实时应用的可预测性研究和分析

阐述了实时应用的可预测性概念,以及实时应用的静态特性和动态特性,并从静态可预测性和动态可预测性两个方面分析支持可预测性的主要策略．     

Geopolitical risk and global financial cycle: Some forecasting experiments

In this study, we investigate the connection between geopolitical risk (GPR) and global financial cycle (GFCy) as well as whether the former has predictive value for the out-of-sample predictability of the latter. We utilize both the historical and recent GPR data and their variants, namely, GPR act covering all “acts” that constitute GPR such as war, nuclear invasion and terrorism, and GPR threat, which represents threats of these acts. We construct a predictive model that accommodates the salient features of the predicted and predictor series while the forecast evaluation is conducted for both in-sample and out-of-sample periods. Our findings reveal that a rise in GPR discourages investments in risky assets and by implication worsens GFCy. The impact is more severe after the global financial crisis (gfc), and the GPR threat exerts more adverse effect on GFCy compared with GPR act regardless of whether historical GPR or recent GPR is used. Meanwhile, the predictive model of GFCy that accommodates the GPR data outperforms the benchmark model that ignores it both in the in-sample and out-of-sample estimates albeit with improved forecast performance during the post-gfc period and at a longer forecast horizon. However, the recent GPR data, which are broader in scope, offer better forecast accuracy than the historical GPR data. Additional analyses involving the vulnerability of global economic conditions reveal similar outcomes as GFCy.     

Alternative regime switching models for forecasting inflation

US inflation appears to undergo shifts in its mean level and variability. We evaluate the performance of three useful models for capturing such shifts. The models studied are the Markov switching models, state space models with heavy‐tailed errors, and state space models with compound error distributions. Our study shows that all three models have very similar performance when evaluated in terms of the mean squared or mean absolute forecast errors. However, the latter two models are considerably more parsimonious, and easily beat the more profligately parameterized Markov switching models in terms of model selection criteria, such as the AIC or the SBC. Thus, these may serve as useful continuous alternatives to the popular discrete Markov switching models for capturing shifts in time series. Copyright © 2001 John Wiley & Sons, Ltd.     

Economic and statistical measures of forecast accuracy

This paper argues in favour of a closer link between the decision and the forecast evaluation problems. Although the idea of using decision theory for forecast evaluation appears early in the dynamic stochastic programming literature, and has continued to be used with meteorological forecasts, it is hardly mentioned in standard academic texts on economic forecasting. Some of the main issues involved are illustrated in the context of a two‐state, two‐action decision problem as well as in a more general setting. Relationships between statistical and economic methods of forecast evaluation are discussed and links between the Kuipers score used as a measure of forecast accuracy in the meteorology literature and the market timing tests used in finance are established. An empirical application to the problem of stock market predictability is also provided, and the conditions under which such predictability could be explained in the presence of transaction costs are discussed. Copyright © 2000 John Wiley & Sons, Ltd.     

基于潜在类别条件Logit模型的机舱座位选择行为

为向旅客推送精细化座位推荐服务,通过潜在类别条件logit模型探究了旅客座位偏好及座位效用差异。首先运用解释结构模型筛选出影响旅客选座的关键因素;其次对旅客及其选择偏好进行RP-SP调查,运用潜在类别条件Logit模型划分旅客类别,进一步探究不同因素对旅客类别的影响程度;最后构建不同类别旅客机舱座位效用函数,根据效用最大化原则判断旅客选择行为。结果表明,旅客在机舱座位选择行为上存在异质性,旅客被划分为三个类别：class1占比38.8%,倾向于选择第一排或紧急通道排的过道位置;class2占比39.8%,倾向于选择靠窗座位;class3占比21.4%,倾向于过道位置。研究将为航空公司进行座位管理及制定座位附加服务费提供理论及决策支持。     

条件g-期望的重要性质

讨论了一类非线性条件数学期望(条件g-期望)的Levi引理、Fetoux引理、Lebesgue控制收敛定理和Jensen不等式,所得结果是条件数学期望相应理论的推广。     

基于DVB-C的数字电视条件接收系统的设计与实现

针对我国数字电视广播的机卡分离产业政策,提出了一种基于智能卡条件接收接口（SCAI）的数字电视接收机（包括机顶盒和一体机）机卡分离技术。该技术不需要改变现有数字电视接收机的硬件配置,只需要在接收机中嵌入一个符合SCAI规范的条件接收软件插件就可以配合相应的条件接收智能卡实现条件接收功能,从而使得接收机成为与发射端特定条件接收系统无关的通用接收平台。该技术与国内外提出的基于PCMCIA卡或USB2．0卡的机卡分离方案相比,成本更低,实现更简洁。该技术方案也是我国数字电视广播的候选行业标准之一。     

关于最佳条件信任算子的存在性问题

讨论了理想化的条件信任算子应满足的7个条件,同时对目前人们已经提出的几种条件信任算子的优缺点进行了分析。依据所建立的理想化条件信任算子准则,证明了在一定条件下,理想化条件信任算子应该满足的7个准则存在着某种必然的内在矛盾,在一定意义下,试图寻找的理想化条件信任算子是不存在的。     

Time series multistep‐ahead predictability estimation and ranking

A predictability index was defined as the ratio of the variance of the optimal prediction to the variance of the original time series by Granger and Anderson (1976) and Bhansali (1989). A new simplified algorithm for estimating the predictability index is introduced and the new estimator is shown to be a simple and effective tool in applications of predictability ranking and as an aid in the preliminary analysis of time series. The relationship between the predictability index and the position of the poles and lag p of a time series which can be modelled as an AR(p) model are also investigated. The effectiveness of the algorithm is demonstrated using numerical examples including an application to stock prices. Copyright © 1999 John Wiley & Sons, Ltd.     

利用条件稳定常数推导酸碱滴定的林邦终点误差公式

用林邦的副反应思想推导了不同类型的酸碱滴定的条件稳定常数,并用条件稳定常数推导了不同类型的酸碱滴定的林邦终点误差公式的近似式和最简式.