Improvements over the James-Stein Estimator: A Risk Analysis

[[abstract]]Consider the problem of estimating a p-variate (p≥3) normal mean vector under the squared error loss when the dispersion matrix is assumed to be the identity matrix. Here we study the risk functions of several estimators which are uniformly better than the James-Stein estimator.[[incitationindex]]SCI[[booktype]]紙

A Note on Comparing Several Poisson Means

[[abstract]]There has been a renewed interest lately in comparing the means (rates) of several Poisson distributions (processes) due to its wide applicability in various fields, especially in life sciences. In this article we first review the recent developments in the literature, and then propose a parametric bootstrap method which performs as good as, if not better than, the existing methods. Results of our comprehensive simulation study have been provided to compare the relevant methods. Finally these methods have been used to four real-life datasets including a most recent one obtained from a clinical trial on the Intrinsa hormone patch developed by Proctor & Gamble.[[journaltype]]國外[[incitationindex]]SSCI[[incitationindex]]EI[[incitationindex]]SCI[[booktype]]紙本[[countrycodes]]US

Hypothesis testing on the common location parameter of several shifted exponential distributions: A note

[[abstract]]This note deals with hypothesis testing on the common location parameter of several shifted exponential distributions with unknown and possibly unequal scale parameters. No exact test is available for the above mentioned problem; and one does not have the luxury of applying the asymptotic Chi-square test for the likelihood ratio test statistic since the distributions do not satisfy the usual regularity conditions. Therefore, we have proposed a few approximate tests based on the parametric bootstrap method which appear to work well even for small samples in terms of attaining the level. Powers of the proposed tests have been provided along with a recommendation of their usage.[[journaltype]]國外[[incitationindex]]SCI[[booktype]]紙本[[booktype]]電子版[[countrycodes]]NL

Partial State-Owned Bank Interest Margin, Default Risk, and Structural Breaks: A Model of Financial Engineering

[[abstract]]Recent reports demonstrate that the grip of nationalism is tightest in banking (Economist, 2009a), and in France and Britain, politicians powering taxpayers' money into ailing banks are demanding that the cash be lent at home (Economist, 2009b). This paper proposes a call option model for bank interest margin and default risk valuation based on an event-dependent, structural break framework under the return of banking nationalization. The primary feature is the existence of the discontinuity and fat tails of asset returns and risks caused by structural changes. We show that an increase in the structural breaks in mean return discontinuity and volatility fluctuation caused by the increasing degree of the bank's partial nationalization increases the bank's interest margin and default risk. We conclude that nationalization may be a high return-volatility structure break.[[incitationindex]]EI[[booktype]]紙本[[countrycodes]]GR

A Note On Skew-Normal Distribution Approximation To The Negative Binomal Distribution

[[abstract]]This article revisits the problem of approximating the negative binomial distribution. Its goal is to show that the skew-normal distribution, another alternative methodology, provides a much better approximation to negative binomial probabilities than the usual normal approximation.[[notice]]補正完畢[[journaltype]]國外[[incitationindex]]EI[[booktype]]紙本[[countrycodes]]GR

A Structure-Break Option Framework for Bank Margin Valuation When Foreign-Denominated Loans Squeezing a Country

[[abstract]]The banking industry is recently experiencing a renewed focus on retail banking, a trend often attributed to the stability and profitability of retail activities (Hirtle and Stiroh, 2007). This paper examines operations management in bank interest margin when foreign-denominated loans are squeezing a country as its currency falters. In a call-option model with fat-tail distribution framework where structural changes from exchange rate depreciated dramatically are the source of uncertainty (we call such changes bad events), exchange rates or bad events have direct effects on the bank's optimal interest margin. A depreciation in the domestic currency results in an increased interest margin. We conclude that retail banking may be a relatively shrinking lending activity but it is a high return one when an observed bad event from the domestic-currency depreciation is becoming worse.[[incitationindex]]EI[[booktype]]紙本[[countrycodes]]GR