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1.
采用1993-2014年中国31个省市的外商直接投资数据,利用了空间马尔可夫链方法和地理信息技术,研究了中国各省市外商直接投资的时空演化特征.按照FDI投资比重大小把各省市FDI演化特征划分为低、中低、中高和高4种类型,构建马尔可夫状态转移概率矩阵,利用空间Markov方法模拟了中国各省市FDI投资的时空演化过程.结果发现中国各省市FDI分布极不均衡,在1993-2002年期间主要分布在中国东部沿海地区,到2014年具有逐步向中西部转移的趋势.比较空间马尔可夫链的初始分布和极限分布发现,当处于低和中低状态时,极限概率小于初始概率,当处于中高和高状态时,极限概率大于初始概率;由此可以说明中国各省市FDI投资水平的提高正在稳步推进,而且FDI空间区位演化过程具 相似文献
2.
This paper proposes a new concept: the usage of Multivariate Markov Chains (MMC) as covariates. Our approach is based on the observation that we can treat possible categorical (or discrete) regressors, whose values are unknown in the forecast period, as an MMC in order to improve the forecast error of a certain dependent variable. Hence, we take advantage of the information about the past state interactions between the MMC categories to forecast the categorical (or discrete) regressors and improve the forecast of the actual dependent variable. 相似文献
3.
不完全信息下军事冲突态势的模糊过程分析 总被引:1,自引:0,他引:1
本文以军事冲突决策为研究背景 ,给出了在不完全信息下 ,局中人处在冲突态势改变过程是一个模糊集上的马尔柯夫过程时状态转移的预测模型 ,并且探讨了当状态转移的无后效应是模糊概念时模糊马尔柯夫链状态转移的预测模型 相似文献
4.
Abraham Neyman 《International Journal of Game Theory》2008,37(4):581-596
The existence of a value and optimal strategies is proved for the class of two-person repeated games where the state follows
a Markov chain independently of players’ actions and at the beginning of each stage only Player 1 is informed about the state.
The results apply to the case of standard signaling where players’ stage actions are observable, as well as to the model with
general signals provided that Player 1 has a nonrevealing repeated game strategy. The proofs reduce the analysis of these
repeated games to that of classical repeated games with incomplete information on one side.
This research was supported in part by Israeli Science Foundation grants 382/98, 263/03, and 1123/06, and by the Zvi Hermann
Shapira Research Fund. 相似文献
5.
在具有可观测和不可观测状态的金融市场中,利用隐马尔可夫链描述不可观测状态的动态过程,研究了不完全信息市场中的多阶段最优投资组合选择问题.通过构造充分统计量,不完全信息下的投资组合优化问题转化为完全信息下的投资组合优化问题,利用动态规划方法求得了最优投资组合策略和最优值函数的解析解.作为特例,还给出了市场状态完全可观测时的最优投资组合策略和最优值函数. 相似文献
6.
This paper presents a stochastic model that evaluates the value of real-time shipment tracking information for supply systems that consist of a retailer, a manufacturer, and multiple stages of transportation. The retailer aggregates demand for a single product from end customers and places orders on the manufacturer. Orders received by the manufacturer may take several time periods before they are fulfilled. Shipments dispatched by the manufacturer move through multiple stages before they reach the retailer, where each stage represents a physical location or a step in the replenishment process. The lead time for a new order depends on the number of unshipped orders at the manufacturer’s site and the number and location of all shipments in transportation. The analytic model uses real-time information on the number of orders unfulfilled at the manufacturer’s site, as well as the location of shipments to the retailer, to determine the ordering policy that minimizes the long-run average cost for the retailer. It is shown that the long-run average cost is lower with real-time tracking information, and that the cost savings are substantial for a number of situations. The model also provides some guidelines for operating this supply system under various scenarios. Numerical examples demonstrate that when there is a lack of information it is better for the retailer to order every time period, but with full information on the status in the supply system it is not always necessary for the retailer to order every time period to lower the long-run average cost. 相似文献
7.
The threshold autoregressive model with generalized autoregressive conditionally heteroskedastic (GARCH) specification is a popular nonlinear model that captures the well‐known asymmetric phenomena in financial market data. The switching mechanisms of hysteretic autoregressive GARCH models are different from threshold autoregressive model with GARCH as regime switching may be delayed when the hysteresis variable lies in a hysteresis zone. This paper conducts a Bayesian model comparison among competing models by designing an adaptive Markov chain Monte Carlo sampling scheme. We illustrate the performance of three kinds of criteria by comparing models with fat‐tailed and/or skewed errors: deviance information criteria, Bayesian predictive information, and an asymptotic version of Bayesian predictive information. A simulation study highlights the properties of the three Bayesian criteria and the accuracy as well as their favorable performance as model selection tools. We demonstrate the proposed method in an empirical study of 12 international stock markets, providing evidence to strongly support for both models with skew fat‐tailed innovations. Copyright © 2016 John Wiley & Sons, Ltd. 相似文献
8.
《Journal of computational and graphical statistics》2013,22(2):306-310
This article shows how to perform perfect simulation of a functional of a Dirichlet process, when the values of the functional are bounded. It also gives a procedure for “approximate” simulation in the case of unbounded functional values. 相似文献
9.
