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1.
非线性时间序列的投影寻踪学习网络逼近   总被引:2,自引:0,他引:2  
田铮  文奇  金子 《应用概率统计》2001,17(2):139-148
本文研究非线性自回归模型投影寻踪学习网络逼近的收敛性,证明了在L^k(k为正整数)空间上,投影寻踪学习网络可以以任意精度逼近非线性自回归模型,给出基于投影寻踪学习网络的非线性时间序列模型建模和预报的计算方法和应用实例,对太阳黑子数据,山猫数据及西安数据进行了拟合和预报,将其结果与改进BP网和门限自回归模型相应的结果进行比较,结果表明基于投影寻踪学习网络的非线性时间序列的建模预报方法是一类行之有效的方法。  相似文献
2.
本文介绍了面板数据的单位根检验和协整检验,实证分析西部九省市固定投资和工业增加值的关系,Engle-Granger检验拒绝部分省市具有均衡增长关系,面板协整检验接受西部地区具有均衡增长关系。  相似文献
3.
非线性模型滞后相依的广义互信息检验   总被引:1,自引:0,他引:1       下载免费PDF全文
The general mutual information (GMI) and general conditional mutual information (GCMI) are considered to measure lag dependences in nonlinear time series. Both of the measures have the property of invariance with transform. The statistics based on GMI and GCMI are estimated using the correlation integral. Under the hypothesis of independent series, the estimators have Gaussian asymptotic distributions. Simulations applied to generated nonlinear series demonstrate that the methods appear to find frequently the correct lags.  相似文献
4.
含结构变点的厚尾序列平稳性的Bootstrap检验   总被引:1,自引:0,他引:1       下载免费PDF全文
The paper proposes a statistic to test stationarity of series with κ-stable innovations and structural breaks,obtains the asymptotical distribution of the statistic,and proves the consistency of the test.To obtain critic values for the test without the estimation of the index κ,the paper proposes the bootstrap procedures to approximate the distribution,and proves the consistency of the procedures.The simulations demonstrate that the bootstrap test is practical and powerful.  相似文献
5.
基于非参数函数的核估计,构造了部分线性自回归模型中误差四阶矩的相合估计,从而给出了误差方差核估计的渐近正态性,并通过模拟算例和实例说明了其应用.  相似文献
6.
根据我国1998年1月至2005年7月的进出口贸易数据,使用协整分析法检验了进口和出口之间的均衡关系,建立误差修正模型,发现进口和出口的互为Granger原因.实证分析结果表明我国在加入WTO之后,进出口之间的弹性得到了提高,对外贸易机制发生了变化。  相似文献
7.
This paper considers how to detect structure change in persistence fromI(1) toI(0) with innovations in the domain of attraction of a κ-stable law. We derive the asymptotic distribution of test statistic and find that the asymptotic distribution of test statistics depends on the stable index κ which is often typically unknown and difficult to estimate. Therefore the subsampling method is proposed to detect changes without estimating κ. We establish the asymptotic validity of this method and assess its performance in finite samples by means of simulation study.  相似文献
8.
The quantile regression problem is considered by learning schemes based on ? 1—regularization and Gaussian kernels. The purpose of this paper is to present concentration estimates for the algorithms. Our analysis shows that the convergence behavior of ? 1—quantile regression with Gaussian kernels is almost the same as that of the RKHS-based learning schemes. Furthermore, the previous analysis for kernel-based quantile regression usually requires that the output sample values are uniformly bounded, which excludes the common case with Gaussian noise. Our error analysis presented in this paper can give satisfactory convergence rates even for unbounded sampling processes. Besides, numerical experiments are given which support the theoretical results.  相似文献
9.
In this paper, two PVD-type algorithms are proposed for solving inseparable linear constraint optimization. Instead of computing the residual gradient function, the new algorithm uses the reduced gradients to construct the PVD directions in parallel computation, which can greatly reduce the computation amount each iteration and is closer to practical applications for solve large-scale nonlinear programming. Moreover, based on an active set computed by the coordinate rotation at each iteration, a feasible descent direction can be easily obtained by the extended reduced gradient method. The direction is then used as the PVD direction and a new PVD algorithm is proposed for the general linearly constrained optimization. And the global convergence is also proved.  相似文献
10.
The quest of structural change with infinite variance observations appears to be relatively common. Conventional residual CUSUM of squares test (RCUSQ) are unreliable in the presence of such behavior, having nonpivotal asymptotic null distributions. In this paper we propose a residual-based bootstrap approach to RCUSQ testing that is valid against a range of infinite variance processes. Our proposed method does not require the practitioners to specify knowledge for tailed index. Consistency and the rate of convergence for the estimated change point are also obtained. We also show via simulations that our asymptotic results provide good approximations in finite samples. In addition, we apply our results to investigate the original returns for NO.1 SDS using a historical data set that covers the period 1999–2002.  相似文献
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