Forecasting economic time series that require a power transformation: Case of state tax receipts

In this study, time series analysis is applied to the problem of forecasting state income tax receipts. The data series is of special interest since it exhibits a strong trend with a high multiplicative seasonal component. An appropriate model is identified by simultaneous estimation of the parameters of the power transformation and the ARMA model using the Schwarz (1978) Bayesian information criterion. The forecasting performance of the time series model obtained from this procedure is compared with alternative time series and regression models. The study illustrates how an information criterion can be employed for identifying time series models that require a power transformation, as exemplified by state tax receipts. It also establishes time series analysis as a viable technique for forecasting state tax receipts.     

混凝土材料三维弹塑性本构模型

非线性统一强度准则将材料的强度特性分解为4个相互独立的因素,由4个材料参数分别描述,在主应力空间内的强度面连续光滑,存在连续的偏导数.本文将非线性统一强度准则作为屈服函数,以塑性剪应变的函数作为硬化/软化参数,硬化/软化函数参考单轴压缩条件下的应力应变关系给出,建立了混凝土材料的非线性统一弹塑性本构模型.通过混凝土材料单轴、双轴和三轴试验结果对本构模型的验证,以及偏心受压构件试验结果对数值模拟结果的验证表明,所建立的非线性统一弹塑性本构模型可较好地描述混凝土材料的三维变形与强度特性,并可反映应变软化特性,将模型用于数值计算时易于获得收敛解,且具有较高的精确度和计算效率.     

Modeling for fairness: A Rawlsian approach

In this paper we introduce the overlapping design consensus for the construction of models in design and the related value judgments. The overlapping design consensus is inspired by Rawls’ overlapping consensus. The overlapping design consensus is a well-informed, mutual agreement among all stakeholders based on fairness. Fairness is respected if all stakeholders’ interests are given due and equal attention. For reaching such fair agreement, we apply Rawls’ original position and reflective equilibrium to modeling. We argue that by striving for the original position, stakeholders expel invalid arguments, hierarchies, unwarranted beliefs, and bargaining effects from influencing the consensus. The reflective equilibrium requires that stakeholders’ beliefs cohere with the final agreement and its justification. Therefore, the overlapping design consensus is not only an agreement to decisions, as most other stakeholder approaches, it is also an agreement to their justification and that this justification is consistent with each stakeholders’ beliefs. For supporting fairness, we argue that fairness qualifies as a maxim in modeling. We furthermore distinguish values embedded in a model from values that are implied by its context of application. Finally, we conclude that for reaching an overlapping design consensus communication about properties of and values related to a model is required.     

混凝土坝裂缝转异诊断的顺序典型小概率法

裂缝是混凝土坝不可避免的病害,其稳定与否是关系到混凝土坝结构安全的关键因素.基于裂缝开度与裂缝尖端张开位移之间的函数关系,提出了混凝土坝裂缝转异诊断的临界裂缝开度准则,并探讨了该准则所需的裂缝尖端张开位移和裂缝亚临界扩展量的确定方法.借助裂缝开度监控模型将临界裂缝开度准则进行转化,并与大坝安全监控中裂缝的原位监测资料-裂缝开度联系起来,建立了混凝土坝裂缝转异诊断的顺序典型小概率法.实例分析表明,顺序典型小概率法实现了临界裂缝开度准则在大坝安全监控中的具体应用,是合理可行的.     

Forecasting the FOMC's interest rate setting behavior: a further analysis

We develop a model to forecast the Federal Open Market Committee's (FOMC's) interest rate setting behavior in a nonstationary discrete choice model framework by Hu and Phillips (2004). We find that if the model selection criterion is strictly empirical, correcting for nonstationarity is extremely important, whereas it may not be an issue if one has an a priori model. Evaluating an array of models in terms of their out‐of‐sample forecasting ability, we find that those favored by the in‐sample criteria perform worst, while theory‐based models perform best. We find the best model for forecasting the FOMC's behavior is a forward‐looking Taylor rule model. Copyright © 2008 John Wiley & Sons, Ltd.     

