Please wait a minute...
  • Applied Mathematics-A Journal of Chinese Universities
      2018年, 第2期 刊出日期:2018-06-01 上一期   
    全选选: 合并摘要 显示图片
    A perspective on recent methods on testing predictability of asset returns 收藏
    LIAO Xiao-sai, CAI Zong-wu, CHEN Hai-qiang
    Applied Mathematics-A Journal of Chinese Universities. 2018, (2)   DOI: https://doi.org/10.1007/s11766-018-3590-0
    摘要( 14 )  
    This paper highlights some recent developments in testing predictability of asset returns with focuses on linear mean regressions, quantile regressions and nonlinear regression models. For these models, when predictors are highly persistent and their innovations are contemporarily correlated with dependent variable, the ordinary least squares estimator has a finite-sample bias, and its limiting distribution relies on some unknown nuisance parameter, which is not consistently estimable. Without correcting these issues, conventional test statistics are subject to a serious size distortion and generate a misleading conclusion in testing predictability of asset returns in real applications. In the past two decades, sequential studies have contributed to this subject and proposed various kinds of solutions, including, but not limit to, the bias-correction procedures, the linear projection approach, the IVX filtering idea, the variable addition approaches, the weighted empirical likelihood method, and the double-weight robust approach. Particularly, to catch up with the fast-growing literature in the recent decade, we offer a selective overview of these methods. Finally, some future research topics, such as the econometric theory for predictive regressions with structural changes, and nonparametric predictive models, and predictive models under a more general data setting, are also discussed.
    相关文章 | 计量指标
    Large Variable selection via generalized SELO-penalized linear regression models 收藏
    SHI Yue-yong, CAO Yong-xiu, YU Ji-chang, JIAO Yu-ling
    Applied Mathematics-A Journal of Chinese Universities. 2018, (2)   DOI: https://doi.org/10.1007/s11766-018-3496-x
    摘要( 7 )     PDF(0KB)( 2 )

    The seamless-$L_0$ (SELO) penalty is a smooth function on $[0,\wq)$ that very  closely resembles the $L_0$ penalty, which has been  demonstrated theoretically and practically to be effective in nonconvex penalization for  variable selection. In this paper, we first generalize SELO to a class of penalties  retaining good features of SELO, and then  propose variable selection and estimation in  linear models  using the proposed  eneralized SELO (GSELO)  penalized least squares (PLS) approach.
    We show that the GSELO-PLS procedure possesses the oracle property  and consistently selects the true model under some regularity conditions
    in the presence of a diverging number of variables.  The entire path of GSELO-PLS estimates can  be efficiently computed through a smoothing quasi-Newton (SQN) method.
    A modified BIC coupled with a continuation  strategy is developed
    to select the optimal tuning parameter.
    Simulation studies and analysis of a clinical data
    are carried out to evaluate the finite sample performance of the
    proposed method. In addition, numerical experiments
    involving simulation studies and analysis of a microarray data
    are also conducted for GSELO-PLS in the high-dimensional settings.

    相关文章 | 计量指标
    Inference for a truncated positive normal distribution 收藏
    H\'ector J. G\'omez, Neveka M. Olmos, H\'ector Varela, Heleno Bolfarine
    Applied Mathematics-A Journal of Chinese Universities. 2018, (2)   DOI: https://doi.org/10.1007/s11766-018-3354-x
    摘要( 5 )     PDF(0KB)( 0 )
    The main  object of this paper is to study an extension of the half normal distribution defined by adding a positive truncation to it. The new model is more flexible than the half-normal distribution  and contains the half normal distribution as a special case. Properties of this distribution, such as moments, hazard function and entropy are studied and parameters estimation is dealt with by using  moments and maximum likelihood. A real data application indicates good fit performance of the new model  when compared to other competitors in literatures.
    相关文章 | 计量指标
    Higher order asymptotic behaviour of partial maxima of random sample from generalized Maxwell distribution under power normalization 收藏
    HUANG Jian-wen, WANG Jian-jun
    Applied Mathematics-A Journal of Chinese Universities. 2018, (2)   DOI: https://doi.org/10.1007/s11766-018-3481-4
    摘要( 4 )     PDF(0KB)( 0 )
    In this article, the higher order asymptotic  expansions of cumulative distribution function and probability  density function of extremes for generalized Maxwell distribution  are established under nonlinear normalization. As corollaries, the  convergence rates of the distribution and density of maximum are  obtained under nonlinear normalization.
    相关文章 | 计量指标
    Characterizations of realized homogeneous Besov and Triebel-Lizorkin spaces via differences 收藏
    MOUSSAI Madani
    Applied Mathematics-A Journal of Chinese Universities. 2018, (2)   DOI: https://doi.org/10.1007/s11766-018-3431-1
    摘要( 2 )     PDF(0KB)( 0 )
    Based on the role of the polynomial functions on the homogeneous Besov spaces,  on the homogeneous Triebel-Lizorkin spaces and on their realized versions, we study and obtain characterizations of these spaces via difference operators in a certain sense.
    相关文章 | 计量指标
    Double sampling derivatives and truncation error estimates 收藏
    Rashad M. Asharabi, Aisha M. Al-Hayzea
    Applied Mathematics-A Journal of Chinese Universities. 2018, (2)   DOI: https://doi.org/10.1007/s11766-018-3444-9
    摘要( 2 )     PDF(0KB)( 0 )

    This paper investigates  double sampling series derivatives for bivariate functions defined on $\mathbb{R}^{2}$ that are in the Bernstein space.
    For this sampling series, we  estimate some of the  pointwise and uniform bounds when the function satisfies some decay conditions.   The truncated series of this  formula allow us to approximate any order of partial derivatives for function   from  Bernstein  space   using only a finite number of samples from the function itself.
    This sampling  formula will be useful  in the approximation theory and its applications, especially after having the truncation  error    well-established.  Examples with tables and figures are given at the end of the paper  to illustrate the advantages of this formula.

    相关文章 | 计量指标
    Reconstruction of the Sturm-Liouville operator with discontinuities from a particular set of eigenvalues 收藏
    XU Xiao-chuan , YANG Chuan-fu
    Applied Mathematics-A Journal of Chinese Universities. 2018, (2)   DOI: https://doi.org/10.1007/s11766-018-3533-9
    摘要( 2 )     PDF(0KB)( 0 )
    Sturm-Liouville operators on a finite interval with discontinuities are considered. We give a uniqueness theorem for determining the potential and the parameters in boundary and under discontinuous conditions from a particular set of eigenvalues, and provide corresponding reconstruction algorithm, which can be applicable to McLaughlin-Rundell's uniqueness theorem (see J. Math. Phys. 28, 1987).
    相关文章 | 计量指标
    A note on Pythagorean hodograph quartic spiral 收藏
    ZHENG Zhi-hao , WANG Guo-zhao
    Applied Mathematics-A Journal of Chinese Universities. 2018, (2)   DOI: https://doi.org/10.1007/s11766-018-3465-4
    摘要( 3 )     PDF(0KB)( 0 )
    By using the geometric constraints on the control polygon of a Pythagorean hodograph (PH) quartic curve,  we propose a sufficient condition for this curve to have monotone curvature and provide the detailed proof. Based on the results, we discuss the construction of spiral PH quartic curves between two given points and formulate the transition curve of a $G^2$ contact between two circles with one circle inside another circle. In particular, we deduce an attainable range of the distance between the centers of the two circles and summarize the algorithm for implementation. Compared with the construction of a PH quintic curve, the complexity of the solution of the equation for obtaining the transition curves is reduced.
    相关文章 | 计量指标