Forecast Combination and Bayesian Model Averaging: A Prior Sensitivity Analysis

In this study we evaluate the forecast performance of model‐averaged forecasts based on the predictive likelihood carrying out a prior sensitivity analysis regarding Zellner's g prior. The main results are fourfold. First, the predictive likelihood does always better than the traditionally employed ‘marginal’ likelihood in settings where the true model is not part of the model space. Secondly, forecast accuracy as measured by the root mean square error (RMSE) is maximized for the median probability model. On the other hand, model averaging excels in predicting direction of changes. Lastly, g should be set according to Laud and Ibrahim (1995: Predictive model selection. Journal of the Royal Statistical Society B 57 : 247–262) with a hold‐out sample size of 25% to minimize the RMSE (median model) and 75% to optimize direction of change forecasts (model averaging). We finally apply the aforementioned recommendations to forecast the monthly industrial production output of six countries, beating for almost all countries the AR(1) benchmark model. Copyright © 2011 John Wiley & Sons, Ltd.     

Forecasting regional house price inflation: a comparison between dynamic factor models and vector autoregressive models

This paper uses the dynamic factor model framework, which accommodates a large cross‐section of macroeconomic time series, for forecasting regional house price inflation. In this study, we forecast house price inflation for five metropolitan areas of South Africa using principal components obtained from 282 quarterly macroeconomic time series in the period 1980:1 to 2006:4. The results, based on the root mean square errors of one to four quarters ahead out‐of‐sample forecasts over the period 2001:1 to 2006:4 indicate that, in the majority of the cases, the Dynamic Factor Model statistically outperforms the vector autoregressive models, using both the classical and the Bayesian treatments. We also consider spatial and non‐spatial specifications. Our results indicate that macroeconomic fundamentals in forecasting house price inflation are important. Copyright © 2010 John Wiley & Sons, Ltd.     

融合多源先验信息的舰船备件可靠性评估

舰船工作环境常导致备件的实际可靠性规律与设计参数不一致。在实际使用消耗量较小的条件下,全面分析备件可靠性信息来源,通过定义似然权重系数,融合多源先验信息,建立指数型备件可靠性的贝叶斯评估方法。最后,通过仿真分析验证方法的合理性。结果表明,所提出的基于似然权重的先验信息融合方法可以较好地融合不同信息源的可靠性信息,估计方法具有较好的稳定性。     

一种解决混联系统组合爆炸问题的贝叶斯网络

针对传统三层节点贝叶斯网络(Bayesian network,BN)在系统可靠性分析中的组合爆炸问题,提出了一种适用于复杂混联系统的级联BN建模方法.首先,在引入s类(f类)节点基础上建立了描述并联(串联)逻辑的信息通路模型,进而通过为通路模型各节点赋予同逻辑的条件概率参数,提出了构建并联(串联)系统等价级联BN的方法;其次,结合"超级方框"的概念分析了将典型串并联、并串联系统转化为等价级联BN的方法,并基于系统可靠性框图(RBD)相关矩阵,设计了将复杂混联系统转化为等价级联BN的算法-Generate-Chain-BN;最后,分别建立了某混联系统RBD的等价三层节点BN和级联BN模型,对两种BN进行了对比计算.理论和实例分析均表明,本文建立的级联BN可将原三层节点BN的空间和时间复杂性由指数级降到线性级,解决了三层节点BN固有的组合爆炸问题,可成为复杂混联系统可靠性分析的有效手段.     

The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models

We study the effect of parameter and model uncertainty on the left‐tail of predictive densities and in particular on VaR forecasts. To this end, we evaluate the predictive performance of several GARCH‐type models estimated via Bayesian and maximum likelihood techniques. In addition to individual models, several combination methods are considered, such as Bayesian model averaging and (censored) optimal pooling for linear, log or beta linear pools. Daily returns for a set of stock market indexes are predicted over about 13 years from the early 2000s. We find that Bayesian predictive densities improve the VaR backtest at the 1% risk level for single models and for linear and log pools. We also find that the robust VaR backtest exhibited by linear and log pools is better than the backtest of single models at the 5% risk level. Finally, the equally weighted linear pool of Bayesian predictives tends to be the best VaR forecaster in a set of 42 forecasting techniques.     

Treed Avalanche Forecasting: Mitigating Avalanche Danger Utilizing Bayesian Additive Regression Trees

Little Cottonwood Canyon Highway is a dead‐end, two‐lane road leading to Utah's Alta and Snowbird ski resorts. It is the only road access to these resorts and is heavily traveled during the ski season. Professional avalanche forecasters monitor this road throughout the ski season in order to make road closure decisions in the face of avalanche danger. Forecasters at the Utah Department of Transportation (UDOT) avalanche guard station at Alta have maintained an extensive daily winter database on explanatory variables relating to avalanche prediction. Whether or not an avalanche crosses the road is modeled in this paper via Bayesian additive tree methods. Utilizing daily winter data from 1995 to 2011, results show that using Bayesian tree analysis outperforms traditional statistical methods in terms of realized misclassification costs that take into consideration asymmetric losses arising from two types of error. Closing the road when an avalanche does not occur is an error harmful to resort owners, and not closing the road when one does may result in injury or death. Copyright © 2016 John Wiley & Sons, Ltd.     

基于PSO的加权关联规则挖掘算法

简要描述了加权关联规则问题及离散粒子群优化算法,提出了一种基于粒子群优化(PSO)算法的加权关联规则挖掘算法(PSO-WMAR).实验证明,本算法运行时间更省,产生的规则数更少且更有效.该算法具有以下特点:1)把关联规则挖掘的两个阶段结合在一起,无须先挖掘出全部频繁项目集然后再提取规则;2)只需要扫描一次数据库;3)把兴趣度引入适合度函数之中,挖掘出的规则数量更少、更有效;4)求加权频繁项目集无须查找所有候选加权频繁项目集,或者求频繁项目集的高序子集或非频繁项目集的低序超集.     

基于MCMC方法的虚拟试验贝叶斯校准研究

虚拟试验利用计算模型研究复杂物理过程,并预测其性能.计算模型输入参数中通常包含部分固定但未知参数,可利用计算模型结果和少量有限的试验数据校准未知参数,并研究存在建模不确定性时虚拟试验的预测问题.提出了一种贝叶斯统计方法,采用高斯过程为仿真计算模型以及模型不确定性建模,利用Markov chain蒙特卡罗抽样方法计算校准参数和仿真模型预测后验分布.设计测试算例演示所提出方法的高效性.     

基于动态贝叶斯网的时变样本空间无监督学习

提出了针对概率分布参数时变的样本空间的参数估计问题,由于一般的聚类和EM算法等参数估计方法是针对概率分布时不变的样本空间的问题所采用的。因此,对于概率分布时变的样本空间而言,这些方法均不能有效、准确地估计实时变化的样本参数。通过构建动态贝叶斯网,利用先验和后验的知识进行预测和滤波,结合贝叶斯增量式学习方法并充分利用了其学习所获得的样本空间概率模型变化演进的规律,这样可以较准确、平滑地学习实时概率模型及其分布参数。     

基于MCMC模拟的相关系数平稳序列模型及其应用

提出了基于MCMC方法来估计相关系数平稳序列模型的参数;给出基于贝叶斯分布的相关系数平稳序列模型参数的算法;在无信息先验分布下,模拟证明了用此方法估计相关系数平稳序列模型参数的优良效果。最后对实际的广西电网-月负荷数据,分别用基于相关系数平稳序列模型的MCMC方法和极大似然估计法以及基于经典的ARMA模型建模,结果表明采用MCMC方法得到的模型给出的预测是最好的。