Forecasting from non-linear models in practice

If a simple non-linear autoregressive time-series model is suggested for a series, it is not straightforward to produce multi-step forecasts from it. Several alternative theoretical approaches are discussed and then compared with a simulation study only for the two-step case. It is suggested that fitting a new model for each forecast horizon may be a satisfactory strategy.     

Some comparisons of the relative power of simple tests for structural change in regression models

The power of Chow, linear, predictive failure and cusum of squares tests to detect structural change is compared in a two-variable random walk model and a once-for-all parameter shift model. In each case the linear test has greatest power, followed by the Chow test. It is suggested that the linear test be used as the basic general test for structural change in time series data, and tests of forecasting performance be confined to the last few observations. Analysis of recursive residuals and recursive parameter estimates should be regarded as forms of exploratory data analysis and tools for understanding discrepancies with previous results rather than a basis for formal tests of structural change.     

Prerequisites for a Consistent Framework of Quantum Gravity

An ontological approach to the analysis of conceptual frameworks of physical theories is introduced and then applied to the case of quantum gravity. The tension between the theoretical constraints posed, respectively, by general relativity and quantum field theory, is analysed. A possible solution to the difficulties created by the tension, based on the notion of ontological synthesis, is suggested.     

The geometric combination of Bayesian forecasting models

A nonlinear geometric combination of statistical models is proposed as an alternative approach to the usual linear combination or mixture. Contrary to the linear, the geometric model is closed under the regular exponential family of distributions, as we show. As a consequence, the distribution which results from the combination is unimodal and a single location parameter can be chosen for decision making. In the case of Student t‐distributions (of particular interest in forecasting) the geometric combination can be unimodal under a sufficient condition we have established. A comparative analysis between the geometric and linear combinations of predictive distributions from three Bayesian regression dynamic linear models, in a case of beer sales forecasting in Zimbabwe, shows the geometric model to consistently outperform its linear counterpart as well as its component models. Copyright © 2008 John Wiley & Sons, Ltd.     

水利水电类公司融资结构与公司绩效研究——基于2007~2013年面板数据的实证分析

针对我国水利水电类上市公司2007~201 3年的财务数据构建了面板数据模型,分析其融资结构与公司绩效之间的关系。研究发现,水利水电类公司的资产负债率与公司绩效存在显著的倒U型关系,债务融资的公司治理效应仅在较低的债务水平才明显;与通常理论相反,在水利水电行业与国家投资行为关系密切的现状下,水利水电类公司的国有股比例与公司绩效正相关;第一大股东持股比例和短期债务比例与公司绩效的关系不显著。     

Forecasting vehicle holdings and usage with a disaggregate choice model

A case study in which a three-stage choice model of Canadian household vehicle holdings and usage is used to generate short-run forecasts of changes in household vehicle usage and gasoline consumption in response to a range of energy-related policies. The objectives of this case study are to (1) demonstrate the application of disaggregate choice modelling methods to the generation of policy-relevant forecasts of travel behaviour; (2) draw implications from this forecasting exercise concerning the likely impacts of various energy-related policies; and (3) assess some of the strengths and weaknesses of the current state-of-the-art of forecasting with disaggregate choice models, using the presented study as a case in point.     

To combine or not to combine? issues of combining forecasts

This paper addresses issues such as: Does it always pay to combine individual forecasts of a variable? Should one combine an unbiased forecast with one that is heavily biased? Should one use optimal weights as suggested by Bates and Granger over twenty years ago? A simple model which accounts for the main features of individual forecasts is put forward. Bayesian analysis of the model using noninformative and informative prior probability densities is provided which extends and generalizes results obtained by Winkler (1981) and compared with non-Bayesian methods of combining forecasts relying explicitly on a statistical model for the individual forecasts. It is shown that in some instances it is sensible to use a simple average of individual forecasts instead of using Bates and Granger type weights. Finally, model uncertainty is considered and the issue of combining different models for individual forecasts is addressed.     

Forecasting with preliminary data

This paper examines several methods to forecast revised US trade balance figures by incorporating preliminary data. Two benchmark forecasts are considered: one ignoring the preliminary data and the other applying a combination approach; with the second outperforming the first. Competing models include a bivariate AR error-correction model and a bivariate AR error-correction model with GARCH effects. The forecasts from the latter model outperforms the combination benchmark for the one-step forecast case only. A restricted AR error-correction model with GARCH effects is discovered to provide the best forecasts. © 1997 John Wiley & Sons, Ltd.     

Forecasting relative quality

This paper develops a model to forecast the likely quality rating of new automobiles. A scheme is devised and implemented for 1982 whereby the probability that a specific model will have one of five quality ratings is computed. The quality ratings are based on the trouble index computed by Consumer Reports based on a survey of its subscribers. A multinomial logit specification is used whereby the relative probability that a given level of quality is realized is a function of previous quality ratings, the location of the manufacturer of the automobile, the size of the automobile and the list price (or port-of-entry prices, in the case of imports). The forecast results when compared in a qualitative way to actual 1982 quality ratings prove to be acceptable.     

