一种基于SVR的综合预测方法及应用

针对一类因变量具有复杂自变量、且不具备相同采样周期的预测问题，综合运用支持向量回归估计(SVR)、多元回归和主成分分析等多种数据分析技术，提出了一种综合预测方法，建立起了飞机故障率与其错综复杂的影响因素间的一种数学关系，并且采用航空装备质量控制的统计数据对所提出的方法进行了实验，预测结果显示了方法的有效性。在影响因素量化过程中，还引入了Pearson相关系数方法。     

基于分类指标优化的聚类分析

针对当前应用聚类分析直接从现成指标入手的现状,指出了其局限性.应用多元统计分析,首先对初步建立的分类指标中关联性大的指标进行优化整合,得到一组更为科学合理的分类指标,再进行模糊聚类分析,聚类结果证明此思路是正确的.     

基于波动率测量误差的波动率预测模型

本文研究了一种基于波动率测量误差的波动率预测模型,并做了非线性扩展,期望改进预测效果.考虑到文献中关于波动率可能长记忆性和非线性并存的观点,本文以具有长记忆特征的HAR(heterogeneous autoregressive)模型为基础,加入波动率测量误差后模型持续性有所提高,结合非线性的时变参数模型则达到结构变化和减弱异方差的效果.本文用2652天的沪深300高频数据计算的已实现极差波动率来验证模型效果.固定参数下,在HAR型模型中加入测量误差作为调节变量可以较显著地改善样本外预测效果.时变参数下,加入测量误差的HARQ型模型预测效果大多优于对应的HAR型模型.时变参数模型总体上可以改善固定参数模型的预测效果,尤其在预测期较长的情况下改善均是显著的.     

基于Copula函数选择的多元退化产品可靠性模型

针对含有多个退化量的产品可靠性评估问题,提出了一种基于Copula函数选择的可靠性建模方法。首先,采用Anderson-Darling统计量对退化量进行拟合优度检验,选择其最优分布函数;其次,绘制退化量分布函数中的分布参数随测量时间的变化曲线,判断其与时间和应力的相关性;再次,给出一种选择Copula函数的综合方法,该方法结合了三种常用的选择方法;同时,采用两步似然估计法对未知参数进行了评估;最后,通过硫化丁腈橡胶O型密封圈进行恒定应力加速退化试验对方法的正确性进行了实例验证,并且与二维正态分布模型、形状参数为常数时的可靠性评估结果进行了对比分析。分析结果表明,给出的方法具有更好的实用性和更广泛的应用。     

人民币汇率市场联动特征分析

融合Copula理论和GARCH有偏T模型,构建了汇率波动的t-Copula-DCC-GARCH-skewT模型,对中、美、欧3大经济体货币汇率USD-CNY和EUR-USD进行实证研究.该模型能够捕捉到人民币汇率之间的动态相关性.相关曲线展现了3大经济体在汇率制度上的阶段性联动特征,表明中、美、欧等经济体货币汇率联动性有利于人民币国际化的汇率制度建设以及世界经济的共同治理和系统性风险防范.     

Some Open Problems in Parameterized Complexity Related to the Work of Jianer Chen

This short paper highlights some open problems related to the work of Jianer Chen in the area of parameterized/multivariate algorithmics.     

有色观测噪声下的多变量设置调整策略

针对存在初始设置偏差的离散的多变量生产制造过程，研究了观测噪声服从Auto-Rgressive （AR）模型的情况下，考虑调整花费成本为二次型函数时的设置调整问题，在建立过程状态空间方程的基础上，利用卡尔曼滤波方法在线估计过程的状态变量，根据随机二次型最优控制理论，得到了使过程质量损失最小的最优调整策略. 通过算例解释了最优调整策略的实现方法，并进行了仿真验证，结果表明，得到的调整策略与观测噪声为白噪声时的质量调整策略相比，能更好地减少过程总体质量损失.     

Dynamic Dominating Set and Turbo-Charging Greedy Heuristics

The main purpose of this paper is to exposit two very different, but very general, motivational schemes in the art of parameterization and a concrete example connecting them. We introduce a dynamic version of the DOMINATING SET problem and prove that it is fixed-parameter tractable（FPT）. The problem is motivated by settings where problem instances evolve. It also arises in the quest to improve a natural greedy heuristic for the DOMINATING SET problem.     

Forecasting the Daily Time‐Varying Beta of European Banks During the Crisis Period: Comparison Between GARCH Models and the Kalman Filter

This intention of this paper is to empirically forecast the daily betas of a few European banks by means of four generalized autoregressive conditional heteroscedasticity (GARCH) models and the Kalman filter method during the pre‐global financial crisis period and the crisis period. The four GARCH models employed are BEKK GARCH, DCC GARCH, DCC‐MIDAS GARCH and Gaussian‐copula GARCH. The data consist of daily stock prices from 2001 to 2013 from two large banks each from Austria, Belgium, Greece, Holland, Ireland, Italy, Portugal and Spain. We apply the rolling forecasting method and the model confidence sets (MCS) to compare the daily forecasting ability of the five models during one month of the pre‐crisis (January 2007) and the crisis (January 2013) periods. Based on the MCS results, the BEKK proves the best model in the January 2007 period, and the Kalman filter overly outperforms the other models during the January 2013 period. Results have implications regarding the choice of model during different periods by practitioners and academics. Copyright © 2016 John Wiley & Sons, Ltd.     

The US Dollar/Euro Exchange Rate: Structural Modeling and Forecasting During the Recent Financial Crises

The paper investigates the determinants of the US dollar/euro within the framework of the asset pricing theory of exchange rate determination, which posits that current exchange rate fluctuations are determined by the entire path of current and future revisions in expectations about fundamentals. In this perspective, we innovate by conditioning on Fama–French and Carhart risk factors, which directly measures changing market expectations about the economic outlook, on new financial condition indexes and macroeconomic variables. The macro‐finance augmented econometric model has a remarkable in‐sample and out‐of‐sample predictive ability, largely outperforming a standard autoregressive specification. We also document a stable relationship between the US dollar/euro Carhart momentum conditional correlation (CCW) and the euro area business cycle. CCW signals a progressive weakening in economic conditions since June 2014, consistent with the scattered recovery from the sovereign debt crisis and the new Greek solvency crisis exploded in late spring/early summer 2015. Copyright © 2016 John Wiley & Sons, Ltd.