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文章选择1999~2008年全国土地交易价格指数和房屋销售价格指数的季度数据作为样本,通过单位根检验和协整检验的基础上建立VAR模型,借助脉冲响应函数和方差分解进行实证研究,对进一步规范土地市场和房地产市场秩序提出建议.研究结果表明:地价与房价存在长期互动机制,房价对地价的影响大于地价对房价的影响. 相似文献
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《系统科学与数学》2016,(12)
利用Copula的特点,灵活选择边缘分布模型、Copula函数和时变参数演化方程,构建16个相关性模型.在此基础上,通过蒙特卡罗模拟,采用VaR和ES度量资产组合的市场风险,并通过回测检验比较不同模型的风险度量效果.以沪深300指数和恒生指数为样本构建投资组合进行实证研究,结果表明,边缘分布模型、Copula时变参数演化方程和Copula函数的选择会影响风险度量的精度.在构建的16个相关性模型中,边缘分布为MSM-EVT,时变参数演化方程为GAS模型,Copula函数为Rotated Gumbel Copula的MSM-EVT-R-GAS模型风险度量效果最好. 相似文献
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在贝叶斯框架下检验含有多个均值与趋势双突变点的时间序列的平稳性。引入标号随机变量表示观测值所处的位置,运用贝叶斯因子模型选择的方法判断结构变点数目,对待检参数的先验设定为混合分布,采用可信区间检验序列是否存在单位根,并用蒙特卡罗模拟验证该方法的有效性,且以中国居民消费价格指数为对象进行实证研究,进一步印证了贝叶斯单位根检验在结构突变时间序列单位根检验中的优越性。研究发现:判断序列是否存在单位根时,不能忽视结构突变问题,否则会产生误判;先验设定对单位根检验影响较大,混合先验优于单一先验;中国居民价格消费指数序列在不考虑结构突变时是不平稳的,若考虑结构突变则该序列平稳;贝叶斯单位根检验克服了经典方法在有限样本单位根检验时存在有偏的问题,提高了单位根检验的功效。 相似文献
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Logistic违约率模型最优样本配比与分界点的模拟分析 总被引:1,自引:0,他引:1
Logistic模型是研究违约率的主流方法之一,但目前的研究未能对最优样本配比与分界点这两个基本问题给予足够的重视。本文采用模拟分析方法设计了样本配比—临界点的情景,通过实证比较的方法得出1∶3的样本配比与0.647的临界点比较适合我国的情况,而常用的1∶1的样本配比可能并不适用。 相似文献
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将时间序列分析引入到气温时间序列预测的研究中,深入分析气温样本数据,并对其建立ARMA模型.采用最佳准则函数法确定模型的阶数,并利用自相关函数对模型的残差进行了检验.通过条件期望预测和适时修正预测方法求得预测值,与真实值的比较得到适时修正预测精确度比条件期望预测的精确度高. 相似文献
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《European Journal of Operational Research》2004,157(2):332-343
Activity-based costing (ABC) tries to allocate overhead costs to cost objects more accurately than traditional cost systems. However, since ABC proportionalizes overhead costs it is a heuristic. The paper uses simulations and mixed-integer programming to analyze the extent of the sub-optimality incurred by ABC-heuristics. While previous research has focused on ABC systems with a simple set of cost drivers, thereby restricting the potential of ABC as a heuristic, the paper analyzes the effects of establishing a cost driver corresponding to a higher cost level. Specifically, a portfolio-based cost driver captures the demand heterogeneity triggered by the portfolio. This heterogeneity driver is then used to proportionalize all costs due to inflexible overhead resources. One of the main findings is that such a heterogeneity driver improves the quality of ABC-heuristics significantly. 相似文献
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Rafael Izbicki Ann B. Lee Taylor Pospisil 《Journal of computational and graphical statistics》2013,22(3):481-492
Approximate Bayesian computation (ABC) is typically used when the likelihood is either unavailable or intractable but where data can be simulated under different parameter settings using a forward model. Despite the recent interest in ABC, high-dimensional data and costly simulations still remain a bottleneck in some applications. There is also no consensus as to how to best assess the performance of such methods without knowing the true posterior. We show how a nonparametric conditional density estimation (CDE) framework, which we refer to as ABC–CDE, help address three nontrivial challenges in ABC: (i) how to efficiently estimate the posterior distribution with limited simulations and different types of data, (ii) how to tune and compare the performance of ABC and related methods in estimating the posterior itself, rather than just certain properties of the density, and (iii) how to efficiently choose among a large set of summary statistics based on a CDE surrogate loss. We provide theoretical and empirical evidence that justify ABC–CDE procedures that directly estimate and assess the posterior based on an initial ABC sample, and we describe settings where standard ABC and regression-based approaches are inadequate. Supplemental materials for this article are available online. 相似文献
