Dynamic Latent Class Model Averaging for Online Prediction

We consider the problem of online prediction when it is uncertain what the best prediction model to use is. We develop a method called dynamic latent class model averaging, which combines a state‐space model for the parameters of each of the candidate models of the system with a Markov chain model for the best model. We propose a polychotomous regression model for the transition weights to assume that the probability of a change in time depends on the past through the values of the most recent time periods and spatial correlation among the regions. The evolution of the parameters in each submodel is defined by exponential forgetting. This structure allows the ‘correct’ model to vary over both time and regions. In contrast to existing methods, the proposed model naturally incorporates clustering and prediction analysis in a single unified framework. We develop an efficient Gibbs algorithm for computation, and we demonstrate the value of our framework on simulated experiments and on a real‐world problem: forecasting IBM's corporate revenue. Copyright © 2014 John Wiley & Sons, Ltd.     

基于梯形模糊数的模糊最小一乘回归模型

本文给出一种梯形模糊数的距离,并基于这种距离,建立了关于梯形模糊数的模糊最小一乘回归模型.针对输入、输出和回归系数分别为实数和梯形模糊数的三种情形,进行了详细的研究与分析.最后,通过3个实例验证了所提模型的有效性.数据模拟结果表明我们的方法具有较好的拟合效果.     

A Simple Linear Regression Approach to Modeling and Forecasting Mortality Rates

Observing that a sequence of negative logarithms of 1‐year survival probabilities displays a linear relationship with the sequence of corresponding terms with a time lag of a certain number of years, we propose a simple linear regression to model and forecast mortality rates. Our model assuming the linearity between two mortality sequences with a time lag each other does not need to formulate the time trends of mortality rates across ages for mortality prediction. Moreover, the parameters of our model for a given age depend on the mortality rates for that age only. Therefore, whether the span of the study ages with the age included is widened or shortened will not affect the results of mortality fitting and forecasting for that age. In the empirical testing, the regression results using the mortality data for the UK, USA and Japan show a satisfactory goodness of fit, which convinces us of the appropriateness of the linear assumption. Empirical illustrations further show that our model's performances of fitting and forecasting mortality rates are quite satisfactory compared with the existing well‐known mortality models. Copyright © 2015 John Wiley & Sons, Ltd.     

基于LWSVR的繁忙机场航班滑出时间预测

针对繁忙机场航班滑出时间预测准确率低的问题,结合局部回归和加权支持向量回归,提出基于局部加权支持向量回归的离港航班滑出时间预测模型。该模型采用K最近邻方法,减小训练样本集容量,并为每个预测样本构建一个预测模型。通过计算训练样本与预测样本间的马氏距离,来优化加权支持向量回归中高斯核加权函数的带宽参数,获得加权系数。结合某机场离港航班数据仿真分析,实验结果表明模型在误差允许范围内的预测准确率达到83.33%,模型更加稳定。     

核稀疏概念编码算法及在图像表示中的应用

稀疏编码算法是一种常用的图像数据表示方法.为了处理高度非线性分布的数据,文中提出了一种核稀疏概念编码算法,并应用于图像表示.该算法首先对邻域图进行谱分析,提取数据的几何流形结构信息;然后将原始特征空间数据映射到高维特征空间中,利用谱回归在高维特征空间中来计算基向量;最后在高维特征空间中对每个样本逐个进行表示.文中算法不仅能有效地处理非线性结构数据,而且只需求解一个稀疏特征值问题和两个回归问题,计算简单有效.在Yale、ORL和PIE图像库的聚类实验表明,文中算法的准确率和归一化互信息均优于其它几种对比算法.     

Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?

We study the performance of recently developed linear regression models for interval data when it comes to forecasting the uncertainty surrounding future stock returns. These interval data models use easy‐to‐compute daily return intervals during the modeling, estimation and forecasting stage. They have to stand up to comparable point‐data models of the well‐known capital asset pricing model type—which employ single daily returns based on successive closing prices and might allow for GARCH effects—in a comprehensive out‐of‐sample forecasting competition. The latter comprises roughly 1000 daily observations on all 30 stocks that constitute the DAX, Germany's main stock index, for a period covering both the calm market phase before and the more turbulent times during the recent financial crisis. The interval data models clearly outperform simple random walk benchmarks as well as the point‐data competitors in the great majority of cases. This result does not only hold when one‐day‐ahead forecasts of the conditional variance are considered, but is even more evident when the focus is on forecasting the width or the exact location of the next day's return interval. Regression models based on interval arithmetic thus prove to be a promising alternative to established point‐data volatility forecasting tools. Copyright ©2015 John Wiley & Sons, Ltd.     

考虑产品特征属性的替代性需求预测方法

随着电商销售业务的高速发展, 对用户需求进行快速准确预测已成为重要的研究方向. 产品间的替代性对需求有一定影响作用, 且此方面的应用研究在不断深入. 为了提升需求预测精度, 基于畅销预测属性值排序, 利用邻近替代率估计方法, 并结合 Adaboost 预测模型, 构建出一种更优的考虑产品特征属性的替代性需求预测方法, 并通过实验证明该方法行之有效.     

基于网络关注度的大宗商品市场预测研究

随着大宗商品市场化的加快和电子信息技术的快速发展,以互联网为载体的网络信息将方便快捷地传递到市场及市场参与者.本文从海量开源数据出发,利用搜索引擎平台,提取核心信息构建网络关注度指标,并提出了基于网络关注度的大宗商品价格预测模型.通过引入具有不同核函数的支持向量回归模型,分别建立了针对单个市场(原油、铜以及玉米)的网络关注度预测模型和综合考虑市场间联动性的多市场网络关注度预测模型.实证结果表明,网络关注度对于市场价格的变动有显著的格兰杰因果关系,引入网络关注度指标和相关市场信息能显著提高预测精度.     

房屋结构检测数据回归分析

以回弹法检测混凝土抗压强度为研究背景,分析分别以河砂和山砂拌制的混凝土对检测结果的影响,利用概率统计方法求出贵州地区以山砂拌制的混凝土的抗压强度,然后用回归分析方法计算推定系数k0值。计算结果表明,计算出的k0明显比JGJ/T23-2001标准规定的k值偏小,如果按照现行的国家标准规定的k值计算贵州地区混凝土强度,最终会对检测结果的判断造成误差,使检测得到的混凝土强度偏离实际混凝土的强度。     

基于Kriging模型与重要性抽样的可靠性灵敏度分析

针对因无法获得功能函数的梯度信息而不能使用解析方法的情形,提出了进行可靠性灵敏度分析的高效的仿真方法,首先基于Kriging模型和重要性抽样去计算失效概率,然后通过记分函数(score function)方法求出失效概率对各个参数的偏导数。在计算失效概率时采用反问题(inversion problems)中的不确定性逐步减少(stepwise uncertainty reduction)准则来更新功能函数的Kriging模型,继而在重要性抽样的框架下将失效概率表示成一个"增大"的失效概率与修正项的乘积;而记分函数方法只是对前面抽样方法的一个简单后处理,不需要计算额外的功能函数值.对所提方法使用算例验证表明:当功能函数为昂贵的计算模型或对系统(非单个构件)进行灵敏度分析时,该方法具有较高的计算效率和精度。