La pression intrarénale chez l'homme

Summary The intrarenal pressure has been determined in man using a needle of the lumbal puncture type connected with a mercury manometer. Preliminary results in 8 patients with various renal diseases indicate no significant difference between cases of glomerulonephritis, acute anuria, chronic pyelonephritis and normal or almost normal kidneys. Our values are comprised between 23.5 and 41.5 mm of mercury, with an average of 34 mm. A possible correlation with the mean blood pressure is suggested by our data: intrarenal pressure =0.19 mean blood pressure +9.0. In one case, renal decapsulation had no influence on the intrarenal pressure.     

分布式企业协同分销子公司影响因素模糊聚类分析

针对分布式企业协同分销子公司管理效率低,系统决策效率提升困难等问题,搭建了立体协同分销网模型.在深入分析了其特征的基础上,将其影响因素归纳为了市场营销、人力资源等5个一级指标,并分解为市场开拓、财务管理等30个二级指标.构建了协同分销子公司影响因素的模糊聚类分析(FCA)模型,并提出了检验该模型有效性的方法,从而大大提高了协同分销系统的管理和决策效率.最后,通过实际工程案例,验证了该模型和算法的有效性.     

Finite sample prediction and interpolation for ARIMA models with missing data

A transformation which allows Cholesky decomposition to be used to evaluate the exact likelihood function of an ARIMA model with missing data has recently been suggested. This method is extended to allow calculation of finite sample predictions of future observations. The output from the exact likelihood evaluation may also be used to estimate missing series values. Copyright © 1999 John Wiley & Sons, Ltd.     

基于可拓学的零件工艺实例描述与修改方法研究

通过对零件工艺实例信息的分析,构建了用于描述实例的基元模型;对实例模型的修改操作进行了分类,提出了修改的流程;并运用可拓分析与变换原理,提出了各项修改操作的方法,从而解决了基于实例推理技术的工艺设计过程中的零件实例描述与修改问题。最后,通过例子验证了以上方法的可行性。     

Model uncertainty and policy choice: A plea for integrated subjectivism

A question at the intersection of scientific modeling and public choice is how to deal with uncertainty about model predictions. This “high-level” uncertainty is necessarily value-laden, and thus must be treated as irreducibly subjective. Nevertheless, formal methods of uncertainty analysis should still be employed for the purpose of clarifying policy debates. I argue that such debates are best informed by models which integrate objective features (which model the world) with subjective ones (modeling the policy-maker). This integrated subjectivism is illustrated with a case study from the literature on monetary policy. The paper concludes with some morals for the use of models in determining climate policy.     

The evolution of a trading zone: a case study of the turtle excluder device

This paper explores the evolution of a trading zone by organizing the case study of turtle excluder devices within the model proposed by Collins et al. (2007). The case study offers evidence that trading zones do evolve and that the concepts of enforced and fractionated trading zones hold practical utility for describing and defining the complexities of actual exchanges. In this case a trading zone evolved from enforced to fractionated and ultimately diverged into two trading zones. For each step of the evolution I describe the forces that drove these transitions. Finally, I present an adapted trading zone model that is conceptually a better fit for the turtle excluder device case study.     

Optimal forecast intervals under asymmetric loss

An optimality criterion for forecast intervals under asymmetric loss functions is proposed. A loss optimal forecast interval is obtained by requiring that the expected loss, conditional on a future realization within the desired interval, be minimal. The main difficulty in the context of forecasting under asymmetric loss emerges when there is no knowledge about the distribution of the innovations. For solving this problem, an extension of estimation under the relevant loss function is suggested. In many cases, one also needs to account for the additional variability due to estimation of model parameters. Another solution, based on the bootstrap, works for both problems. Copyright © 2007 John Wiley & Sons, Ltd.     

The pineal and melatonin: regulators of circadian function in lower vertebrates

The pineal has been identified as a major circadian pacemaker within the circadian system of a number of lower vertebrates although other pacemaking sites have been implicated as well. The rhythmic synthesis and secretion of the pineal hormone, melatonin, is suggested as the mechanism by which the pineal controls circadian oscillators located elsewhere. Both light and temperature cycles can entrain the pineal melatonin rhythm. The pineal, therefore, acts as a photo and thermoendocrine transducer which functions to synchronize internal cycle with cycles in the environment. A model is presented which portrays the pineal as a major component of a 'multioscillator' circadian system and which suggests how these multiple circadian clocks are coupled to each other and to cycles of light and temperature in the external world.     

复杂能源系统结构演化和评价的新模型

能源系统作为开放的有机整体,是一个无确定边界的、与环境耦合的实体。定义了描述该实体的新物理量,由此建立了能源系统演化和评价的新模型,对“参考情景”、“可选择情景”以及“高经济增长情景”三种模式下的中国能源系统结构演化进行了案例分析,得到了合理的结果。该模型也为一般的社会经济系统发展提供了比笛卡尔一牛顿式的机械模型和熵增的热寂模型更合理的图景。     

基于角色-任务-产品的企业知识访问控制模型

传统的计算机访问控制模型很难适应动态、异构的网络环境下企业知识访问控制。根据企业知识特征,提出一种基于角色-任务-产品的企业知识访问控制模型,并构建角色、任务和产品的本体作为模型逻辑推理基础,然后以汽车虚拟企业为例演示该模型的工作机制和过程,显示该模型能有效适应动态、异构的网络环境。