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具有马尔可夫状态切换的随机波动模型AI 解读

This article presents a new way of modeling time-varying volatility. We generalize the usual stochastic volatility models to encompass regime-switching properties. The unobserved state variables are governed by a first-order Markov process. Bayesian estimators are constructed by Gibbs sampling. High-, medium- and low-volatility states are identified for the Standard and Poor's 500 weekly return data. Persistence in volatility is explained by the persistence in the low- and…

竞争风险模型中多种原因别风险率相等的一类检验AI 解读

A class of asymptotically distribution-free tests for the equality of the k risks in a competing risks model is considered. The tests can be derived by martingale theory or by a marginal likelihood approach. When the risks are dependent, the quantities to be compared would be the cause-specific hazard rates or equivalently the pseudosurvivor functions related to the cause-specific hazard rates. This class of tests allows one to compare k risks simultaneously for k > 2, is…