Hybrid Forecasting with Estimated Temporally Aggregated Linear Processes

We introduce a new strategy for the prediction of linear temporal aggregates; we call it ‘hybrid’ and study its performance using asymptotic theory. This scheme consists of carrying out model parameter estimation with data sampled at the highest available frequency and the subsequent prediction with data and models aggregated according to the forecasting horizon of interest. We develop explicit expressions that approximately quantify the mean square forecasting errors associated with the different prediction schemes and that take into account the estimation error component. These approximate estimates indicate that the hybrid forecasting scheme tends to outperform the so‐called ‘all‐aggregated’ approach and, in some instances, the ‘all‐disaggregated’ strategy that is known to be optimal when model selection and estimation errors are neglected. Unlike other related approximate formulas existing in the literature, those proposed in this paper are totally explicit and require neither assumptions on the second‐order stationarity of the sample nor Monte Carlo simulations for their evaluation. Copyright © 2014 John Wiley & Sons, Ltd.     

Forecast robustness in macroeconometric models

This paper investigates potential invariance of mean forecast errors to structural breaks in the data generating process. From the general forecasting literature, such robustness is expected to be a rare occurrence. With the aid of a stylized macro model we are able to identify some economically relevant cases of robustness and to interpret them economically. We give an interpretation in terms of co‐breaking. The analytical results resound well with the forecasting record of a medium‐scale econometric model of the Norwegian economy.     

A Comparison of the Forecasting Ability of Immediate Price Impact Models

As a consequence of recent technological advances and the proliferation of algorithmic and high‐frequency trading, the cost of trading in financial markets has irrevocably changed. One important change, known as price impact, relates to how trading affects prices. Price impact represents the largest cost associated with trading. Forecasting price impact is very important as it can provide estimates of trading profits after costs and also suggest optimal execution strategies. Although several models have recently been developed which may forecast the immediate price impact of individual trades, limited work has been done to compare their relative performance. We provide a comprehensive performance evaluation of these models and test for statistically significant outperformance amongst candidate models using out‐of‐sample forecasts. We find that normalizing price impact by its average value significantly enhances the performance of traditional non‐normalized models as the normalization factor captures some of the dynamics of price impact. Copyright © 2016 John Wiley & Sons, Ltd.     

基于奇异谱分析的我国航空客运量集成预测模型

针对时间序列包含噪声以及单一模型可能存在预测表现不稳定的问题,本文提出了一个基于奇异谱分析(SSA)的集成预测模型,并将其运用于我国年度航空客运量的预测中.首先,采用SSA方法对原始时间序列进行分解和重构,得到一个剔除噪声的时间序列,然后将其作为单整自回归移动平均模型(ARIMA)、支持向量回归模型(SVR)、Holt-Winters方法(HW)等单一模型的输入并进行预测,接着再采用加权平均集成预测方法(WA)将三种单一模型的预测结果进行综合集成.通过与各单一模型、基于经验模态分解方法(EMD)的模型以及简单平均集成预测方法(SA)的预测结果进行对比发现,本文所建模型具有较高的预测精度和较稳定的预测表现.最后,采用本文的模型对我国2014-2016年年度航空客运量进行了预测.     

Treed Avalanche Forecasting: Mitigating Avalanche Danger Utilizing Bayesian Additive Regression Trees

Little Cottonwood Canyon Highway is a dead‐end, two‐lane road leading to Utah's Alta and Snowbird ski resorts. It is the only road access to these resorts and is heavily traveled during the ski season. Professional avalanche forecasters monitor this road throughout the ski season in order to make road closure decisions in the face of avalanche danger. Forecasters at the Utah Department of Transportation (UDOT) avalanche guard station at Alta have maintained an extensive daily winter database on explanatory variables relating to avalanche prediction. Whether or not an avalanche crosses the road is modeled in this paper via Bayesian additive tree methods. Utilizing daily winter data from 1995 to 2011, results show that using Bayesian tree analysis outperforms traditional statistical methods in terms of realized misclassification costs that take into consideration asymmetric losses arising from two types of error. Closing the road when an avalanche does not occur is an error harmful to resort owners, and not closing the road when one does may result in injury or death. Copyright © 2016 John Wiley & Sons, Ltd.     

红脂大小蠹监测预报方法及防治

阐述了对红脂大小蠹虫情的一般调查、预测方法,结合太原市国营林场对红脂大小蠹的防治实践,总结出对红脂大小蠹虫害的防治经验。     

网络监督开辟了权利“联合”权力监督的反腐新路径

监督分为基于权力的监督和基于权利的监督两种。随着网络的发展,网络舆论监督日益成为人民群众进行监督的手段之一。本文在对权力监督和网络舆论监督的分析之上,探讨把二者结合进行监督,开辟反腐新路径。     

基于组合预测方法的安徽经济发展预测

利用最优加权组合法,对时间序列模型、灰色预测模型和神经网络模型进行组合,通过计算确定其权重,得出未来五年安徽省的GDP,同时根据平均绝对百分误差、均方根误差以及泰尔系数,将组合预测模型与单一的预测模型进行比较,得出组合预测模型的精度比单一预测模型预测精度高,并根据组合预测结果可以看出在未来五年安徽省的经济会持续稳定的发展。     

运用统一强度理论分析预应力组合圆筒分层半径和过盈量

运用双剪统一强度理论,考虑拉、压异性和中间主应力的影响,对受工作内压作用时预应力组合模具的分层半径和过盈量进行了详细的分析,得到了计算组合圆筒分层半径和过盈量计算的表达式。分析结果表明:分层半径只跟组合圆筒内外径相关,与运用的强度理论和材料特性没有关系;过盈量不但与组合圆筒内外径相关,同时与运用的强度理论和材料特性也有关系。     

基于最小二乘支持向量机的交通流量预测模型

城市交通流具有复杂性、时变性和随机性,实时准确的交通流量预测是实现智能交通诱导及控制的前提.综合分析交通流量影响因素的基础上,进行多路段的交通流量预测研究,提出了基于最小二乘支持向量机的交通流量预测改进模型,并应用平安大街的流量数据进行实例验证.结果表明,该模型具有学习速度快、跟踪性能好及泛化能力强等优点,在交通流预测中更具有实用性和推广性.