Modeling Compositional Time Series with Vector Autoregressive Models

Multivariate time series describing relative contributions to a total (like proportional data) are called compositional time series. They need to be transformed first to the usual Euclidean geometry before a time series model is fitted. It is shown how an appropriate transformation can be chosen, resulting in coordinates with respect to the Aitchison geometry of compositional data. Using vector autoregressive models, the standard approach based on raw data is compared with the compositional approach based on transformed data. The results from the compositional approach are consistent with the relative nature of the observations, while the analysis of the raw data leads to several inconsistencies and artifacts. The compositional approach is extended to the case when also the total of the compositional parts is of interest. Moreover, a concise methodology for an interpretation of the coordinates in the transformed space together with the corresponding statistical inference (like hypotheses testing) is provided. Copyright © 2015 John Wiley & Sons, Ltd.     

Augmented Half‐Life Estimation Based on High‐Frequency Data

Half‐life estimation has been widely used to evaluate the speed of mean reversion for various economic and financial variables. However, half‐life estimation for the same variable are often different due to the length of the annual time series data used in alternative studies. To solve this issue, this paper extends the ARMA model and derives the half‐life estimation formula for high‐frequency monthly data. Our results indicate that half‐life estimation using short‐period monthly data is an effective approximation for that using long‐period annual data. Furthermore, by applying high‐frequency data, the required effective sample size can be reduced by at least 40% at the 95% confidence level. Copyright © 2015 John Wiley & Sons, Ltd.     

Time Series of Zero‐Inflated Counts and their Coherent Forecasting

Poisson integer‐valued auto‐regressive process of order 1 (PINAR(1)) due to Al‐Osh and Alzaid (Journal of Time Series Analysis 1987; 8 (3): 261–275) and McKenzie (Advances in Applied Probability 1988; 20 (4): 822–835) has received a significant attention in modelling low‐count time series during the last two decades because of its simplicity. But in many practical scenarios, the process appears to be inadequate, especially when data are overdispersed in nature. This overdispersion occurs mainly for three reasons: presence of some extreme values, large number of zeros, and presence of both extreme values with a large number of zeros. In this article, we develop a zero‐inflated Poisson INAR(1) process as an alternative to the PINAR(1) process when the number of zeros in the data is larger than the expected number of zeros by the Poisson process. We investigate some important properties such as stationarity, ergodicity, autocorrelation structure, and conditional distribution, with a detailed study on h‐step‐ahead coherent forecasting. A comparative study among different methods of parameter estimation is carried out using some simulated data. One real dataset is analysed for practical illustration. Copyright © 2015 John Wiley & Sons, Ltd.     

Predictable Return Distributions

Using quantile regression this paper explores the predictability of the stock and bond return distributions as a function of economic state variables. The use of quantile regression allows us to examine specific parts of the return distribution such as the tails and the center, and for a sufficiently fine grid of quantiles we can trace out the entire distribution. A univariate quantile regression model is used to examine the marginal stock and bond return distributions, while a multivariate model is used to capture their joint distribution. An empirical analysis on US data shows that economic state variables predict the stock and bond return distributions in quite different ways in terms of, for example, location shifts, volatility and skewness. Comparing the different economic state variables in terms of their out‐of‐sample forecasting performance, the empirical analysis also shows that the relative accuracy of the state variables varies across the return distribution. Density forecasts based on an assumed normal distribution with forecasted mean and variance is compared to forecasts based on quantile estimates and, in general, the latter yields the best performance. Copyright © 2015 John Wiley & Sons, Ltd.     

The Importance of Being Timely

Policymakers want to know about real‐time economy performance. However, closely watched macroeconomic time series produced by national statistics offices are published infrequently, with a time lag and subject to revision. Such issues create uncertainty in tracking economic developments, a by‐product of which is to raise the value of business and consumer surveys. Although providing less granularity than official data series, the surveys are released in a timelier manner and are subject to little revision. Using real‐time data sourced from the Deutsche Bundesbank, the OECD and the Office for National Statistics, an assessment of the role that the popular and widely used Purchasing Managers' Index (PMI) play in reducing forecasting errors in a simple ‘nowcasting’ framework is undertaken. The empirical exercise is conducted for five developed economies and also covers the period of the Great Recession. The conclusion is clear: timing matters. Copyright © 2015 John Wiley & Sons, Ltd.     

Improvement of the Liu‐type Shiller estimator for distributed lag models

The problem of multicollinearity produces undesirable effects on ordinary least squares (OLS), Almon and Shiller estimators for distributed lag models. Therefore, we introduce a Liu‐type Shiller estimator to deal with multicollinearity for distributed lag models. Moreover, we theoretically compare the predictive performance of the Liu‐type Shiller estimator with OLS and the Shiller estimators by the prediction mean square error criterion under the target function. Furthermore, an extensive Monte Carlo simulation study is carried out to evaluate the predictive performance of the Liu‐type Shiller estimator.     

Prediction of α‐stable GARCH and ARMA‐GARCH‐M models

The best prediction of generalized autoregressive conditional heteroskedasticity (GARCH) models with α‐stable innovations, α‐stable power‐GARCH models and autoregressive moving average (ARMA) models with GARCH in mean effects (ARMA‐GARCH‐M) are proposed. We present a sufficient condition for stationarity of α‐stable GARCH models. The prediction methods are easy to implement in practice. The proposed prediction methods are applied for predicting future values of the daily SP500 stock market and wind speed data.     

基于改进支持向量机的冷轧带钢表面缺陷分类识别

针对冷轧带钢表面缺陷图像模式识别中存在的问题,提出了基于改进支持向量机的冷轧带钢典型表面缺陷分类识别方法.根据带钢表面缺陷图像识别的特点,对渐进直推式支持向量机在其基本原理基础上加以改进,设计了一种冷轧带钢表面缺陷图像模式识别的分类器.通过实验确定了分类器的结构,给出了相关参数选择的方法.对几种生产现场出现频率较高的典型缺陷图像进行了计算机实验研究.研究结果显示,这种分类器很好地克服了传统支持向量机中存在的推广性能差以及当类别距离过近时准确率下降的问题,具有更好的适应性和准确性.     

供应商评价的支持向量机模型及应用研究

对供应商的评价是企业供应中的首要问题。本文在建立供应关系数据仓库的基础上,挖掘和优化供应商评价指标体系。应用“温度计,洋葱头”算法建立供应商评价的隶属函数,以定义供应商评价的目标变量——供应商评价指数,和建立挖掘供应商评价的支持向量机模型。最后介绍了一个实例。     

支持向量机的一个边界样本修剪方法

支持向量机仅仅由支持向量所决定,而支持向量来自于边界的样本,如果样本集中存在较多的噪音或孤立点,特别是两类样本过分交叉,都会降低支持向量机的推广能力。为了改善支持向量机的推广性能,文章提出一个支持向量机的边界样本修剪方法:首先对边界样本进行抽取,然后用RemoveOnly算法对边界样本进行修剪,修剪后的边界样本就是最终的支持向量机训练样本。实验结果表明,修剪方法可以让支持向量机的推广能力有不同程度的提高。