This study reveals the time-varying spillover effects of higher moments(realized volatility,realized skewness and realized kurtosis)and jumps between China’s precious metals and industrial metals markets.Using 5-min ...This study reveals the time-varying spillover effects of higher moments(realized volatility,realized skewness and realized kurtosis)and jumps between China’s precious metals and industrial metals markets.Using 5-min high-frequency data from May 10,2012 to October 21,2021,the dynamic effects of spillovers are uncovered using the time-frequency domain spillover index framework.The results show that the system connectedness weakens as the moment order gets higher whereas the total jumps connectedness is the smallest,and the spillovers of all estimators are more evident in the short term.The overall information spillovers are time-varying and influenced by major market events.Specifically,for realized volatility,copper is the largest net transmitter and silver is always a net transmitter,while zinc is the largest net receiver.For realized skewness,copper is the largest net transmitter and silver is always a net transmitter,while lead is the largest net receiver.For realized kurtosis and jumps,copper is the largest net transmitter,while aluminum is the largest net receiver.Overall,copper and silver play dominant roles in China’s precious and industrial metals markets system.展开更多
Background: Bivariate count data are commonly encountered in medicine, biology, engineering, epidemiology and many other applications. The Poisson distribution has been the model of choice to analyze such data. In mos...Background: Bivariate count data are commonly encountered in medicine, biology, engineering, epidemiology and many other applications. The Poisson distribution has been the model of choice to analyze such data. In most cases mutual independence among the variables is assumed, however this fails to take into accounts the correlation between the outcomes of interests. A special bivariate form of the multivariate Lagrange family of distribution, names Generalized Bivariate Poisson Distribution, is considered in this paper. Objectives: We estimate the model parameters using the method of maximum likelihood and show that the model fits the count variables representing components of metabolic syndrome in spousal pairs. We use the likelihood local score to test the significance of the correlation between the counts. We also construct confidence interval on the ratio of the two correlated Poisson means. Methods: Based on a random sample of pairs of count data, we show that the score test of independence is locally most powerful. We also provide a formula for sample size estimation for given level of significance and given power. The confidence intervals on the ratio of correlated Poisson means are constructed using the delta method, the Fieller’s theorem, and the nonparametric bootstrap. We illustrate the methodologies on metabolic syndrome data collected from 4000 spousal pairs. Results: The bivariate Poisson model fitted the metabolic syndrome data quite satisfactorily. Moreover, the three methods of confidence interval estimation were almost identical, meaning that they have the same interval width.展开更多
Breakthrough point source model, extended earthquake source model is used to calculate more seismic source parameters in this paper. We express seismic source using higher degree moment tensors, to reduce a Iarge numb...Breakthrough point source model, extended earthquake source model is used to calculate more seismic source parameters in this paper. We express seismic source using higher degree moment tensors, to reduce a Iarge number terms originally presenting in higher degree moment tensor representation, Haskell rupture model is used. We in verted the source parameters of Mani earthquake in Tibet using broad-band body wave of 32 stations of Global Seismograph Network (GSN), the results show that it is a strike-slip fault, rupture direction is 75°, rupture duration is 19 s, the fault plan is φ=77°, δ5=88°, A=0°, the auxiliare plane is φ=347°, δ=90°, k=178°, and the fault dimension is 47 km×28 km. These results will give new quantitative data for earth dynamics and have practical meaning for seismic source tomography research.展开更多
We performed systematic studies on the effects of event-by-event efficiency fluctuations on efficiency correction for cumulant analysis in relativistic heavy-ion collision experiments. Experimentally, particle eficien...We performed systematic studies on the effects of event-by-event efficiency fluctuations on efficiency correction for cumulant analysis in relativistic heavy-ion collision experiments. Experimentally, particle eficiencies of events measured under different experimental conditions should be different. For fluctuation measurements, the final event-by-event multiplicity distributions should be the superposed distributions of various type of events measured under different conditions. We demonstrate efficiency fluctuation effects using numerical simulation, in which we construct an event ensemble consisting of events with two different efficiencies. By using the mean particle efficiencies, we find that the efficiency corrected cumulants show large deviations from the original inputs when the discrepancy between the two efficiencies is large. We further studied the effects of efficiency fluctuations for the cumulants of net-proton distributions by implementing the UrQMD events of Au+Au collisions at √SNN=7.7 GeV in a realistic STAR detector acceptance. We consider the unequal efficiency in two sides of the Time Projection Chamber (TPC), multiplicity dependent efficiency, and the event-by-event variations of the collision vertex position along the longitudinal direction (Vz). When the efficiencies fluctuate dramatically within the studied event sample, the effects of efficiency fluctuations have significant impacts on the efficiency corrections of cumulants with the mean efficiencies. We find that this effect can be effectively suppressed by binning the entire event ensemble into various sub-event samples, in which the efficiency variations are relatively small. The final efficiency corrected cumulants can be calculated from the weighted average of the corrected factorial moments of the sub-event samples with the mean efficiencies.展开更多
The molecular characterization of the weighted atomic Hardy space Hw p,q,s is given. As an application, the boundedness of Hilbert transform on the weighted Hardy space is proved.
