Estimating GARCH models: when to use what?

Summary The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved particularly valuable in modelling time series with time varying volatility. These include financial data, which can be particularly heavy tailed. It is well understood now that the tail heaviness of the innovation distribution plays an important role in determining the relative performance of the two competing estimation methods, namely the maximum quasi‐likelihood estimator based on a Gaussian likelihood (GMLE) and the log‐transform‐based least absolutely deviations estimator (LADE) (see Peng and Yao 2003 Biometrika,90, 967–75). A practically relevant question is when to use what. We provide in this paper a solution to this question. By interpreting the LADE as a version of the maximum quasilikelihood estimator under the likelihood derived from assuming hypothetically that the log‐squared innovations obey a Laplace distribution, we outline a selection procedure based on some goodness‐of‐fit type statistics. The methods are illustrated with both simulated and real data sets. Although we deal with the estimation for GARCH models only, the basic idea may be applied to address the estimation procedure selection problem in a general regression setting.     

北京、广东、宜昌三地吸毒人群基数的快速评估

目的：探索科学、实用的快速评估吸毒人群基数的方法。方法：采用多轮快速评估方法（改进的Delphi方法），于2005年12月至2006年5月，在北京、广东、宜昌三地的戒毒人员中进行本地区滥用海洛因和新型毒品（冰毒、摇头丸、“K”粉）人数的调查估计。结果：估计2005年12月北京市滥用海洛因人数的中位数是40000（30000～60000），是同期登记在册人数的2．14（1．60～3．21）倍；估计滥用新型毒品人数的中位数是30000（25000～50000）。估计2006年5月广东省滥用海洛因人数的中位数是400000（310000～500000），是同期登记在册人数的2．13（1．65～2．66）倍；估计滥用新型毒品人数的中位数是420000（400000～600000）。估计2006年5月宜昌市滥用海洛因人数的中位数是10500（9000～15000），是同期登记在册人数的2．63（2．25～3．75）倍；估计滥用新型毒品人数的中位数是13000（8000～20000）。结论：应用快速评估方法在戒毒人员中进行毒品滥用情况估计，方法比较科学、实用、易行；虽然存在一些影响估计结果的因素，但随着研究设计和现场实施技术的不断完善，此类快速调查评估可应用于毒品滥用流行程度评估研究。     

Cardiovascular variables,skin conductance and time estimation: Changes after the administration of small doses of nicotine

Three tobacco cigarettes with known content of nicotine and one lettuce-leaf cigarette were smoked by 24 young habitual smokers, at different times of day and fixed rates of smoking. Changes in various psychophysiological parameters were automatically recorded during the 60 min which followed smoking. Heart rate and forearm blood flow increases were found to be dose dependent, the latter occurring only after smoking at the fast rate and their duration simultaneous to the presence of active nicotine in the organism. Skin vasoconstriction, as measured by decreases in temperature showed itself more reactive to environmental stimuli than to drug effects. Significant increases in skin conductance levels lasting throughout the experimental session occurred immediately after smoking, although not related to drug effects. Diphasic effects of nicotine were, however, obtained with the two largest doses, at different times of day. This finding is discussed in relation to possible unspecific nicotine effects upon a preexisting level of activation. Nicotine did not influence subjective time estimates. However, a specific pattern of responses occurred. This is discussed in terms of disruption of the timing task and a gradual re-organization towards pre-smoking estimates. The value of psychophysiological indices in relation to drugs of habitual use is questioned.This work was performed at the Department of Psychology. Institute of Psychiatry, London, and supported by the Tobacco Research Council, U.K.     

垃圾填埋场渗滤液产生量的估算

介绍了国内外垃圾填埋场渗滤液产生量估算的主要方法,对各种方法的特点、适用性、局限性和需要注意的问题进行了分析,并对实际应用中连降暴雨时的渗滤液产生量和山谷型垃圾填埋场渗滤液产生量的计算方法进行了介绍。     

Various diagnostic criteria for atopic dermatitis (AD): A proposal of Reliable Estimation of Atopic Dermatitis in Childhood (REACH) criteria,a novel questionnaire‐based diagnostic tool for AD

Atopic dermatitis (AD) is a heterogeneous disease that manifests with a wide variety of clinical symptoms and signs. Due to the lack of definitive biomarkers for AD, it is very difficult to set up standard diagnostic criteria for AD which cover the entire spectrum of AD patients. Various instruments have been proposed for AD diagnosis, and they can be classified into a hospital setting or a community setting. From the preventive medicine viewpoint, questionnaire‐based diagnostic criteria in a community setting are important to detect and manage childhood AD patients properly. In this article, various diagnostic criteria for AD in hospital and community settings will be reviewed. Additionally, the Reliable Estimation of Atopic Dermatitis in Childhood (REACH), a new full questionnaire‐based diagnostic tool for childhood AD, will be reviewed.     

