Multivariate Count Data Models for Time Series Forecasting

Count data appears in many research fields and exhibits certain features that make modeling difficult. Most popular approaches to modeling count data can be classified into observation and parameter-driven models. In this paper, we review two models from these classes: the log-linear multivariate conditional intensity model (also referred to as an integer-valued generalized autoregressive conditional heteroskedastic model) and the non-linear state-space model for count data. We compare these models in terms of forecasting performance on simulated data and two real datasets. In simulations, we consider the case of model misspecification. We find that both models have advantages in different situations, and we discuss the pros and cons of inference for both models in detail.     

Erosion of multilayered films fabricated from degradable polyamines: Characterization and evidence in support of a mechanism that involves polymer hydrolysis

Multilayered polyelectrolyte assemblies fabricated using hydrolytically degradable polyamines ( 1 – 3 ) erode gradually when incubated in physiologically relevant media. This investigation sought to characterize physically and chemically the erosion of films fabricated from these polymers and sodium poly(styrene sulfonate) (SPS) and to investigate specifically the potential role of polymer hydrolysis in governing film erosion. The characterization of erosion using reflective infrared spectroscopy revealed changes in the carbonyl region of the spectrum that were consistent with the generation of polymer hydrolysis products. To evaluate the role of the esters in these materials more directly, we also synthesized a structural analogue of polymer 2 containing amide functionality rather than ester functionality. Assemblies fabricated from this amide-containing polymer did not erode significantly or release SPS into solution when incubated in phosphate-buffered saline (PBS). Finally, we characterized the erosion of assemblies fabricated from polymer 1 in PBS buffer prepared with D₂O rather than H₂O. These assemblies eroded significantly more slowly in deuterated media than in buffer prepared with H₂O. These results, when combined, provide support for the view that polymer hydrolysis plays an important role in governing the erosion of assemblies fabricated from these degradable polymers. © 2006 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem 44: 5161–5173, 2006     

Rough Sets and the role of the monetary policy in financial stability (macroeconomic problem) and the prediction of insolvency in insurance sector (microeconomic problem)

This paper faces two questions related with financial stability. The first one is a macroeconomic problem in which we try to further investigate the role of monetary policy in explaining banking sector fragility and, ultimately, systemic banking crisis. It analyses a large sample of countries in the period 1981–1999. We find that the degree of central bank independence is one of the key variables to explain financial crisis. However, the effects of the degree of independence are not linear. Surprisingly, either a high degree of independence or a high degree of dependence are compatible with a situation of financial stability, while intermediate levels of independence are more likely associated with financial crisis. It seems that it is the uncertainty related with a non-clear allocation of monetary policy responsibilities that contributes to financial crisis episodes.     

Target Zone Interventions and Coordination of Expectations

Foreign exchange markets display regularly severe bubbles. This paper explores whether or not the so-called target zone interventions are an effective tool for central banks to stabilize the exchange rate. We define such intervention operations as buying/selling an undervalued/overvalued currency when the distance between the exchange rate and its fundamental value exceeds a critical threshold value. On the basis of a nonlinear empirical exchange rate model with chartists and fundamentalists, we find that not only target zone interventions have the power to reduce misalignments but also to earn profits. The idea of this paper was born during the 2003 Complexity Workshop in Aix-en-Provence and the Viennese Workshop on Optimal Control, Dynamic Games, and Nonlinear Dynamics. The paper was presented at the International Conference on Computing in Economics and Finance in Amsterdam and at the Erich-Schneider research seminar at the University of Kiel. We thank Richard Day, Herbert Dawid, Cars Hommes, Blake LeBaron, Thomas Lux, Erik Mosekilde, Barkley Rosser and Jan Tuinstra for stimulating discussions. Also, we thank two anonymous referees and Christophe Deissenberg for helpful comments.     

流化床埋管磨损的实验研究

本文对流化床内埋管的布置与磨损的关系进行了实验研究和理论分析，得到了管束的节距和布置高度对磨损特性的影响规律，并据此提出了埋管的防磨原则。实验表明，只有满足一定的条件，最大的埋管磨损速率才可能出现在底排管上，顺列管束才可能比错列管束磨损轻。     

高耸电气贮架地震反应分析的分支模态综合法

本文运用分支模态综合法对从国外引进的大型、高耸、瓷质电容器贮架进行了地震反应的数值分析与研究。计算结果表明，无隔震基础的贮架其地震内力将大大超过材料的容许应力，因而倒塌是不可避免的；但采用隔震基础并适当选取隔震基础的水平弹簧刚度系数，则可使其地震内力大大降低，贮架的安全得到切实的保证。本文的研究工作为此类电气贮架的国产化定型设计提供了一定的理论依据和计算方法。     

高温度稳定性声表面波信道化滤波器组研制

本文报道了作者研制的频率范围分别为200—350MHZ和350一500MHZ的两种15信道声表面波滤波器组的结果。为了克服现有技术温度稳定性较差的缺点，基片材料采用Yll2°LiTaO3，温度稳定性比现有技术提高3．5—5倍。每个滤波器中的两个叉指换能器一个采用特殊抽样的单指换能器，另一个采用三次谐波工作的分裂指换能器，从而避免了采用基频工作的分裂指换能器所需的0．8μm。工艺。输入匹配网络采用改进的串并联匹配网络，降低了输人匹配网络的插人损耗，补偿了因采用Yll2°LITaO3，单个滤波器插损较大的缺陷，使滤波器组总的插入损耗与现有采用YZ或Y128°LiNbO3的滤波器组相当。     

银行卡等级分类中马尔科夫模型的应用初探

本文应用马尔科夫模型与方法 ,对所提出的一种新的银行卡等级分类方法 ,初步地讨论了其模型分析与计算方法问题 ,强调了模型与方法的实用性和便于计算实现的特征     

基于离差最大化-灰色关联分析的商业银行竞争力评价研究

从安全性、盈利性、流动性、成长性四个方面构建了商业银行竞争力评价指标体系;用离差最大化方法确定指标权重,反映了指标数据本身的离散程度和动态变化,避免了人为赋权的主观随意性;用灰色关联分析确定评价得分,避免了对样本数量和数据分布的限制.通过离差最大化灰色关联分析模型并结合Ward聚类对中国14个上市商业银行的竞争力评价进行了实证研究,实证结果揭示了不同商业银行竞争力的显著差异和各银行的竞争优势与制约因素.     

时滞位移反馈对Helmholtz振子系统的分形侵蚀安全域的控制

对一个Helmoholtz振子系统引入线性时滞位移反馈,研究时滞位移反馈对系统的安全盆侵蚀的控制作用.将Melnikov函数法推广到时滞系统,从而给出时滞受控系统的安全盆的边界分形条件,在此基础上得出了安全盆分形的激励振幅阈值.再以时滞量为变参数,运用四阶Rung-Kutta方法和点映射方法从定量上研究了时滞对受控系统安全盆的影响规律.结果表明在弱反馈下,时滞量的增大能够提高安全盆边界分形的阈值,进而有效地抑制安全盆的分形侵蚀.说明时滞位移反馈是控制系统的安全盆侵蚀的良好方法. 关键词： 安全盆 分形侵蚀 时滞 反馈