One‐way analysis of variance with long memory errors and its application to stock return data

Recent empirical results indicate that many financial time series, including stock volatilities, often have long‐range dependencies. Comparing volatilities in stock returns is a crucial part of the risk management of stock investing. This paper proposes two test statistics for testing the equality of mean volatilities of stock returns using the analysis of variance (ANOVA) model with long memory errors. They are modified versions of the ordinary F statistic used in the ANOVA models with independently and identically distributed errors. One has a form of the ordinary F statistic multiplied by a correction factor, which reflects slowly decaying autocorrelations, that is, long‐range dependence. The other is a test statistic such that the degrees of freedom of the denominator in the ordinary F test statistic is calibrated by the so‐called effective sample size. Empirical sizes and powers of the proposed test statistics are examined via Monte Carlo simulation. An application to German stock returns is presented. Copyright © 2007 John Wiley & Sons, Ltd.     

Locally minimax tests in symmetrical distributions

In this paper we give an extension of the theory of local minimax property of Giri and Kiefer (1964, Ann. Math. Statist., 35, 21–35) to the family of elliptically symmetric distributions which contains the multivariate normal distribution as a member.This work was partially supported by the Canadian N.S.E.R.C. grant     

Some test statistics based on the martingale term of the empirical distribution function

Summary It is proved that the martingale term of the empirical distribution function converges weakly to a Gaussian process inD[0, 1]. Some statistics for goodness-of-fit tests based on the martingale term of the empirical distribution function are proposed. Asymptotic distributions of these statistics under the null hypothesis are given. The approximate Bahadur efficiencies of the statistics to the Kolmogorov-Smirnov statistic and to the Cramér-von Mises statistic are also calculated. The Institute of Statistical Mathematics     

上海股市波动的周日效应检验

与以往日历异常现象的研究大多集中在股市收益率上不同,本文对上海股市波动的周日效应进行实证研究,无条件波动的修正Levene检验和条件波动的GARCH模型被应用。结果显示上海股市存在显著的星期一高波动现象,利用混合分布模型对此现象进行了解释,周末信息的积累对星期一交易的影响可能是其高波动的原因。     

How medical quality is improved: clinical management of patients with acute cardiac ischaemia

The clinical management of patients with acute ischaemic syndromes continues to evolve. It is therefore useful to review the most common categories of such patients, with specific emphasis on the contribution of some well-known laboratory assessments. Key questions on diagnosis, prognosis and medical quality are discussed.Presented at the 9th Conference on Quality in the Spotlight, 18–19 March 2004, Antwerp, Belgium     

Structure initiale et propriétés de liquéfaction statique d'un sableInitial structure and static liquefaction properties of sand.

Based on the use of two different preparation procedures for reconstituting triaxial samples of sand, i.e. wet tamping and dry pluviation, significant differences in associated mechanical behaviour are observed on a reference sand with respect to the phenomenon of ‘static’ liquefaction. Wet tamping favours the initiation of liquefaction instability, whereas dry pluviation favours a more stable behaviour, less susceptible to liquefaction. Microscopic observation of corresponding sand specimens allows us to identify two well differentiated structures, i.e., for wet tamping, an irregular structure with predominance of aggregates (aggregated grains) and macropores, very contractant and unstable and, for dry pluviation, a more regular structure, without macropores, more dilatant and more stable. These observations show the importance of further characterization, based on the introduction of appropriate parameters, of the initial structure of sandy materials, strongly dependant upon their mode of formation (natural or artificial). To cite this article: N. Benahmed et al., C. R. Mecanique 332 (2004).     

一种多波长激光晶体消光比测试仪的研究

介绍一种三波长的激光晶体消光比测试仪。该测试仪具有全自动，多波长的特点，其系统消光比优于５０ｄＢ，不确定度小于２％，具有很好的重复性。     

闪光有效光强测定仪研究

论述闪光光源有效光强的测量方法及原理，并详细介绍我所自行研制的闪光有效光强测定仪。文中对仪器的工作原理，结构特点，技术性能和用途给予比较全面的论述，并给出了实测曲线。     

A bootstrap approach to model checking for linear models under length-biased data

In this paper, we propose two bootstrap-based model checking tests for a parametric linear model when data are affected by length-bias. These tests are based on the measure of the discrepancy between nonparametric and parametric estimators for the regression function when the data are drawn under a length-biased mechanism. We consider two different discrepancy measures: the supremum and the integral of the quadratic difference between the parametric and nonparametric estimators.