GARCH(1,1)模型的稳健估计比较及应用

首先阐述了GARCH(1,1)模型稳健估计的构造方法,然后在模型有无异常值扩散效应约束和异常值比例不同的情况下,比较了传统QMLE估计和多种稳健M估计的表现,结果表明:在数据无异常值下,QMLE估计较优;随着异常值比例增加,稳健Andrew估计表现更好;模型施加异常值扩散效应约束对估计有一定改善但不显著.最后选取波动程度不同的两个阶段沪深300指数的收益率,用模型拟合进行了实例比较,在波动程度较大时,Andrew估计效果较优,在波动相对平稳时,LAD估计较优.     

Technical stability of stationary automatic control systems of variable structure with switched filters

Sufficient conditions for the technical stability in measure of a nonstationary control system with variable structure are established. The controller of the system has feedback-switched filters functioning together with shaper and actuator. It is assumed that the nonstationary parameters of the system vary within given ranges, at a finite rate, with appropriate control laws, with adjustment against mismatch signal, its derivatives of finite order, and all variable parameters of the filter. The parameters of the switching hyperplane remain constant. This approach for analysis of technical stability does not involve sliding mode conditions. Criteria of technical instability in measure for the control system under consideration are formulated using the properties of systems of comparison from below. The general criteria of technical stability and instability are applied to nonstationary filtered-control systems of variable structure of the third order. The comparison method based on normalized Lyapunov functions is used __________ Translated from Prikladnaya Mekhanika, Vol. 42, No. 6, pp. 110–127, June 2006.     

IMEP-24 analysis of eight trace elements in toys

The International Measurement Evaluation Program (IMEP) organised the IMEP-24 interlaboratory comparison after reports in the media about high levels of lead in toys. The aim of this comparison was to verify the laboratories’ capacity to evaluate trace-element levels in a possible toy-like material according to the European Standard EN 71-3:1994. As test material, it used a former certified reference material containing levels of antimony, arsenic, barium, cadmium, chromium, mercury, lead and selenium around the limits set in the standard.Four expert laboratories confirmed the reference values (Xref) for all elements but Hg, and established a reference value for Hg. The scatter of the results reported by the participants was large, as expected, but showed a close to normal distribution around the reference values for five of the eight trace elements. The spread of results was mainly attributed to sampling and sample preparation.One major issue observed in this exercise was the lack of legislative rules about how to report the result, or, more specifically, the use of the analytical correction, which was introduced in EN 71-3:1994 to achieve consistent interpretation of results and which is to be applied when values are equal to or above the maximum limits set in the standard. Its application by the participants was very inconsistent and led to problems in their evaluation. There is clearly a need for clarification and for more formal regulations with regard to result reporting in order to minimise the risk of confusion.Participants were also asked to give their opinion with regard to the acceptability of the test material for the market. The majority correctly considered the material as non-compliant. However, almost one-third incorrectly assessed the material as compliant.     

IMEP-24 analysis of eight trace elements in toys

The International Measurement Evaluation Program (IMEP) organized the IMEP-24 interlaboratory comparison after reports in the media about high levels of lead in toys. The aim of this comparison was to verify the laboratories’ capacity to evaluate trace-element levels in a possible toy-like material according to the European Standard EN 71-3:1994. As test material, it used a former certified reference material containing levels of antimony, arsenic, barium, cadmium, chromium, mercury, lead and selenium around the limits set in the standard.Four expert laboratories confirmed the reference values (Xref) for all elements but Hg, and established a reference value for Hg. The scatter of the results reported by the participants was large, as expected, but showed a close to normal distribution around the reference values for five of the eight trace elements. The spread of results was mainly attributed to sampling and sample preparation.One major issue observed in this exercise was the lack of legislative rules about how to report the result, or, more specifically, the use of the analytical correction, which was introduced in EN 71-3:1994 to achieve consistent interpretation of results and which is to be applied when values are equal to or above the maximum limits set in the standard. Its application by the participants was very inconsistent and led to problems in their evaluation. There is clearly a need for clarification and for more formal regulations with regard to result reporting in order to minimize the risk of confusion.Participants were also asked to give their opinion with regard to the acceptability of the test material for the market. The majority correctly considered the material as non-compliant. However, almost one-third incorrectly assessed the material as compliant.     

