人口增长率的非参数自回归预测模型

针对传统的人口增长预测模型不能理想地捕获我国人口增长率数据的非线性性特征,本文基于局部线性非参数估计理论,对我国建国以来的年人口增长率建立了非参数自回归NAR(1)模型,并对2000-2003年的年人口增长率进行了预测,计算结果表明,相对于参数自回归模型而言,非参数自回归模型能够很好地解决人口增长预测这一非线性问题,预测精度较高。     

面板数据下带固定效应的线性回归模型的稳健变量选择

本文结合复合分位数回归和自适应LASSO惩罚方法为固定效应面板数据模型提供了一种稳健变量选择过程。先通过正向正交偏差变换消除固定效应,再利用自适应LASSO构造惩罚复合分位数回归目标函数,进而同时进行回归系数的估计和变量选择。在一些正则条件下,证明了所提出的估计具有Orcale性质。该方法不仅消除了固定效应对估计的影响,而且具有稳健性。模拟研究了所提出方法的有限样本性质并将其应用于实际数据分析。     

我国粮食最低收购价政策的效应及最低价预测

本文首先构建粮食最低收购价政策效应的评价指标体系模型,然后结合实施品种不同,利用固定效应回归分析方法分别对小麦和早稻这两个粮食品种的具体评价指标模型进行实证分析并进行相应比较,最后构建粮食最低收购价的VAR预测模型,并对小麦和早稻2017年的最低收购价进行预测.     

基于ARMA-GARCH模型的恒指隐含波动率指数预测及其在期权交易中的应用

基于ARMA-GARCH模型,并结合均值回归效应,溢出效应和周内效应,本文研究了恒指隐含波动率指数(VHSI)能否被预测及预测是否有助于期权投资实践的问题.研究结果验证了香港股市具有均值回归的特性,标准普尔500指数对恒指隐含波动率指数有明显的溢出效应.此外,恒指隐含波动率指数呈现出周一上涨,周五下跌的特征,具有明显的周内效应.最后,本文运用ARMA-GARCH模型对恒指隐含波动率指数进行预测,并结合实际的市场数据做了期权交易模拟.结果显示,ARMA-GARCH模型比ARMA模型更适合对恒指隐含波动率进行建模;考虑了均值回归效应,溢出效应和周内效应之后,ARMAGARCH模型对恒指隐含波动率指数的预测能力显著提高,并且预测结果有助于期权交易获得较好的收益.     

如何做实证:路径分析北大核心

在回归模型中,可以包括多个自变量,但只能包括一个因变量．而许多因果效应问题,因变量往往不止一个．回归分析还有一个局限就是只能分析直接效应,不能分析间接效应．事实上,许多变量之间可能有直接关系,也可能受到中介变量的影响而产生间接效应．路径分析就是解决这类问题的方法．     

面板数据分位数回归模型求解的模式搜索法

本文应用最优化理论,对固定效应的面板数据分位数回归模型,提出一种模式搜索方法,此方法可以同时估计出所有分位点处的解释变量系数和所有个体的固定效应值。进一步利用蒙特卡洛模拟比较现有文献中涉及的面板数据分位数回归方法,结果显示无论误差项是否满足经典假设,模式搜索分位数回归法较之其他分位数回归估计方法更为有效.     

线性混合效应模型的有效稳健经验似然推断

本文考虑线性混合效应模型的有效稳健经验似然统计推断问题. 通过结合众数回归方法和矩阵的QR分解技术, 提出了一种基于众数回归的正交经验似然统计推断过程. 证明提出的关于固定效应的经验对数似然比函数渐近服从中心卡方分布, 进而构造了模型固定效应的置信区间. 所提出的估计过程不需要对随机效应和模型误差的分布施加任何假定, 并且关于固定效应的估计过程不受随机效应的影响, 因此具有较好的稳健性和有效性.     

