The effect of target function on the predictive performance of the two‐stage ridge estimator

The main thrust of this study is to consider the problem of simultaneous prediction of actual and average values of the simultaneous equations model through the target function of Shalabh (Bulletin of International Statistical Institute, 1995, 56, 1375–1390). We focus on the predictive performance of the two‐stage ridge estimator with the motivation for eliminating the disorder arising from multicollinearity. An optimal biasing parameter of the two‐stage ridge estimator is derived by a minimization process of prediction mean square error. In addition, an optimal estimator for the weight of observed value in target function is attained theoretically. The results inferred from a numerical example and a Monte Carlo experiment provide a dramatic improvement in the predictive ability of the two‐stage ridge estimator.     

中国和美国信贷冲击跨境溢出效应的比较研究

本文构建了基于符号约束识别的GVAR模型,并用以考察中国和美国的信贷市场冲击对全球41个国家的不同溢出效应.研究结果表明,中国紧缩性信贷市场冲击对本国实体经济有显著的负效应,但仅限于短中期;而美国信贷冲击对本国乃至全球经济都具有相当大且持久的负影响.中国信贷冲击的跨国效应较小,且主要通过贸易渠道.中国信贷市场的本国冲击能解释中国产出近10%的波动,但无论是本国效应还是跨境传导,总需求冲击仍是驱动中国经济周期波动的最主要力量.     

基于企业规模门槛效应的外部融资对绿色创新影响研究

外部融资是平滑企业绿色技术创新的重要因素.本文基于参照点理论,利用固定效应门槛模型,分析并检验了企业规模在外部融资与绿色技术创新之间的门槛效应.研究发现:高新技术制造业企业中,企业规模在股权融资、债权融资和政府补贴与绿色技术创新的关系中均具有显著门槛效应.当规模低于门槛阈值时,外部融资与绿色技术创新的关系不显著;当企业规模突破门槛阈值后,外部融资能够显著促进绿色技术创新.相较于民营企业,国有企业的门槛阈值更高,且突破门槛阈值后,外部融资对绿色技术创新的促进效应更强.本文能够丰富科技金融领域相关研究,并为制造业企业创新融资和绿色发展提供实践依据.     

Short‐term salmon price forecasting

This study establishes a benchmark for short‐term salmon price forecasting. The weekly spot price of Norwegian farmed Atlantic salmon is predicted 1–5 weeks ahead using data from 2007 to 2014. Sixteen alternative forecasting methods are considered, ranging from classical time series models to customized machine learning techniques to salmon futures prices. The best predictions are delivered by k‐nearest neighbors method for 1 week ahead; vector error correction model estimated using elastic net regularization for 2 and 3 weeks ahead; and futures prices for 4 and 5 weeks ahead. While the nominal gains in forecast accuracy over a naïve benchmark are small, the economic value of the forecasts is considerable. Using a simple trading strategy for timing the sales based on price forecasts could increase the net profit of a salmon farmer by around 7%.     

基于双因子Lee-Carter模型的死亡率预测及年金产品风险评估

本文针对传统单因子Lee-Carter模型中死亡率的改善呈常数速率的明显弊端,利用贝叶斯MCMC方法和中国实际人口死亡率数据,考察对比了双因子Lee-Carter模型的预测效果.检验结果表明双因子模型的拟合优度和离差信息准则DIC明显优于单因子模型,较好地抓住了死亡率随时间演进的波动性.文章还进一步比较了基于两种模型预测结果的年金的定价、统计特征、风险度量和资本要求.结果表明双因子模型下,年金价格核密度图的尖峰厚尾现象较为突出,宜考虑TVaR风险度量来弥补SolvencyⅡ中基于VaR的资本额度计算方法的不足,以因应年金产品中死亡率超预期改善的长寿风险.     

一种改进的基于人体静电冲击模型应力的瞬态功率模型

提出一种改进的基于人体静电冲击模型(Human Body Model, HBM)应力的瞬态功率模型。利用HSPICE仿真软件, 模拟MOS管遭受的HBM应力, 得到对应的等效直流电压。HBM电路的预充电电压与MOS管对应的等效直流电压值的散点图表明, 两者保持线性关系, 并通过拉普拉斯变化得到证明。与现有的瞬态功率模型相比, 改进后的模型降低了在HBM应力作用下的计算复杂度, 可以更加简便地从统计学上预测MOS管栅氧击穿的发生, 给HBM冲击作用下MOS管栅氧化层可靠性的评估提供参考。     

Modeling eBay price using stochastic differential equations

Online auctions have become increasingly popular in recent years. There is a growing body of research on this topic, whereas modeling online auction price curves constitutes one of the most interesting problems. Most research treats price curves as deterministic functions, which ignores the random effects of external and internal factors. To account for the randomness, a more realistic model using stochastic differential equations is proposed in this paper. The online auction price is modeled by a stochastic differential equation in which the deterministic part is equivalent to the second‐order differential equation model proposed in Wang et al. (Journal of the American Statistical Association, 2008, 103, 1100–1118). The model also includes a component representing the measurement errors. Explicit expressions for the likelihood function are also obtained, from which statistical inference can be conducted. Forecast accuracy of the proposed model is compared with the ODE (ordinary differential equation) approach. Simulation results show that the proposed model performs better.     

无人侦察机系统研发阶段的效能评估PBS-ADC模型

为克服研发阶段无人侦察机系统的效能评估缺少装备整体试验和运行数据带来的构造ADC模型指标可用度、可信度困难问题,以经典ADC模型为基础,结合产品分解结构(product breakdown structure, PBS),提出PBS-ADC模型。既适用于装备使用期间,也适用于装备研发期间的效能评估。将无人侦察机系统分解到子系统层级,利用Q-过程理论计算出ADC模型中的指标可用度A、可信度D,同时应用搜索理论和全概率公式计算出系统能力C,结合A、D、C变量算法给出了无人侦察机系统效能动态关系式,实现了无人侦察机系统研发阶段效能评估,为无人侦察机系统的参数设计等问题提供了依据。     

Microbes,mathematics, and models

Microbial model systems have a long history of fruitful use in fields that include evolution and ecology. In order to develop further insight into modelling practice, we examine how the competitive exclusion and coexistence of competing species have been modelled mathematically and materially over the course of a long research history. In particular, we investigate how microbial models of these dynamics interact with mathematical or computational models of the same phenomena. Our cases illuminate the ways in which microbial systems and equations work as models, and what happens when they generate inconsistent findings about shared targets. We reveal an iterative strategy of comparative modelling in different media, and suggest reasons why microbial models have a special degree of epistemic tractability in multimodel inquiry.     

一维水平自发渗吸无因次模型及其数值解

对影响渗吸特征的油藏参数进行归整, 导出考虑毛细管回压的一维自发渗吸问题无因次模型。该模型选取水相归一化饱和度和无量纲压力作为主未知变量, 毛管压力函数只在模型的一个偏微分方程中出现, 便于数值求解。在求解该模型的全隐式守恒型差分格式中, 对两邻点间饱和度函数取平均饱和度下的值, 就可以得到该问题的数值解。通过对幂律型相对渗透率和毛管压力曲线情形下此模型数值解的讨论, 指出前人关于一维不可压自发渗吸问题解析解所用的假设条件只对纯逆向渗吸有一定的适用性。通过多个同逆并发渗吸算例, 得到油藏参数变化对渗吸动态特征影响的初步认识。