Electrochemical speciation of dissolved Cu, Pb and Zn in an estuarine ecosystem (Ria de Vigo, NW Spain): comparison between data treatment methods

The total concentration and chemical speciation of Cu, Pb and Zn were determined by square wave anodic stripping voltammetry (SWASV) in the Ría de Vigo, an estuarine area located in NW Spain. Surface and bottom waters from 6 locations were collected in two seasons during 3 years. The total Pb was below 1 nM, and Cu and Zn concentrations, ranged from 3 to 44 nM and from 9 to 300 nM respectively. A gradient from sampling points located in the port of Vigo to external areas was observed. The speciation of the metals (ligand concentration and apparent complex formation constant K′) was calculated using several methods: The Langmuir and Scatchard linear fits for one and two ligands, the Lorenzo non-linear fit for one ligand and Langmuir non-linear fit for two ligands. The capability of the different methods to achieve reliable results have been discussed and Langmuir linear fit as well as Lorenzo non-linear fit are the most suitable. Cu presented the highest ligand concentrations, followed by Zn and Pb, while mean log K′ values fell in the range 5-9 (±0.6) for all metals and samples. The adjustment of the data treatment methods used to calculate the speciation parameters was found to vary depending on the extent of complexation and on whether one or two ligands needed to be considered.     

Additive comparisons of stopping values and supremum values for finite stage multiparameter stochastic processes

This paper concerns the optimal stopping problem for discrete time multiparameter stochastic processes with the index set Nd. In the classical optimal stopping problems, the comparisons between the expected reward of a player with complete foresight and the expected reward of a player using nonanticipating stop rules, known as prophet inequalities, have been studied by many authors. Ratio comparisons between these values in the case of multiparameter optimal stopping problems are studied by Krengel and Sucheston (1981) [9] and Tanaka (2007, 2006) [14] and [15]. In this paper an additive comparison in the case of finite stage multiparameter optimal stopping problems is given.     

A parametric GP model dealing with incomplete information for group decision-making

We consider a group decision-making problem where preferences given by the experts are articulated into the form of pairwise comparison matrices. In many cases, experts are not able to efficiently provide their preferences on some aspects of the problem because of a large number of alternatives, limited expertise related to some problem domain, unavailable data, etc., resulting in incomplete pairwise comparison matrices. Our goal is to develop a computational method to retrieve a group priority vector of the considered alternatives dealing with incomplete information. For that purpose, we have established an optimization problem in which a similarity function and a parametric compromise function are defined. Associated to this problem, a logarithmic goal programming formulation is considered to provide an effective procedure to compute the solution. Moreover, the parameters involved in the method have a clear meaning in the context of group problems.     

Bayes in the sky: Bayesian inference and model selection in cosmology

The application of Bayesian methods in cosmology and astrophysics has flourished over the past decade, spurred by data sets of increasing size and complexity. In many respects, Bayesian methods have proven to be vastly superior to more traditional statistical tools, offering the advantage of higher efficiency and of a consistent conceptual basis for dealing with the problem of induction in the presence of uncertainty. This trend is likely to continue in the future, when the way we collect, manipulate and analyse observations and compare them with theoretical models will assume an even more central role in cosmology.

This review is an introduction to Bayesian methods in cosmology and astrophysics and recent results in the field. I first present Bayesian probability theory and its conceptual underpinnings, Bayes' Theorem and the role of priors. I discuss the problem of parameter inference and its general solution, along with numerical techniques such as Monte Carlo Markov Chain methods. I then review the theory and application of Bayesian model comparison, discussing the notions of Bayesian evidence and effective model complexity, and how to compute and interpret those quantities. Recent developments in cosmological parameter extraction and Bayesian cosmological model building are summarised, highlighting the challenges that lie ahead.