Information in Quantal Response Data and Random Censoring 总被引:2,自引:0,他引:2
Ch. Tsairidis K. Zografos K. Ferentinos T. Papaioannou 《Annals of the Institute of Statistical Mathematics》2001,53(3):528-542
In this paper we study interesting properties of Fisher and divergence type measures of information for quantal, complete and incomplete random censoring, and not censoring at all. It is shown that, while quantal random censoring is less expensive, it is less informative than complete random censoring. It is also shown that in experiments which are mixtures of quantal and complete random censoring, the information received from these experiments is a convex combination of quantal information and the information in complete random censoring. Finally, the "total information" property is studied, in which the information received by the uncensored experiment can be expressed as the sum of the information provided by random censoring and the loss of information due to censoring. The results for Fisher's measure of information are an extension of already known results to the multiparameter case. The investigation of the previous information properties for divergence type measures is a new element, as well as the comparison of byproducts of Fisher information matrices. 相似文献
10.
本文定义并证明了Markov链的收敛性,在此基础上得到了与能耗系统“熵增加原理”相对应的Markov链信息系统熵增加定理. 相似文献
11.
In this paper we construct an algorithm of successive approximation type that computes a locally optimal periodic policy for a Markov decision chain with partial state information. The algorithm is applied to a queueing network with server control.The research of this author has been supported by the Netherlands Organization for Scientific Research (N.W.O.). 相似文献
12.
We present information criteria for statistical model evaluation problems for stochastic processes. The emphasis is put on the use of the asymptotic expansion of the distribution of an estimator based on the conditional Kullback–Leibler divergence for stochastic processes. Asymptotic properties of information criteria and their improvement are discussed. An application to a diffusion process is presented. 相似文献
13.
采用构造相容分布与非负上鞅的方法研究任意信源随机和相对熵密度的强极限定理,并由此得出若干任意信源,m阶马氏信源,无记忆信源的随机Shannon-Mcmillan定理.将已有的关于离散信源的结果加以推广. 相似文献
14.
任意信源的一类Shannon-Mcmillan逼近定理 总被引:1,自引:0,他引:1
该文通过概率空间上的任意分布与另一任意分布相比较,研究任意随机序列相对熵密度的小偏差定理.并由此得出若干任意信源,m阶马氏信源的Shannon-Mcmillan定理.将已有的关于离散信源的结果加以推广. 相似文献
15.
Seiji Takano 《Journal of multivariate analysis》1973,3(1):93-101
The problem of multivariate information analysis is considered. First, the interaction information in each dimension is defined analogously according to McGill [4] and then applied to Markov chains. The property of interaction information zero deeply relates to a certain class of weakly dependent random variables. For homogeneous, recurrent Markov chains with m states, m ≥ n ≥3, the zero criterion of n-dimensional interaction information is achieved only by (n ? 2)-dependent Markov chains, which are generated by some nilpotent matrices. Further for Gaussian Markov chains, it gives the decomposition rule of the variables into mutually correlated subchains. 相似文献
16.
采用构造相容分布与非负上鞅的方法的研究m阶马氏信源广义相对熵密度的强极限定理,即广义Shannon-McMillan定理.并由此得出若干马氏信源,无记忆信源的随机Shannon-Mcmillan定理.将已有的马氏信源的结果加以推广 相似文献
17.
Multi-dimensional asymptotically quasi-Toeplitz Markov chains with discrete and continuous time are introduced. Ergodicity
and non-ergodicity conditions are proven. Numerically stable algorithm to calculate the stationary distribution is presented.
An application of such chains in retrial queueing models with Batch Markovian Arrival Process is briefly illustrated.
AMS Subject Classifications Primary 60K25 · 60K20 相似文献
18.
This paper considers the problem of coordinating a single-vendor multi-buyer inventory system when there are privacy restrictions in the information required to solve the problem. The objective function and cost parameters of each facility are regarded as private information that no other facilities in the system have access to. Moreover, each facility is responsible to specify its own replenishment policy. The objective is to minimize the total average setup/ordering and inventory-related cost. Solution methodologies under private and global information are developed to find two types of nested power-of-two stationary policies. The first policy assumes all the buyers must replenish simultaneously. The second policy is a more general case where the common replenishment assumption is relaxed. A simple form of information exchange is uncovered that allows the solution methodologies for private and global information yield the same results. The experimental results suggest that the performance of the proposed heuristics is comparable or better than an existing method. 相似文献
19.
We propose a model of random walks on weighted graphs where the weights are interval valued, and connect it to reversible imprecise Markov chains. While the theory of imprecise Markov chains is now well established, this is a first attempt to model reversible chains. In contrast with the existing theory, the probability models that have to be considered are now non-convex. This presents a difficulty in computational sense, since convexity is critical for the existence of efficient optimization algorithms used in the existing models. The second part of the paper therefore addresses the computational issues of the model. The goal is finding sets of weights which maximize or minimize expectations corresponding to multiple steps transition probabilities. In particular, we present a local optimization algorithm and numerically test its efficiency. We show that its application allows finding close approximations of the globally best solutions in reasonable time. 相似文献
20.
This paper considers the problems of coordinating serial and assembly inventory systems with private information where end-item demands are known over a finite horizon. In a private information environment, the objective function and cost parameters of each facility are regarded as private information that no other facilities in the system have access to. The solution approach decomposes the problem into separable subproblems such that the private information is partitioned as required. Global optimality is sought with an iterative procedure in which the subproblems negotiate the level of material flows between facilities. At the core of the solution procedure is a supplier–buyer link model that can be used as a building block to form other supply chain configurations. Experimental results show that the proposed methodology provides promising results when compared to competing methodologies that disregard information privacy. 相似文献