Scepticism,relativism and the argument from the criterion

This article explores the relationship between epistemic relativism and Pyrrhonian scepticism. It is argued that a fundamental argument for contemporary epistemic relativism derives from the Pyrrhonian problem of the criterion. Pyrrhonian scepticism is compared and contrasted with Cartesian scepticism about the external world and Humean scepticism about induction. Epistemic relativism is characterized as relativism due to the variation of epistemic norms, and is contrasted with other forms of cognitive relativism, such as truth relativism, conceptual relativism and ontological relativism. An argument from the Pyrrhonian problem of the criterion to epistemic relativism is presented, and is contrasted with three other arguments for epistemic relativism. It is argued that the argument from the criterion is the most fundamental argument for epistemic relativism. Finally, it is noted how the argument of the present paper fits with the author’s previous suggestion that a particularist response to the Pyrrhonian sceptic may be combined with a naturalistic view of epistemic warrant to meet the challenge of epistemic relativism.     

Detection of regime switches between stationary and nonstationary processes and economic forecasting

It often occurs that no model may be exactly right, and that different portions of the data may favour different models. The purpose of this paper is to propose a new procedure for the detection of regime switches between stationary and nonstationary processes in economic time series and to show its usefulness in economic forecasting. In the proposed procedure, time series observations are divided into several segments, and a stationary or nonstationary autoregressive model is fitted to each segment. The goodness of fit of the global model composed of these local models is evaluated using the corresponding information criterion, and the division which minimizes the information criterion defines the best model. Simulation and forecasting results show the efficacy and limitations of the proposed procedure. Copyright © 2005 John Wiley & Sons, Ltd.     

An argument for ψ-ontology in terms of protective measurements

The ontological model framework provides a rigorous approach to address the question of whether the quantum state is ontic or epistemic. When considering only conventional projective measurements, auxiliary assumptions are always needed to prove the reality of the quantum state in the framework. For example, the Pusey–Barrett–Rudolph theorem is based on an additional preparation independence assumption. In this paper, we give a new proof of ψ-ontology in terms of protective measurements in the ontological model framework. The proof does not rely on auxiliary assumptions, and it also applies to deterministic theories such as the de Broglie–Bohm theory. In addition, we give a simpler argument for ψ-ontology beyond the framework, which is based on protective measurements and a weaker criterion of reality. The argument may be also appealing for those people who favor an anti-realist view of quantum mechanics.     

Holism, physical theories and quantum mechanics

Motivated by the question what it is that makes quantum mechanics a holistic theory (if so), I try to define for general physical theories what we mean by `holism'. For this purpose I propose an epistemological criterion to decide whether or not a physical theory is holistic, namely: a physical theory is holistic if and only if it is impossible in principle to infer the global properties, as assigned in the theory, by local resources available to an agent. I propose that these resources include at least all local operations and classical communication. This approach is contrasted with the well-known approaches to holism in terms of supervenience. The criterion for holism proposed here involves a shift in emphasis from ontology to epistemology. I apply this epistemological criterion to classical physics and Bohmian mechanics as represented on a phase and configuration space respectively, and for quantum mechanics (in the orthodox interpretation) using the formalism of general quantum operations as completely positive trace non-increasing maps. Furthermore, I provide an interesting example from which one can conclude that quantum mechanics is holistic in the above mentioned sense, although, perhaps surprisingly, no entanglement is needed.     

Model averaging estimation for conditional volatility models with an application to stock market volatility forecast

This paper is concerned with model averaging estimation for conditional volatility models. Given a set of candidate models with different functional forms, we propose a model averaging estimator and forecast for conditional volatility, and construct the corresponding weight-choosing criterion. Under some regulatory conditions, we show that the weight selected by the criterion asymptotically minimizes the true Kullback–Leibler divergence, which is the distributional approximation error, as well as the Itakura–Saito distance, which is the distance between the true and estimated or forecast conditional volatility. Monte Carlo experiments support our newly proposed method. As for the empirical applications of our method, we investigate a total of nine major stock market indices and make a 1-day-ahead volatility forecast for each data set. Empirical results show that the model averaging forecast achieves the highest accuracy in terms of all types of loss functions in most cases, which captures the movement of the unknown true conditional volatility.     