基金the financial support from the National Natural Science Foundation of China(No.72172107)。
文摘This study reveals the time-varying spillover effects of higher moments(realized volatility,realized skewness and realized kurtosis)and jumps between China’s precious metals and industrial metals markets.Using 5-min high-frequency data from May 10,2012 to October 21,2021,the dynamic effects of spillovers are uncovered using the time-frequency domain spillover index framework.The results show that the system connectedness weakens as the moment order gets higher whereas the total jumps connectedness is the smallest,and the spillovers of all estimators are more evident in the short term.The overall information spillovers are time-varying and influenced by major market events.Specifically,for realized volatility,copper is the largest net transmitter and silver is always a net transmitter,while zinc is the largest net receiver.For realized skewness,copper is the largest net transmitter and silver is always a net transmitter,while lead is the largest net receiver.For realized kurtosis and jumps,copper is the largest net transmitter,while aluminum is the largest net receiver.Overall,copper and silver play dominant roles in China’s precious and industrial metals markets system.
文摘Background: Bivariate count data are commonly encountered in medicine, biology, engineering, epidemiology and many other applications. The Poisson distribution has been the model of choice to analyze such data. In most cases mutual independence among the variables is assumed, however this fails to take into accounts the correlation between the outcomes of interests. A special bivariate form of the multivariate Lagrange family of distribution, names Generalized Bivariate Poisson Distribution, is considered in this paper. Objectives: We estimate the model parameters using the method of maximum likelihood and show that the model fits the count variables representing components of metabolic syndrome in spousal pairs. We use the likelihood local score to test the significance of the correlation between the counts. We also construct confidence interval on the ratio of the two correlated Poisson means. Methods: Based on a random sample of pairs of count data, we show that the score test of independence is locally most powerful. We also provide a formula for sample size estimation for given level of significance and given power. The confidence intervals on the ratio of correlated Poisson means are constructed using the delta method, the Fieller’s theorem, and the nonparametric bootstrap. We illustrate the methodologies on metabolic syndrome data collected from 4000 spousal pairs. Results: The bivariate Poisson model fitted the metabolic syndrome data quite satisfactorily. Moreover, the three methods of confidence interval estimation were almost identical, meaning that they have the same interval width.
文摘Breakthrough point source model, extended earthquake source model is used to calculate more seismic source parameters in this paper. We express seismic source using higher degree moment tensors, to reduce a Iarge number terms originally presenting in higher degree moment tensor representation, Haskell rupture model is used. We in verted the source parameters of Mani earthquake in Tibet using broad-band body wave of 32 stations of Global Seismograph Network (GSN), the results show that it is a strike-slip fault, rupture direction is 75°, rupture duration is 19 s, the fault plan is φ=77°, δ5=88°, A=0°, the auxiliare plane is φ=347°, δ=90°, k=178°, and the fault dimension is 47 km×28 km. These results will give new quantitative data for earth dynamics and have practical meaning for seismic source tomography research.
基金Supported by the MoST of China 973-Project No.2015CB856901NSFC(11575069)
文摘We performed systematic studies on the effects of event-by-event efficiency fluctuations on efficiency correction for cumulant analysis in relativistic heavy-ion collision experiments. Experimentally, particle eficiencies of events measured under different experimental conditions should be different. For fluctuation measurements, the final event-by-event multiplicity distributions should be the superposed distributions of various type of events measured under different conditions. We demonstrate efficiency fluctuation effects using numerical simulation, in which we construct an event ensemble consisting of events with two different efficiencies. By using the mean particle efficiencies, we find that the efficiency corrected cumulants show large deviations from the original inputs when the discrepancy between the two efficiencies is large. We further studied the effects of efficiency fluctuations for the cumulants of net-proton distributions by implementing the UrQMD events of Au+Au collisions at √SNN=7.7 GeV in a realistic STAR detector acceptance. We consider the unequal efficiency in two sides of the Time Projection Chamber (TPC), multiplicity dependent efficiency, and the event-by-event variations of the collision vertex position along the longitudinal direction (Vz). When the efficiencies fluctuate dramatically within the studied event sample, the effects of efficiency fluctuations have significant impacts on the efficiency corrections of cumulants with the mean efficiencies. We find that this effect can be effectively suppressed by binning the entire event ensemble into various sub-event samples, in which the efficiency variations are relatively small. The final efficiency corrected cumulants can be calculated from the weighted average of the corrected factorial moments of the sub-event samples with the mean efficiencies.
基金This work was supported by the National Natural Science Foundation of China (Grant Nos. 19631080, 69735020)
文摘The molecular characterization of the weighted atomic Hardy space Hw p,q,s is given. As an application, the boundedness of Hilbert transform on the weighted Hardy space is proved.