Predicting bankruptcy using recursive partitioning and a realistically proportioned data set

Auditors must assess their clients' ability to function as a going concern for at least the year following the financial statement date. The audit profession has been severely criticized for failure to ‘blow the whistle’ in numerous highly visible bankruptcies that occurred shortly after unmodified audit opinions were issued. Financial distress indicators examined in this study are one mechanism for making such assessments. This study measures and compares the predictive accuracy of an easily implemented two‐variable bankruptcy model originally developed using recursive partitioning on an equally proportioned data set of 202 firms. In this study, we test the predictive accuracy of this model, as well as previously developed logit and neural network models, using a realistically proportioned set of 14,212 firms' financial data covering the period 1981–1990. The previously developed recursive partitioning model had an overall accuracy for all firms ranging from 95 to 97% which outperformed both the logit model at 93 to 94% and the neural network model at 86 to 91%. The recursive partitioning model predicted the bankrupt firms with 33–58% accuracy. A sensitivity analysis of recursive partitioning cutting points indicated that a newly specified model could achieve an all firm and a bankrupt firm predictive accuracy of approximately 85%. Auditors will be interested in the Type I and Type II error tradeoffs revealed in a detailed sensitivity table for this easily implemented model. Copyright © 2000 John Wiley & Sons, Ltd.     

Neural network versus econometric models in forecasting inflation

Artificial neural network modelling has recently attracted much attention as a new technique for estimation and forecasting in economics and finance. The chief advantages of this new approach are that such models can usually find a solution for very complex problems, and that they are free from the assumption of linearity that is often adopted to make the traditional methods tractable. In this paper we compare the performance of Back‐Propagation Artificial Neural Network (BPN) models with the traditional econometric approaches to forecasting the inflation rate. Of the traditional econometric models we use a structural reduced‐form model, an ARIMA model, a vector autoregressive model, and a Bayesian vector autoregression model. We compare each econometric model with a hybrid BPN model which uses the same set of variables. Dynamic forecasts are compared for three different horizons: one, three and twelve months ahead. Root mean squared errors and mean absolute errors are used to compare quality of forecasts. The results show the hybrid BPN models are able to forecast as well as all the traditional econometric methods, and to outperform them in some cases. Copyright © 2000 John Wiley & Sons, Ltd.     

Neural networks and the multinomial logit for brand choice modelling: a hybrid approach

The study of brand choice decisions with multiple alternatives has been successfully modelled for more than a decade using the Multinomial Logit model. Recently, neural network modelling has received increasing attention and has been applied to an array of marketing problems such as market response or segmentation. We show that a Feedforward Neural Network with Softmax output units and shared weights can be viewed as a generalization of the Multinomial Logit model. The main difference between the two approaches lies in the ability of neural networks to model non‐linear preferences with few (if any) a priori assumptions about the nature of the underlying utility function, while the Multinomial Logit can suffer from a specification bias. Being complementary, these approaches are combined into a single framework. The neural network is used as a diagnostic and specification tool for the Logit model, which will provide interpretable coefficients and significance statistics. The method is illustrated on an artificial dataset where the market is heterogeneous. We then apply the approach to panel scanner data of purchase records, using the Logit to analyse the non‐linearities detected by the neural network. Copyright © 2000 John Wiley & Sons, Ltd.     

影响图在非线性回归异方差检验中的应用

提出把加权非线性回归模型看作一个扰动模型,利用影响图的正则曲率研究了此模型的异方差检验问题,并在此基础上得到了改进的Score统计量。最后用具体的数值实例说明所得结论的有效性。     

机械臂目标区域跟踪防撞控制

针对医疗护理机械臂在轨迹跟踪过程中的人机交互与防碰撞问题,本文提出了一种基于目标区域跟踪以及碰撞预测的机械臂控制方法.本文根据Lyapunov函数,结合人工势能场,设计保证系统稳定性的控制器,实现在目标区域内人机交互的柔顺性;采用会遇距离与会遇时间构造防撞预测模型,建立障碍物作用半径与防撞安全指数的关联模型,实现障碍物作用半径实时可变.实验结果验证了本文所提方法对目标区域跟踪的有效性,人机交互的柔顺性,以及障碍物规避过程的高效,平滑.     

支持向量机在矿渣-粉煤灰混凝土强度预测中的应用

为了更好地预测矿渣-粉煤灰混凝土强度,选择水胶比、取代率、灰渣比、减水剂、砂率和激发剂作为预测参数,建立了矿渣-粉煤灰混凝土强度预测的支持向量机模型。根据有限的学习样本,建立了各种影响因素和混凝土抗压强度之间的一种非线性映射,对矿渣-粉煤灰混凝土强度进行预测。以实际样本数据进行训练,并对测试样本进行了预测。预测结果表明,支持向量机方法有着良好的泛化能力,优于人工神经网络建模方法,为预测混凝土强度提供了一种新的方法。     

利用物质平衡法评价气井井间干扰

在对气藏投产过程中气井流动边界变化、单井动态储量变化和压降曲线变化分析的基础上,本文提出了五种不同压降特征曲线的物质平衡模型。反映了气井受到井间干扰后的不同压降特征。并利用某区块内一口典型气井进行了计算。结果表明,干扰后气井动态储量比干扰前明显减少。为利用气井生产数据准确判断气井的干扰程度和动态储量的准确计算提供了实用的方法。     

差分进化优化参数的LSSVM中长期径流预测

针对LSSVM预测模型参数难以确定的问题,利用差分进化(DE)算法的收敛速度快和全局优化能力,优化LSSVM模型的惩罚因子和核函数参数,避免了人为选择参数的盲目性。将优化后的LSSVM模型应用于中长期径流预测问题。选取黄河三门峡站1919年至1992年径流量实测数据进行分析和训练,对1993年至2002年的年径流量进行预测,并与BP神经网络和SVM模型进行比较。研究结果表明,该模型具有较高的预测精度。     

A Bayesian Approach to Modelling the Observed Bovine Spongiform Encephalopathy Epidemic

The threat of Bovine Spongiform Encephalopathy (BSE) to humans was realized in March 1996, when the Spongiform Encephalopathy Advisory Committee (SEAC) reported to the government that the most likely explanation of the new variant Creutsfeldt–Jakob Disease (nvCJD) in humans was exposure to the BSE agent. To assess the potential risk of nvCJD, it is necessary to understand the development of the BSE epidemic within the cattle population. This paper reports on work undertaken to model the observed BSE epidemic in the UK using established Bayesian methodology. © 1997 John Wiley & Sons, Ltd.     

一种基于流量预测的启发式路由表更新算法

针对目前的路由表更新机制无法有效地控制和降低因路由表更新而导致的网络丢包量的问题,提出一种基于流量预测的启发式路由表更新算法。利用流量预测模型对IP路由器中各路由表项所对应的网络流量进行预测,并在此基础上通过启发式算法动态调整路由表项的更新顺序和更新-分发批处理的量程大小,以实现在路由表更新过程中产生最少的网络丢包量。仿真实验结果表明该算法有效地减少因路由表更新引起的网络丢包量。