrasted to that of much of conventional statistics many of whose concepts are pathologically discontinuous with respect to the topology of data analysis and common sense.     

OFDM系统中基于弱选择ROMP算法的稀疏信道估计

为了解决实际OFDM通信系统中信道稀疏度未知的不足,提出将弱选择正则化正交匹配追踪算法用于估计稀疏信道。算法在不知晓信道稀疏度的情况下,对不同迭代残差与测量矩阵中原子的相关系数进行判定后,根据原子的弱选择准则灵活地确定出表示信道冲激响应的原子候选集,进而利用正则化原则从候选集中挑选出表示信道冲激响应的最优原子组,逐步实现精确重建。仿真结果和理论分析表明：与正则化正交匹配追踪算法相比,相同条件下改进算法可以获得更低的均方误差和误比特率;另外,算法无需将信道稀疏度作为先验信息,实用性更强。     

基于IPO长期收益趋势分行业的实证研究

我国股市首次公开发行(Initial Public Offering,简称IPO)股票的长期收益率问题一直是IPO领域研究的热点问题之一。发达国家证券市场存在IPO长期弱势已经得到实证的检验,而我国证券市场成立较晚,尚不成熟,信息披露不健全,同时也具有与发达国家证券市场不同的特征。通过对不同行业的IPO长期持有收益率走势的实证研究,以期为投资者的正确决策、提高股市效率提供理论依据。     

我国商品期货市场弱式有效性实证研究

现以我国三个商品期货市场的主要交易品种合约为研究对象,运用单位根检验、序列相关检验对期货收益率进行实证分析,其结果表明我国所有期货品种的价格时间序列满足一阶单整过程,棉花、铜期货品种的收益率时间序列服从随机游走过程,而大豆、豆粕、天胶、硬麦四个期货品种的收益率时间序列存在3阶自相关,我国商品期货市场整体上尚未达到弱式有效。     

The robust pricing–hedging duality for American options in discrete time financial markets

We investigate the pricing–hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, for example, a family of European options, only statically. In the first part of the paper, we consider an abstract setting, which includes the classical case with a fixed reference probability measure as well as the robust framework with a nondominated family of probability measures. Our first insight is that, by considering an enlargement of the space, we can see American options as European options and recover the pricing–hedging duality, which may fail in the original formulation. This can be seen as a weak formulation of the original problem. Our second insight is that a duality gap arises from the lack of dynamic consistency, and hence that a different enlargement, which reintroduces dynamic consistency is sufficient to recover the pricing–hedging duality: It is enough to consider fictitious extensions of the market in which all the assets are traded dynamically. In the second part of the paper, we study two important examples of the robust framework: the setup of Bouchard and Nutz and the martingale optimal transport setup of Beiglböck, Henry‐Labordère, and Penkner, and show that our general results apply in both cases and enable us to obtain the pricing–hedging duality for American options.     

应用锁相环技术判别混沌相变的方法

针对经典的李氏指数法（Lyapunov Exponential Method）等混沌相变判别方法复杂度高的问题,提出了一种应用锁相环技术判别混沌相变的新方法。首先,理论推导了混沌系统的解析特性,分析了系统在不同相态下含有的频率成分;〖JP2〗然后,构建了针对混沌系统的数字锁相环模型,研究锁相环下混沌态和大周期态呈现的频率特性;最后,提出了一种基于锁相环技术的混沌相变判别新方法。仿真实验显示,相比于李氏指数法,所提方法判别速度快一个数量级,检测差错率为0时,性能提高近2 dB。新方法应用锁相环技术,简便易行,判别速度快,为混沌相变判别的工程应用提供了新的手段。     

新时代我国水利现代化进程评估分析

在对新时代水利现代化内涵进行分析的基础上,运用层次分析法,构建了由16个指标构成的新时代水利现代化评价指标体系,并引入统计学相关理论知识,对构建的指标体系进行了相关性检验,进一步验证了所建立的指标体系的科学性。对2017年度我国水利现代化进程进行了评估分析,结果显示,2017年我国水利现代化指数为69.89,正处于水利现代化进程快速发展阶段中期。为加快我国水利现代化进程,以新发展理念为引领,从补齐水利工程短板、强化涉水事务监管、健全评估制度等方面提出了加快推进我国水利现代化进程的相关对策建议。     

Adaptive Learning and Iterated Weak Dominance

This article addresses the idea that rational players should not play iteratively weakly dominated strategies by showing that when a particular type of adaptive learning process converges, then players must have learned to play strategy profiles equivalent to those that survive iterated nice weak dominance and, for certain games, equivalent to those that survive iterated weak dominance. For games satisfying the weak single crossing condition, the set of strategies that survive iterated weak dominance is small in that its bounds are pure strategy Nash equilibria. The results hold regardless of the order in which dominated strategies are eliminated.Journal of Economic LiteratureClassification Number: C72.     

Institutions and growth: evidence from estimation methods robust to weak instruments

This article focuses on the empirical approach proposed by Hall and Jones (1999 Hall, RE and Jones, CI(HJ99). 1999. Why do some countries produce so much more output per worker than others?. The Quarterly Journal of Economics, 114: 83–116. [Crossref], [Web of Science ®] , [Google Scholar]) to estimate the effect of what they call ‘social infrastructure’ on productivity across countries. We consider the issue of weak identification in their linear instrumental variables model. The evidence obtained from partially robust estimators, such as the k-class and jackknife estimators, is interpreted on the basis of Monte Carlo studies. Our findings suggest that using certain k-class estimators allows exclusive reliance on the linguistic variables to instrument for institutional quality despite their low correlation with the endogenous regressor in question.     

Expected returns and expected dividend growth: time to rethink an established empirical literature

This article examines various state-space and VAR model specifications to investigate the contributions of expected returns and expected dividend growth to movements in the price-dividend ratio. We show that both models involve serious inference problems that need to be dealt with carefully. We propose procedures that offer more reliable inference results, and the corrected inferences indicate that the aggregate data of dividends and returns alone do not provide strong enough evidence to support the notion that the expected returns dominate the stock price variation. However, we show that an alternative measure of cash flows termed the net payout by Larrain and Yogo (2008) appears to lend strong support to the notion that the expected cash flow explains a large fraction of the firm value variation. This finding remains robust in both state-space and VAR decompositions with the corrected inference.