Ultraweak photon emission and anther meiotic cycle inLarix europaea (experimental investigation of Nagl and Popp's electromagnetic model of differentiation)

Summary Synchronized microsporocytes and microspores of larch have been introduced as an excellent model system for the examination of the cell cycle dependence of biophoton emission (PE) and delayed luminescence (IPE). In agreement with the predictions of the model of Nagl and Popp for differentiation it could be experimentally confirmed that there exist: 1) sensitive dependence of PE and IPE on the cell cycle, 2) correlations to conformational states of DNA which are linked to DNase activity and 3) a hyperbolic decay of IPE.The electromagnetic model of differentiation predicts oscillations of IPE that should depend on the wavelength of the exciting light and the cell cycle phase. In the established larch model system evidence was obtained for the first time of these oscillations which showed a dependence on both wavelength of the inducing light and the stage of the cell cycle.     

Ultraweak photon emission and anther meiotic cycle in Larix europaea (experimental investigation of Nagl and Popp's electromagnetic model of differentiation)

Synchronized microsporocytes and microspores of larch have been introduced as an excellent model system for the examination of the cell cycle dependence of biophoton emission (PE) and delayed luminescence (IPE). In agreement with the predictions of the model of Nagl and Popp for differentiation it could be experimentally confirmed that there exist: 1) sensitive dependence of PE and IPE on the cell cycle, 2) correlations to conformational states of DNA which are linked to DNase activity and 3) a hyperbolic decay of IPE. The electromagnetic model of differentiation predicts oscillations of IPE that should depend on the wavelength of the exciting light and the cell cycle phase. In the established larch model system evidence was obtained for the first time of these oscillations which showed a dependence on both wavelength of the inducing light and the stage of the cell cycle.     

When are Direct Multi‐step and Iterative Forecasts Identical?

Although both direct multi‐step‐ahead forecasting and iterated one‐step‐ahead forecasting are two popular methods for predicting future values of a time series, it is not clear that the direct method is superior in practice, even though from a theoretical perspective it has lower mean squared error (MSE). A given model can be fitted according to either a multi‐step or a one‐step forecast error criterion, and we show here that discrepancies in performance between direct and iterative forecasting arise chiefly from the method of fitting, and is dictated by the nuances of the model's misspecification. We derive new formulas for quantifying iterative forecast MSE, and present a new approach for assessing asymptotic forecast MSE. Finally, the direct and iterative methods are compared on a retail series, which illustrates the strengths and weaknesses of each approach. Copyright © 2015 John Wiley & Sons, Ltd.     

Cointegration rank switching model: an application to forecasting interest rates

This paper proposes a new forecasting method in which the cointegration rank switches at unknown times. In this method, time series observations are divided into several segments, and a cointegrated vector autoregressive model is fitted to each segment. The goodness of fit of the global model, consisting of local models with different cointegration ranks, is evaluated using the information criterion (IC). The division that minimizes the IC defines the best model. The results of an empirical application to the US term structure of interest rates and a Monte Carlo simulation suggest the efficacy as well as the limitations of the proposed method. Copyright © 2010 John Wiley & Sons, Ltd.     

多孔硅发光中的极化子效应

多孔硅体现了许多新光学性质，本文通过温度依赖的发光，傅立叶红外谱，时间分辨红外谱的观察。发现了些有规律的信息。众所周知，多孔硅在空气中陈化氧化，导致内部纳米尺寸减小。界面层由氢变为氧，我们发现同时伴随着电子态从本征态向极化子态的变化，前者随尺寸减小能量升高，表现为正常的量子限域效应。而后者却随尺寸减小能量降低。表现为量子限域极化子效应。温度依赖的发光谱型和强度变化也清楚地反映了尺寸依赖的极化子行为。因此，我们提出了个基本的物理模型来描述多孔硅中增强的极化子尺寸效应及其光学行为。     

