ARFIMA approximation and forecasting of the limiting aggregate structure of long‐memory process

This article studies Man and Tiao's (2006) low‐order autoregressive fractionally integrated moving‐average (ARFIMA) approximation to Tsai and Chan's (2005b) limiting aggregate structure of the long‐memory process. In matching the autocorrelations, we demonstrate that the approximation works well, especially for larger d values. In computing autocorrelations over long lags for larger d value, using the exact formula one might encounter numerical problems. The use of the ARFIMA(0, d, d?₁) model provides a useful alternative to compute the autocorrelations as a really close approximation. In forecasting future aggregates, we demonstrate the close performance of using the ARFIMA(0, d, d?₁) model and the exact aggregate structure. In practice, this provides a justification for the use of a low‐order ARFIMA model in predicting future aggregates of long‐memory process. Copyright © 2008 John Wiley & Sons, Ltd.     

Dynamic density forecasts for multivariate asset returns

We propose a simple and flexible framework for forecasting the joint density of asset returns. The multinormal distribution is augmented with a polynomial in (time‐varying) non‐central co‐moments of assets. We estimate the coefficients of the polynomial via the method of moments for a carefully selected set of co‐moments. In an extensive empirical study, we compare the proposed model with a range of other models widely used in the literature. Employing a recently proposed as well as standard techniques to evaluate multivariate forecasts, we conclude that the augmented joint density provides highly accurate forecasts of the ‘negative tail’ of the joint distribution. Copyright © 2010 John Wiley & Sons, Ltd.     

基于PSO参数辨识SVM的中长期径流预测研究

以径向基函数作为核函数,利用微粒群(PSO)算法的全局寻优特性进行支持向量机(SVM)的参数辩识.在微粒群搜索参数前,先对参数进行指数变换,使[0,1]和[1,∞]有着相同的搜索概率.微粒群算法的适应值函数是以支持向量机模型的推广能力为标准的,讨论了测试样本的最小误差和留一法对支持向量机学习方法推广能力的两种估计.最后...     

基于EEMD-Renyi熵和PCA-PNN的滚动轴承故障诊断

针对滚动轴承故障特征提取与状态监测问题,提出一种基于集合经验模式分解(EEMD)、Renyi熵、主元分析(PCA)和概率神经网络(PNN)的新方法.首先,将轴承振动信号通过EEMD分解成一组本征模态函数(IMF),计算每个IMF分量的Renyi熵值作为表征故障特征的向量,采用主元分析(PCA)对特征降维,提取主元输入概...     

Exploring non-equilibrium statistical ensembles

Since Gibbs synthesized a general equilibrium statistical ensemble theory, generalizing the Gibbsian theory to non-equilibrium phenomena has been a dream for some theorists. However, the status of the theory for the non-equilibrium ensemble formalism is not as well established as the Gibbsian ensemble theory. In this work, we explore the formalism behind the non-equilibrium statistical ensemble theory based on the sub-dynamic kinetic equation originating from the Brussels-Austin school and develop...     

履带起重机零部件需求预测分析

探讨了履带起重机企业零部件需求年度和月度需求的预测分析，从中发现需求的季节变化规律和发展趋势，并用它来预测未来各月份可能出现的需求，以便企业制订合适的库存管理策略，降低库存量，提高流动资金的营运效率。     

Henderson‐Trending of Macroeconomic Variables and Forecasting Accuracy

Using a structural time‐series model, the forecasting accuracy of a wide range of macroeconomic variables is investigated. Specifically of importance is whether the Henderson moving‐average procedure distorts the underlying time‐series properties of the data for forecasting purposes. Given the weight of attention in the literature to the seasonal adjustment process used by various statistical agencies, this study hopes to address the dearth of literature on ‘trending’ procedures. Forecasts using both the trended and untrended series are generated. The forecasts are then made comparable by ‘detrending’ the trended forecasts, and comparing both series to the realised values. Forecasting accuracy is measured by a suite of common methods, and a test of significance of difference is applied to the respective root mean square errors. It is found that the Henderson procedure does not lead to deterioration in forecasting accuracy in Australian macroeconomic variables on most occasions, though the conclusions are very different between the one‐step‐ahead and multi‐step‐ahead forecasts. Copyright © 2011 John Wiley & Sons, Ltd.     

基于时间序列的灰色预测技术在估产模型中的应用

在建立估产模型过程中，引进基于时间序列的灰色预测技术，通过对样本点建立基于时间序列的灰色预测模型和常规的多元线性回归气象模型的分析比较，试图找到一种计算简单，数据要求少而精度较高，时效性较好的建模方法，为时间序列预测在农作物估产方面的应用作出一点探索。     

风力发电节能技术的状况分析

本文介绍了国内外风力发电产业发展概况,从风力资源、电网情况、制造能力、公众环保意识等方面指出了影响我国风电产业的主要因素,并提出了相关的解决办法。     

基于回归分析与三次指数平滑的组合预测

组合预测是把几种单一的预测方法进行组合后得到更好的预测结果的方法.文章根据国家财政用于科学研究支出的统计数据,运用回归预测与三次指数平滑预测,而后求出组合预测的权重,最后得出更优的预测结果.