基于主成分回归模型的经济增长因素分析

在经济增长因素分析中,常用多元回归分析方法,但有时建立的回归模型拟合效果不好或不合理。为此本文给出建立主成分回归分析的方法。本文对经济增长给出两种回归分析方法,即建立主成分线性回归模型,分析经济增长的边际效应,建立主成分非线性回归模型,分析经济增长的弹性效应,实例表明效果很好。     

农村人口结构变化对经济增长影响的实证分析

以辽宁省大连市农村地区为研究样本,通过构建农村人口结构变化对经济增长影响的"动态效应"模型和"静态效应"模型,分析了农村人口结构变化对农村经济增长的影响.研究结果表明,人力资本是农村经济增长的重要源泉,在既定的农村劳动力从业人口中,男性劳动力人口数量的适度增加能够在一定程度上提高农村经济的增长水平;农村转移劳动力的就业方向对农村经济增长有重要影响;农村储蓄率的增加对于农村经济增长和一系列公共服务的提供具有显著影响效应.     

基于修正的已实现阈值幂变差的股市跳跃波动行为研究

基于非参数统计方法,利用考虑金融资产价格跳跃和杠杆效应的时点波动估计方法修正已实现阈值幂变差,构造甄别跳跃的检验统计量,对金融资产价格中的随机波动、有限活跃跳跃和无限活跃跳跃等问题进行综合研究。为同时吸收波动率的异方差集聚效应和收益率的非对称效应,对原有的已实现波动率异质自回归预测模型进行拓展,将非对称的异质性自回归模型的误差项设定为GARCH模型,以考察跳跃波动序列与连续波动序列之间的复杂关系。利用沪深股指高频数据进行实证研究,包括进行跳跃识别,跳跃活动程度检验和波动率预测效果对比。研究结果表明,沪深股市同时存在布朗运动成分、有限活跃跳跃和无限活跃跳跃成分,其中连续路径方差占主体。同时,收益和波动间的杠杆效应显著,无论短期还是长期,连续波动和跳跃波动对波动率的预测均具有显著影响,同时考虑股价的跳跃、波动和杠杆效应因素有助于更准确地刻画资产价格动态过程。     

具有HollingⅡ型功能反应和Allee效应的捕食系统模型

利用计算机模拟方法研究一类离散种群相互作用模型的动态复杂性.通过理论推导建立食饵具有Allee效应和HollingⅡ型功能反应的自治捕食系统模型,用Matlab软件模拟离散种群的生长状态,探索研究参数的变化对种群大小的影响,阐释Allee效应及HollingⅡ型功能反应在种群间相互作用模型中的重要性.研究结果表明:1)当处理时间处于有效区间内时,处理时间越大种群的稳定共存参数域越大;2)Allee效应的引入使种群的动态行为更为复杂,从而增加了捕食者种群的灭绝风险;3)系统受强Allee效应的影响,种群会出现提前分叉现象,如果继续增加Allee效应就会导致种群灭绝;4)强Allee效应更容易使种群趋向灭绝.所得结论在丰富生态学理论的同时,提出了保护生态学的重要依据.     

Multiscaling analysis of a slowly varying single species population model displaying an Allee effect

We consider the growth of a single species population modelled by a logistic equation modified to accommodate an Allee effect, in which the model parameters are slowly varying functions of time. We apply a multitiming technique to construct general approximate expressions for the evolving population in the case where the population survives to a (slowly varying) finite positive limiting state, and that where the population declines to extinction. We show that these expressions give excellent agreement with the results of numerical calculations for particular instances of the changing model parameters. Copyright © 2013 John Wiley & Sons, Ltd.     

Transitions in a logistic population model incorporating an Allee effect

In some species, the population may decline to zero; that is, the species becomes extinct if the population falls below a given threshold. This phenomenon is well known as an Allee effect. In most Allee models, the model parameters are constants, and the population tends either to a nonzero limiting state (survival) or to zero (extinction). However, when environmental changes occur, these parameters may be slowly varying functions of time. Then, application of multitiming techniques allows us to construct approximations to the evolving population in cases where the population survives to a slowly varying surviving state and those where the population declines to zero. Here, we investigate the solution of a logistic population model exhibiting an Allee effect, when the carrying capacity and the limiting density interchange roles, via a transition point. We combine multiscaling analysis with local asymptotic analysis at the transition point to obtain an overall expression for the evolution of the population. We show that this shows excellent agreement with the results of numerical computations. Copyright © 2015 John Wiley & Sons, Ltd.     