Dissecting weak discernibility of quanta

In this paper I critically examine latest attempts to formalize quantum-mechanical relations that are supposed to weakly discern elementary particles. I argue that all of them make illegitimate and unavoidable reference to numerical identity, and therefore cannot be used as a means to ground (or derive) quantitative facts of identity/distinctness in the qualitative characteristics of quantum systems. I compare my criticism of weak discernibility with the general circularity objection known from the literature, and I show that my argument is more specific, as it is based on a particular criterion which differentiates between legitimate and illegitimate uses of identity. In the end I suggest that we should reevaluate the role of permutation invariance in expressing the facts of qualitative differences between particles. Taking into account the inevitable symmetrization requirement applied to operators in tensor product spaces, it may be claimed that particles of the same type can be absolutely discerned in some accessible states.     

自励异步发电机带载稳态的解析计算

从自励异步发电机的暂态等效电路出发,基于其在两相静止坐标系上的状态空间数学模型,对其带载建压暂稳态过程提出了应用Lyapunov稳定性理论的整体性分析方法.依据理论分析方法分析得到了带载自励建压达到稳态的过程之应用暂态数学模型表示的稳态条件.解极限环条件得出了定子频率和转子转速的解析计算式,以及确保自励建压的负载取值范围和电机磁路过度饱和稳态励磁电感的解析关系式;为求解稳态运行点条件,提出了一种基于物理背景的等价转化解析计算方法,解得了稳态运行点的解析计算式.算例分析检验了稳态条件的唯一组解析解.实测值与计算结果相互吻合,验证了稳态条件解析计算式的正确性、科学性和有效性,表明了通用性和工程参考价值,解决了长期以来对异步发电机暂稳态运行性能无法解析计算的难题.理论分析方法适用于具有动力学特性的其他类型电力系统运行分析.     

一种基于同步动力学模型的层次聚类方法

本文基于建模同步动力学行为的Kuramoto模型提出了一种新的有效层次聚类方法.本文提出的方法基于局部邻域的概念,能够实现稳定的局部同步聚类.通过不断扩大对象同步的邻域半径,所提出的方法能够实现层次化的同步聚类.此外,提出对象邻域闭包的概念,在对象间到达完全同步之前就能预测出聚类的形成,从而减少对象动态交互的时间.本文的方法不依赖于任何数据分布假设,无需任何手工参数设置,可以检测出任意数量、形状和大小的聚类.由于同步过程能够有效地规避离群点,该方法有较强的噪声数据抑制能力.在大量真实数据集和人工合成数据集上的实验结果表明本文的方法聚类准确率高,且运行时间较同类基准算法显著缩短.     

David Hume's no-miracles argument begets a valid No-Miracles Argument

Hume's essay ‘Of Miracles’ has been a focus of controversy ever since its publication. The challenge to Christian orthodoxy was only too evident, but the balance-of-probabilities criterion advanced by Hume for determining when testimony justifies belief in miracles has also been a subject of contention among philosophers. The temptation for those familiar with Bayesian methodology to show that Hume's criterion determines a corresponding balance-of-posterior probabilities in favour of miracles is understandable, but I will argue that their attempts fail. However, I show that his criterion generates a valid form of the so-called No-Miracles Argument appealed to by modern realist philosophers, whose own presentation of it, despite their possession of the probabilistic machinery Hume himself lacked, is invalid.     

Constructive empiricism, observability and three kinds of ontological commitment

In this paper, I argue that, contrary to the constructive empiricist’s position, observability is not an adequate criterion as a guide to ontological commitment in science. My argument has two parts. First, I argue that the constructive empiricist’s choice of observability as a criterion for ontological commitment is based on the assumption that belief in the existence of unobservable entities is unreasonable because belief in the existence of an entity can only be vindicated by its observation. Second, I argue that the kind of ontological commitment that is under consideration when accepting a scientific theory is commitment to what I call theoretical kinds and that observation can vindicate commitment to kinds only in exceptional cases.