集合HIVRNART-PCR方法对新疆HIV年发病率的估算

目的通过已经建立的集合HIVRNART-PCR的方法,进行新疆艾滋病年发病率的估算。方法采用50：1、10：1、1：1三级集合HIVRNART-PCR方法及用于Pooling估计HIV年发病率的公式进行发病率估计。结果2009年、2010年、2011年新疆艾滋病检测人数分别为1047份、2857份、2191份,连续3年总发病率为4．025％、1．405％、1．218％,总体处于下降趋势;吸毒人群连续3年检测人数分别为328份、1782份、1053份,发病率为9．447％、1．504％、1．267％,吸毒者配偶人群连续3年检测人数分别为719份、1075份、1138份,发病率为1．878％、1．241％、1．171％。结论新疆连续3年HIV发病率下降,表明我们在艾滋病防治方面的工作是有效的。     

Superior estimation abilities in two autistic spectrum children

Anecdotal reports of superior estimation abilities in autistic individuals (e.g., Sacks, 1985 Sacks, O. 1985. The man who mistook his wife for a hat and other clinical tales, London, , UK: Duckworth.  [Google Scholar]) have never been confirmed empirically. We present here case studies of 2 children with autistic spectrum diagnoses and report remarkable abilities in estimation for several quantifiable dimensions. K.T. and G.T. were tested at 9 years of age for estimation of rank, numerosity, time, weight, length, surface, distance, and precise enumeration for small numbers. Their performances were compared to those of 6 age- and IQ- matched comparison children. K.T. demonstrated a superior level of performance in estimating rank (e.g., which set has larger numerosity?) but his performance in other tasks was average. G.T. displayed outstanding performance in estimating numerosity, time, weight, surface, length, and distance, with average performance in other tasks. These results show that certain autistic spectrum individuals may develop superior and highly specialized abilities in estimation. We discuss these findings in relation to the role of “veridical mapping” in the development of special ability (Mottron, Dawson, & Soulières, 2009 Mottron, L., Dawson, M. and Soulières, I. 2009. Enhanced perception in savant syndrome: Patterns, structure and creativity. Philosophical Transactions of the Royal Society of London. Series B, Biological Sciences, 364: 1385–1391. [Crossref], [PubMed], [Web of Science ®] , [Google Scholar]; Mottron, Dawson, Soulieres, Hubert, & Burack, 2006a). Veridical mapping is the detection of isomorphism within a code, between two codes, or between one code and isomorphic elements of the world. Within this framework, it is proposed that estimation abilities, like absolute pitch, rely on the ability to map a verbal code with a specific magnitude of a psychophysical dimension.     

替比夫定治疗对慢性乙型肝炎患者肾小球滤过率的影响及相关因素分析

目的：探讨替比夫定在慢性乙型肝炎患者抗病毒治疗期间对肾小球滤过率的影响并分析其可能的相关因素。方法回顾性分析2008年10月至2011年12月在首都医科大学附属北京地坛医院肝病中心就诊并应用替比夫定（600 mg/d）治疗的慢性乙型肝炎患者58例,治疗52周过程中肾小球滤过率的动态变化,并分析其与慢性乙型肝炎（CHB）、ALT及e抗原消失或e抗原血清学转换率动态变化的相关性。肾小球滤过率采用国际公认的肾脏病膳食改良试验（MDRD ）公式来计算[肾小球滤过率估计值（eGFR）=186×血清肌酐水平-1.154×年龄-0.203×1.21（黑人）]×[0.742（女性）]。结果治疗52周后患者血肌酐（SCr）下降值与基线比较及eGFR的上升值和基线比差异具有统计学意义。基线时eGFR低于90 ml/min/1.73m2的3例患者的eGFR上升幅度最大（平均eGFR达21.79 ml/min/1.73m2）。进一步用多元线性回归分析发现eGFR的改善与SCr变化相关,与HBV DNA是否低于检测下限、ALT变化、AST变化、肌酸激酶（CK）及HBeAg血清学转换无关。结论用替比夫定治疗慢性乙型肝炎可出现eGFR的升高,且该效应独立于替比夫定的抗病毒作用及相关的ALT复常。     

时间驱动作业成本法在基本公共卫生服务项目成本测算中的应用

时间驱动作业成本法是国外新兴的成本测算方法,在国外卫生领域中的应用已较为成熟。目前国内利用时间驱动作业成本法测算基本公共卫生服务项目成本的研究仍处于探索阶段。为弥补国内相关研究的不足,本文借鉴时间驱动作业成本法的基本原理,分析其在基本公共卫生服务项目成本测算中的必要性和可行性,将时间作为主要的成本动因,通过管理人员估计产能成本率和作业单位时间,来测量基本公共卫生服务项目的成本,以期为卫生领域引入一种新的成本测算理念。     

主要工作量预算法在综合医院护理单元护士人力配置中的应用研究

目的观察主要工作量预算法在综合医院护理单元护士人力配置中的应用效果。方法 2011年按主观测算法以床护比1∶0.4配置护理单元(除神经外科)护士人数,2012年按主要工作量预算法进行护理单元护士人力配置。比较两种方法对护理质量及护士工作满意度、患者对护理工作满意度的影响。结果 2012年实施主要工作量预算法后护理质量、护士对工作满意度及患者对护理工作满意度均高于2011年(P0.05)。结论采用主要工作量预算法配置护理单元护士人力,可提高护理质量、护士及患者的满意度。