A common age effect model for the mortality of multiple populations

We introduce a model for the mortality rates of multiple populations. To build the proposed model we investigate to what extent a common age effect can be found among the mortality experiences of several countries and use a common principal component analysis to estimate a common age effect in an age–period model for multiple populations. The fit of the proposed model is then compared to age–period models fitted to each country individually, and to the fit of the model proposed by Li and Lee (2005).Although we do not consider stochastic mortality projections in this paper, we argue that the proposed common age effect model can be extended to a stochastic mortality model for multiple populations, which allows to generate mortality scenarios simultaneously for all considered populations. This is particularly relevant when mortality derivatives are used to hedge the longevity risk in an annuity portfolio as this often means that the underlying population for the derivatives is not the same as the population in the annuity portfolio.     

Delta-hedging longevity risk under the M7–M5 model: The impact of cohort effect uncertainty and population basis risk

In a recent project commissioned by the Institute and Faculty of Actuaries and the Life and Longevity Markets Association, a two-population mortality model called the M7–M5 model is developed and recommended as an industry standard for the assessment of population basis risk. In this paper, we contribute a delta hedging strategy for use with the M7–M5 model, taking into account of not only period effect uncertainty but also cohort effect uncertainty and population basis risk. To enhance practicality, the hedging strategy is formulated in both static and dynamic settings, and its effectiveness can be evaluated in terms of either variance or 1-year ahead Value-at-Risk (the latter is highly relevant to solvency capital requirements). Three real data illustrations are constructed to demonstrate (1) the impact of population basis risk and cohort effect uncertainty on hedge effectiveness, (2) the benefit of dynamically adjusting a delta longevity hedge, and (3) the relationship between risk premium and hedge effectiveness.     

Global Dynamics of a Diffusive Leslie-Gower Predator-prey Model with Fear Effect

A diffusive Leslie-Gower predator-prey model with fear effect is considered in this paper. For the kinetic system, we show that the unique positive equilibrium is globally asymptotically stable. Moreover, we find that high levels of fear could decrease the population densities of both prey and predator in a long time. For the diffusive model, we obtain the similar results under certain conditions.     

具有学习效应的半导体晶圆制造绿色车间调度问题研究

针对最小化最大完工时间、总碳排放以及总拖期时间的具有学习效应的半导体晶圆制造绿色车间调度问题,构建了双影响因素的新型学习效应模型,提出了改进的多元宇宙优化算法,并对其收敛性进行证明。通过对初始种群进行反向学习、宇宙个体进行莱维飞行扰动和对外部档案中的个体进行邻域搜索变异更新,产生新的父代个体,扩大了种群的多样性,避免算法陷入局部最优。通过对小规模和大规模测试算例的仿真实验,以及利用改进算法求解具有异质性机器的学习型半导体晶圆制造绿色车间调度问题,验证了本文所提出的算法对于求解具有学习效应的半导体晶圆制造绿色车间调度问题的有效性和可行性。     

具Allee效应的状态依赖脉冲单种群模型稳定周期解(英文)

研究具Allee效应的状态依赖脉冲单边扩散单种群模型.利用数学分析的方法,得到系统周期解存在性与轨道渐近稳定性的充分条件.     

Stationary solutions of advective Lotka–Volterra models with a weak Allee effect and large diffusion

This paper is devoted to the Neumann problem of a stationary Lotka–Volterra model with diffusion and advection. In the model it is assumed that one population growth rate is described by weak Allee effect. We first obtain some sufficient conditions ensuring the existence of nonconstant solutions by using the Leray–Schauder degree theory. And then we study a limiting system (with nonlocal constraint) which stems from the original model as diffusion and advection of one of the species tend to infinity. Finally, we classify the global bifurcation structure of nonconstant solutions of the simplified 1D case.