A Time‐Simultaneous Prediction Box for a Multivariate Time Series

A sample‐based method in Kolsrud (Journal of Forecasting 2007; 26 (3): 171–188) for the construction of a time‐simultaneous prediction band for a univariate time series is extended to produce a variable‐ and time‐simultaneous prediction box for a multivariate time series. A measure of distance based on the L_∞ ‐norm is applied to a learning sample of multivariate time trajectories, which can be mean‐ and/or variance‐nonstationary. Based on the ranking of distances to the centre of the sample, a subsample of the most central multivariate trajectories is selected. A prediction box is constructed by circumscribing the subsample with a hyperrectangle. The fraction of central trajectories selected into the subsample can be calibrated by bootstrap such that the expected coverage of the box equals a prescribed nominal level. The method is related to the concept of data depth, and thence modified to increase coverage. Applications to simulated and empirical data illustrate the method, which is also compared to several other methods in the literature adapted to the multivariate setting. Copyright © 2015 John Wiley & Sons, Ltd.     

Modeling and Forecasting the Yield Curve by an Extended Nelson‐Siegel Class of Models: A Quantile Autoregression Approach

This paper compares the in‐sample fitting and the out‐of‐sample forecasting performances of four distinct Nelson–Siegel class models: Nelson–Siegel, Bliss, Svensson, and a five‐factor model we propose in order to enhance the fitting flexibility. The introduction of the fifth factor resulted in superior adjustment to the data. For the forecasting exercise the paper contrasts the performances of the term structure models in association with the following econometric methods: quantile autoregression evaluated at the median, VAR, AR, and a random walk. As a pattern, the quantile procedure delivered the best results for longer forecasting horizons. Copyright © 2011 John Wiley & Sons, Ltd.     

Price–Dividend Ratios and Stock Price Predictability

A long‐standing puzzle to financial economists is the difficulty of outperforming the benchmark random walk model in out‐of‐sample contests. Using data from the USA over the period of 1872–2007, this paper re‐examines the out‐of‐sample predictability of real stock prices based on price–dividend (PD) ratios. The current research focuses on the significance of the time‐varying mean and nonlinear dynamics of PD ratios in the empirical analysis. Empirical results support the proposed nonlinear model of the PD ratio and the stationarity of the trend‐adjusted PD ratio. Furthermore, this paper rejects the non‐predictability hypothesis of stock prices statistically based on in‐ and out‐of‐sample tests and economically based on the criteria of expected real return per unit of risk. Copyright © 2011 John Wiley & Sons, Ltd.     

关于小数的一些结果

讨论有理小数循环节的素因子分解问题.给出了对任意的素数p和任意的正整数n,pn能够除得尽有限小数的小数部分的充要条件,pn能够除得尽纯循环小数循环节的充要条件,以及适当附加条件后pn能够除得尽混循环小数循环节的充要条件.     

相同条件下大样本沥青混合料的疲劳性能

采用一个沥青混合料小梁试件大样本,在相同条件下进行了应变控制疲劳试验研究,分析了沥青混合料试件疲劳寿命、初始模量和累计耗散能的分布规律,探讨了疲劳寿命与初始模量和累计耗散能的关系,以及疲劳寿命、初始模量和累计耗散能与试件空隙率之间的关系.试验结果表明:应变控制疲劳寿命数据的离散性大;沥青混合料的疲劳寿命、累计耗散能和初始模量呈三参数W eibull分布和对数三参数W eibull分布,三参数W eibull分布可以用于分析沥青混合料的疲劳数据;相同条件下,试件的疲劳寿命与初始模量数据线性和对数线性负相关,与累积耗散能数据呈现非常良好的线性正相关,疲劳寿命对数和累积耗散能对数与空隙率负相关性较好;初始模量与空隙率的相关性不明显.文中的研究结果验证和揭示了沥青混合料的应变控制疲劳破坏规律.     

尾矿坝振动实验数据样本容量的优化研究

针对铀尾矿坝振动实验逸出氡累积浓度数据样本容量设计的主观性,本文基于偏向角绝对值均值递减还原逸出氡累积浓度曲线,采用随机起点等距抽样方法,得到不同样本容量的数据子集;通过曲线拟合和样本决定系数度量不同子集对还原实验数据集的代表能力。在保障实验研究精度条件下,得到使实验成本较优的最小样本容量,实验结果表明在样本决定系数大于0.98时,优化后样本容量为实验数据样本容量的10%以下。     

基于频率计的电机转速实时非接触测量方法

提出了一种高精度的、基于频率计的实时电机转动周期测量方法,采用了非接触式的微型磁性传感器、Agilent 53131计数器及IntuiLink软件,试验结果表明：测量方法具有接口简单、精度高、抗干扰能力强、工作稳定可靠等特点。     

浅析转型期图书馆传统服务和现代服务的关系

针对图书馆的服务在转型期发生的变化,在短时期内,图书馆传统服务和现代服务将并存、相互影响、相互补充、协同发展。只有正确对待传统服务与现代服务的关系,才能把图书馆事业不断推向更高的层次。     

基于Hurst指数的飞机完好率混沌时序数据时滞性分析

通过研究Hurst指数随时间变化曲线的特性,提出了一种计算和判断混沌时间序列平均最大“记忆”长度(“平均循环周期”)的方法。并应用于对飞机完好率时间序列数据的时滞性实证分析,分析结果得到了有关专家的认可,为进一步的评价分析奠定了基础。     

专利制度对技术创新动力机制作用的探析

首先分析了在必要的专利制度缺失情形下,由于创新资源的公共物品特性,使得使用者产生了“免费搭乘”的动机,使得社会必要的创新资源的总供给量总是严格小于对整个社会帕雷托最优的提供量。其次,通过建立一个合理专利保护期的理论模型,论证了一个合理专利制度的设立问题。