随机波动模型的参数估计方法

随机波动(SV)模型是研究金融收益率波动性的一种重要模型,但该模型没有精确的似然函数表达式,对其进行研究具有一定的挑战性.将近十几年来国内外学者提出的不同参数估计方法分为2类,讨论了各种方法的优缺点,并对其给予了评价.     

Large-sample confidence intervals for validity and reliability coefficients.

Large-sample confidence intervals (CI) for reliability, validity, and unattenuated validity are presented. The CI for unattenuated validity is based on the Bonferroni inequality, which relies on one CI for test–retest reliability and one for validity. Covered are four reliability–validity situations: (a) both estimates were from random samples; (b) reliability was from a random sample but validity was from a selected sample; (c) validity was from a random sample but reliability was from a selected sample; and (d) both estimates were from selected samples. All CIs were evaluated by using a simulation. CIs on reliability, validity, or unattenuated validity are accurate as long as selection ratio is at least 20% and selected sample size is 100 or larger. When selection ratio is less than 20%, estimators tend to underestimate their parameters. (PsycINFO Database Record (c) 2010 APA, all rights reserved)     

A new stochastic model for auditory-nerve discharge

This paper investigates the mechanisms for history-dependent probability of eight-nerve discharge, which is modeled as the probability that the excitatory postsynaptic potential (EPSP) process crosses afferent membrane threshold, with the discharge history dependence due to the dependence of postsynaptic threshold voltage on time since previous action potential. The model parameters are the Poisson intensity alpha t of vesicle release, the duration epsilon and probability density PV(upsilon) of single-vesicle EPSP's, and the threshold voltage curve theta (tau) for spiking. It is proven that the infinitesimal conditional probabilities of discharge exhibit two distinct behaviors. The first is associated with the time tau = T D, exactly the time the neuron releases from absolute refractory where there is no intensity [theta(tau) = infinity, for tau < T D]. At this time the neuron has a nonzero probability of discharge [symbol:see text] (T D) = lim delta-->0 Pr(Nt,t+delta = 1/t - wNt = T D). The second regime corresponds to the time since previous spike being greater than dead time, tau > T D, during which time the intensity exists lambda t(tau) = lim delta-->0(1/delta) Pr(Nt,t+delta = 1/t - wNt = tau > T D). The fact that there is a nonzero probability of discharge following passage from the absolute refractory period predicts the nonmonotonic hazard intensity seen in high spontaneous neurons [R. P. Gaumond, Ph.D. thesis, Washington University, St. Louis (1980)] and high driven rate neurons. It is shown that for the lowest range of vesicle release intensities where the vesicle-release-rate/membrane-integration-time product alpha t epsilon small, the nonzero probability of discharge at a point is approximately equal to 0. The discharge intensity is dominated by a term linear in vesicle release intensity: lambda t(tau) approximately alpha t exp(-integral of t-epsilon t alpha sigma d sigma) integral of theta (tau) infinity Pv(upsilon)d upsilon. This is precisely the Siebert-Gaumond intensity product form with monotonic recovered discharge probability. At high vesicle release rates, such as for driven rate responses, the nonzero probability of discharging at a point becomes of nonsignificant size, and the intensity of discharge grows nonlinearly with alpha t, implying the product model does not hold. The model is demonstrated via the analysis of auditory nerve fibers from the cat.     

Estimating the rate constants in a two-compartment stochastic model

A procedure is described for estimating the rate constants of a two-compartment stochastic model for which the covariance structure over time of the observations is known. The proposed estimation procedure, by incorporating the known (as a function of the parameters to be estimated) covariance structure of the observations, produces regular best asymptotically normal (RBAN) estimators for the parameters. In addition, the construction of approximate confidence intervals and regions for the parameters is made possible by identification of the asymptotic covariance matrix of the estimators. The explicit form of the inverse of the covariance matrix, which is required in the estimation procedure, is presented. The procedure is illustrated by application to real as well as simulated data, and a comparison is made to the widely used nonlinear least squares procedure, which does not account for correlations over time.     

Testing a model for the dynamics of actin structures with biological parameter values

A simple mathematical model for the dynamics of network-bundle transitions in actin filaments has been previously proposed and some of its mathematical properties have been described. Other models in this class have since been considered and investigated mathematically. In this paper, we have made the first steps in connecting parameters in the model with biologically measurable quantities such as published values of rate constants for filament-crosslinker association. We describe how this connection was made, and give some preliminary numerical simulation results for the behavior of the model under biologically realistic parameter regimes. A key result is that filament length influences the bundle-network transition.     

A stochastic model for early HIV-1 population dynamics

Histozoic and coelozoic skrjabillanid-type nematodes belonging to the genera Skrjabillanus, Molnaria, Sinoichthyonema, Esocinema, Daniconema and Lucionema are recorded from the subcutaneous tissues, fins, swimbladder and abdominal cavity of different fish species living in natural waters and fish farms of Hungary. In addition to the nine taxonomically identified parasite species, one Skrjabillanus sp., two Molnaria spp. and three Esocinema spp. were identified to the genus level only. The histozoic larval stages of a Molnaria, Daniconema and Lucionema species each, living in a site different from that of the imagoes, were also detected. The presence of closely not identified first- to third-stage skrjabillanid larvae was demonstrated in 26.3% of the parasitic carp lice (Argulus foliaceus L.) collected from the eight fish species.     

A stochastic model of preference change and its application to 1992 presidential election panel data.

The authors present and test a model for the evolution of preferences. Personal preferences are represented by rankings with possible ties and are posited to change under the influence of "tokens" of information in the environment. These tokens may not be directly controlled or observed by the researcher. The authors apply the model to 1992 National Election Study panel data (W. E. Miller, D. R. Kinder, S. J. Rosenstone, & NES, 1993). The parameter estimates suggest that negative campaigning played a major role in the information flow. Democrats and Republicans experienced a barrage of contradicting information about Perot; Democrats, Republicans, and Independents each received or perceived different information. A shift in the perception of the candidates led the Republicans to evaluate Bush and Perot less favorably after the election. These results demonstrate the model's potential to analyze persuasion as a real-time stochastic process and without a media content analysis. (PsycINFO Database Record (c) 2010 APA, all rights reserved)     

Ising动力系统模拟收益率的多重分形分析

应用Ising模型和平均场理论构造符合股市收益率的动力系统,借助于计算机软件Matlab,利用蒙特卡洛模拟方法,通过调整参数模拟得出动力系统的收益率序列.分析发现:Ising动力系统构造的收益率同证券市场股票指数波动率一样具有厚尾等统计特征.对模拟收益率原序列和混洗后的序列进行多重分形分析,得出了模拟收益率序列存在分布多重分形和相关性多重分形的结论.