Backtesting portfolio value-at-risk with estimated portfolio weights

This article theoretically and empirically analyzes backtesting portfolio value-at-risk (VaR) with estimation risk in an intrinsically multi-variate framework. It particularly takes into account the estimation of portfolio weights in forecasting portfolio VaR and its impact on backtesting. It shows that the estimation risk from estimating portfolio weights and that from estimating the multi-variate dynamic model make the existing methods in a univariate framework inapplicable. It proposes a general theory to quantify estimation risk applicable to the present problem and suggests practitioners a simple but effective way to implement valid inference to overcome the effect of estimation risk in backtesting portfolio VaR. In particular, we apply our theory to the efficient mean-variance-skewness portfolio for a multi-variate generalized autoregressive conditional heteroscedasticity model with multi-variate general hyperbolic distributed innovations. Some Monte Carlo simulations and an empirical application demonstrate the merits of our method.     

一类两性分枝过程条件均值增长率的极限性质

本文主要研究随机环境中配对依赖人口数两性 Galton-Watson 分枝过程的条件均值增长率的极限性质．利用上可加函数的性质，得到配对单元平均增长率的极限性质和该过程条件均值的上界和下界．文中给出了关于过程条件均值增长率的两个序列，利用配对单元平均增长率的性质，获得了这两个序列的极限性质．随机环境中配对依赖人口数两性分枝过程比较复杂，本文的结论推广了现有的研究成果．     

数字电视的条件接收系统

数字电视的兴起使人们能够欣赏到高质量的电视节目,伴随数字电视的成熟,条件接收系统(CAS)得到很好的发展。主要介绍数字电视条件接收系统相关技术的发展、基本功能、安全机制、工作原理及其安全性要求。     

The Effect of the Estimation on Goodness‐of‐Fit Tests in Time Series Models

Abstract. We analyze, by simulation, the finite‐sample properties of goodness‐of‐fit tests based on residual autocorrelation coefficients (simple and partial) obtained using different estimators frequently used in the analysis of autoregressive moving‐average time‐series models. The estimators considered are unconditional least squares, maximum likelihood and conditional least squares. The results suggest that although the tests based on these estimators are asymptotically equivalent for particular models and parameter values, their sampling properties for samples of the size commonly found in economic applications can differ substantially, because of differences in both finite‐sample estimation efficiencies and residual regeneration methods.     

Conditionals and conditional probability.

The authors report 3 experiments in which participants were invited to judge the probability of statements of the form if p then q given frequency information about the cases pq, p?q, ?pq, and ?p?q (where ? = not). Three hypotheses were compared: (a) that people equate the probability with that of the material conditional, 1 - P(p?q); (b) that people assign the conditional probability, P(q/p); and (c) that people assign the conjunctive probability P(pq). The experimental evidence allowed rejection of the 1st hypothesis but provided some support for the 2nd and 3rd hypotheses. Individual difference analyses showed that half of the participants used conditional probability and that most of the remaining participants used conjunctive probability as the basis of their judgments. (PsycINFO Database Record (c) 2010 APA, all rights reserved)     

Inference and learning in hybrid probabilistic network

This paper proposed a novel hybrid probabilistic network, which is a good tradeoff between the model complexity and learnability in practice. It relaxes the conditional independence assumptions of Naive Bayes while still permitting efficient inference and learning. Experimental studies on a set of natural domains prove its clear advantages with respect to the generalization ability.     

Conditions for the Acceptance of Deontic Conditionals.

Recent psychological research has investigated how people assess the probability of an indicative conditional. Most people give the conditional probability of q given p as the probability of if p then q. Asking about the probability of an indicative conditional, one is in effect asking about its acceptability. But on what basis are deontic conditionals judged to be acceptable or unacceptable? Using a decision theoretic analysis, we argue that a deontic conditional, of the form if p then must q or if p then may q, will be judged acceptable to the extent that the p & q possibility is preferred to the p & not-q possibility. Two experiments are reported in which this prediction was upheld. There was also evidence that the pragmatic suitability of permission rules is partly determined by evaluations of the not-p & q possibility. Implications of these results for theories of deontic reasoning are discussed. (PsycINFO Database Record (c) 2010 APA, all rights reserved)     

"Temporal encoding in fear conditioning revealed through associative reflex facilitation": Correction to Lindquist and Brown (2004).

Reports an error in "Temporal Encoding in Fear Conditioning Revealed Through Associative Reflex Facilitation" by Derick H. Lindquist and Thomas H. Brown (Behavioral Neuroscience, 2004[Apr], Vol 118[2], 395-402). The article contained several errors. On page 396, second paragraph, the sentence beginning on line 6 should read as follows: "Having a stable baseline is critical for studies of reflex facilitation because the experimental designs invariably entail repetitive CR testing, if only to achieve reasonable statistical power (see Choi et al., 2001b; Lindquist & Brown, 2004)." On page 400, the first heading should read as follows: "Comparison of New and Old Reflex Facilitation Procedures." On page 400, the first sentence under the abovementioned heading should read as follows: "We decided not to use the original measure of reflex facilitation, developed by J. S. Brown et al. (1951), because it suffers from severe interpretational limitations, elaborated in detail elsewhere (Choi et al., 2001b; Leaton & Cranney, 1990; Lindquist & Brown, 2004)." (The following abstract of the original article appeared in record 2004-12681-016.) Temporal encoding in Pavlovian fear conditioning was examined through conditional facilitation of the short-latency (Rl) component of the rat eyeblink reflex. Rats were fear-conditioned to a tone conditional stimulus (CS) with either a 3- or 9-s interstimulus interval (ISI) between CS onset and the onset of the grid-shock unconditional stimulus (US). Rl facilitation was tested over 2 days, in counterbalanced order, at a latency of 3 s and 9 s from CS onset. CS-produced Rl facilitation, the conditional response (CR), was 3-4 times larger when the test latency equaled the conditioning ISI. These results, coupled with the known neurophysiology of Rl facilitation, suggest that this CR could disclose differences in the time course of CS-generated output from the amygdala when driven by cortical versus subcortical CS-CR pathways. (PsycINFO Database Record (c) 2010 APA, all rights reserved)     

Promise is Debt, Threat Another Matter: The Effect of Credibility on the Interpretation of Conditional Promises and Threats.

Evidence from reasoning tasks shows that promises and threats both tend to receive biconditional interpretations. They also both display high speaker control. On the face of it, the only difference seems to be the positive or negative signing of the consequent. In a promise, the speaker tries to persuade the hearer to do something by holding out the prospect of a particular reward; in a threat, the speaker tries to refrain the hearer from doing something by holding out the prospect of a particular punishment. This paper investigates the respects in which conditional promises and threats differ further by means of an inference task. The credibility of the consequent was manipulated in order to examine whether the acceptability ratings of inferences based on promises and on threats would be equally affected. The results of the inference task and an analysis of the reasons people give for their answers suggest that the credibility of promises is less affected by the use of excessive consequents than the credibility of threats. In other words, promise remains debt, whereas threat is another matter. (PsycINFO Database Record (c) 2010 APA, all rights reserved)     

Inference for pth‐order random coefficient integer‐valued autoregressive processes

Abstract. A pth‐order random coefficient integer‐valued autoregressive [RCINAR(p)] model is proposed for count data. Stationarity and ergodicity properties are established. Maximum likelihood, conditional least squares, modified quasi‐likelihood and generalized method of moments are used to estimate the model parameters. Asymptotic properties of the estimators are derived. Simulation results on the comparison of the estimators are reported. The models are applied to two real data sets.