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为了提高在用电梯监督抽查工作效率及有效性,在统计分析G市电梯安全监管抽查的大样本数据基础上,构建以电梯使用情况、电梯基本参数及制造维保相关情况等为指标的管理体系。根据电梯抽查数据的实质,先对数据进行变量筛选,然后构建风险分级,最后对前人的方法作出改进形成风险矩阵法并提出以Logistic方法为电梯整机风险建立量化模型,最终形成电梯整机风险评估体系。从理论的角度看,通过使用LIFT统计量和K-S统计量比较两种风险值计算模型,得出用Logistic方法进行风险分层更为准确。而实际的工程应用表明,利用Logistic回归法与基于平均风险值赋权比例法的组合为电梯安全监管抽样调查提供的筛选比例,比现有的方法更合理准确。 相似文献
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在现有文献研究的基础上,对龚帕兹曲线参数估计问题又作了进一步研究,给出了求解龚帕兹曲线参数的一种新方法.将最优化方法与回归方法结合在一起,利用最优化理论中的区间搜索和一维搜索得到一系列c值,利用回归方法可求得与其相对应的一系列a和b的值,当c取最优c*时,a和b便得到最优值a*和b*.经示例计算表明,这种求解龚帕兹曲线参数的方法在电力系统负荷预测中具有较高的预测精度. 相似文献
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制造业成本控制和管理对企业发展是非常重要的,将作业成本法与成本控制相结合,为制造企业成本管理提供了一种新的思路.大数据时代为企业的生存与发展带来新的契机,大数据思维将极大的影响企业战略.将大数据与企业具体目标相结合,基于大数据环境,利用大数据技术和工具,探求新的成本控制模式.考虑到整个价值链,并利用作业成本思想,完善作业成本核算,期望为制造业成本控制提供一定的指引. 相似文献
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The artificial bee colony (ABC) algorithm is a relatively new optimization technique which has been shown to be competitive to other population-based algorithms. However, there is still an insufficiency in the ABC algorithm regarding its solution search equation, which is good at exploration but poor at exploitation. Inspired by differential evolution (DE), we propose a modified ABC algorithm (denoted as ABC/best), which is based on that each bee searches only around the best solution of the previous iteration in order to improve the exploitation. In addition, to enhance the global convergence, when producing the initial population and scout bees, both chaotic systems and opposition-based learning method are employed. Experiments are conducted on a set of 26 benchmark functions. The results demonstrate good performance of ABC/best in solving complex numerical optimization problems when compared with two ABC based algorithms. 相似文献
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Andreea B. Dragut 《Methodology and Computing in Applied Probability》2012,14(1):87-105
Generally, trend detection algorithms over the data stream require expert assistance in some form. We present an unsupervised
multiscale data stream algorithm which detects trends for evolving time series based on a data driver data stream. The raw
stream data clustering algorithm is incremental, space dilating and has linear time complexity. The evolving stream is incrementally
explored on a number of windows. Whenever a change occurs, we switch the analysis on this driver data stream in order to detect
the new aggregated patterns and the new best selection of window widths among an exponential base set. The window widths are
detected using a slightly modified version of an incremental SVD procedure. We apply this clustering algorithm to a free public
NYSE stock exchange financial data feed, investigating incrementally the developing trends during the current crisis data
from 2007 to 2009. The algorithm detected the changing widths of the trends as well as the trends themselves in the market. 相似文献
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马田系统是以马氏距离为测量尺度,通过选取正常样本构建马氏空间,对多元系统进行诊断和预测的分类技术。马氏距离对样本数据的变化非常敏感,因此用于构建马氏空间的正常样本的数据质量直接影响到分类的准确率。实际应用中正常样本的选取大多依据主观经验判断,缺乏客观规范的选择机制。本文提出基于控制图的马氏空间生成机理,先由专家选取的正常样本构建初始马氏空间,再以每个正常样品在初始马氏空间和对应的缩减马氏空间上的马氏距离增量作为新的测量尺度,以此建立单值控制图,利用控制图稳定性判定规则剔除异常数据,从而得到稳定状态的马氏空间。实验分析结果表明该方法的有效性且提高了马田系统分类的准确率。 相似文献
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本文在用正交设计理论得出水泥最佳配料条件下,根据此最佳配料条件参数和原燃料成分的化验数据,应用线性规划理论与方法建立数学模型,利用计算机算出水泥最佳配料方案和技术上要求的一些重要参数。本课题的完成,改变了国内水泥配料沿用的经验公式方法,建立了一种崭新的水泥配料计算方法。 相似文献