经济时间序列的X-11季节调整方法(Ⅰ)

本讲座以美国普查局的Ｘ－１１程序为背景，介绍程序中涉及的经济概念和统计方法，并结合实例介绍方法的应用．     

Adaptive expectations and dynamic adjustment in noncooperative games with incomplete information

This paper is concerned with the analysis of a Nash equilibrium of a noncooperative game. It can be shown that, without complete information about the other players' objectives or interests, the group of players, as a whole, can reach a Nash equilibrium by adopting a class of adaptive expectation and dynamic adjustment processes. It is shown that, if the expectation and adjustment processes are made continuously, the stability of the overall dynamic process is independent of the specific mechanisms of the expectation and the adjustment, but depends on the properties of each player's objective or payoff function. If, however, expectation and adjustment processes are made at discrete time intervals, the stability of the discrete process depends on the speed of adjustment chosen by each player.This research was supported by ONR Contract No. N00014-75-C-0738. The authors are indebted to the referee for several valuable comments and suggestions for improvement.     

Optimal matrix approximants in structural identification

Problems of model correlation and system identification are central in the design, analysis, and control of large space structures. Of the numerous methods that have been proposed, many are based on finding minimal adjustments to a model matrix sufficient to introduce some desirable quality into that matrix. In this work, several of these methods are reviewed, placed in a modern framework, and linked to other previously known ideas in computational linear algebra and optimization. This new framework provides a point of departure for a number of new methods which are introduced here. Significant among these is a method for stiffness matrix adjustment which preserves the sparsity pattern of an original matrix, requires comparatively modest computational resources, and allows robust handling of noisy modal data. Numerical examples are included to illustrate the methods presented herein.This research was partially supported by the National Science Foundation under Grant DMS-88-07483 and by NASA under Grant NAG-1-960.     

Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models

The structure of various Gerber-Shiu functions in Sparre Andersen models allowing for possible dependence between claim sizes and interclaim times is examined. The penalty function is assumed to depend on some or all of the surplus immediately prior to ruin, the deficit at ruin, the minimum surplus before ruin, and the surplus immediately after the second last claim before ruin. Defective joint and marginal distributions involving these quantities are derived. Many of the properties in the Sparre Andersen model without dependence are seen to hold in the present model as well. A discussion of Lundberg’s fundamental equation and the generalized adjustment coefficient is given, and the connection to a defective renewal equation is considered. The usual Sparre Andersen model without dependence is also discussed, and in particular the case with exponential claim sizes is considered.     

How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis

In this paper we analyse price fluctuations with the aim of measuring how long the market takes to adjust prices to weak-form efficiency, i.e., how long it takes for prices to adjust to a fractional Brownian motion with a Hurst exponent of 0.5. The Hurst exponent is estimated for different time horizons using detrended fluctuation analysis–a method suitable for non-stationary series with trends–in order to identify at which time scale the Hurst exponent is consistent with the efficient market hypothesis. Using high-frequency share price, exchange rate and stock data, we show how price dynamics exhibited important deviations from efficiency for time periods of up to 15 min; thereafter, price dynamics was consistent with a geometric Brownian motion. The intraday behaviour of the series also indicated that price dynamics at trade opening and close was hardly consistent with efficiency, which would enable investors to exploit price deviations from fundamental values. This result is consistent with intraday volume, volatility and transaction time duration patterns.     

The effect of sound level on perception of reproduced soundscapes

The aim of this work was to investigate the perception of soundscape reproduced by an ambisonic reproduction system on a horizontal plane, how the experience of space affected the perception of soundscape reproduction, and how the sound level adjustment on soundscape reproduction affected the perception of soundscape compared with actual conditions. There were three experiments conducted: a soundwalk in situ in Manchester (United Kingdom) city centre, listening tests in Salford (United Kingdom), and listening tests in Bandung (Indonesia). The listening tests used material recorded from four locations on the soundwalk route in Manchester. The Salford listening tests were performed at the in-situ measured sound level, and the participants were asked to adjust the sound level to the level that represents actual locations. The listening test in Bandung was conducted to understand the effect of participants who never come to the actual location to the perception of soundscape and the sound level adjustment. The listening tests in Bandung were conducted at the in situ sound level, at 9.5 dB below the in situ sound level (based on the preference sound level from the experiment in Salford), and the participants were also requested to adjust the sound level to the level that represents the actual space (to examine the consistency with the experiment in Salford). In each case, soundscape perception was measured on 19 semantic differential scales. Analysis of the semantic differential results showed that the ambisonic reproduction produced a similar subjective experience to the in situ soundwalk when the reproduction sound level was 9.5 dB lower than the actual sound level in situ. Reproduction at the actual sound level in situ produced a different dimensional space. The study shows that the sound level adjustment of soundscape reproduction in laboratory experiment produces more ecologically valid results compared to the reproduction at the actual sound level in situ.     

一种确定整周模糊度搜索空间的方法

模糊度搜索空间的大小是影响模糊度解算效率的关键因素之一.针对传统确定模糊度搜索空间的方法较为保守,致使搜索空间过大,提出了一种基于最小二乘模糊度降相关平差法(LAMBDA)的改进方法.首先对目前模糊度搜索空间确定方法给予了介绍和深入的分析比较,评价了这些经典方法的优缺点.在此基础上,定义了搜索空间的一个影响因子η,并结合LAMBDA方提出了确定模糊度搜索空间的修正公式.基于仿真和实测数据对修正方法进行实验,结果表明方法在保证获得期望模糊度组数的前提下,其确定的模糊度搜索空间包含的整数点个数更小,可保证90%以上实际模糊度组数接近于期望值.     

中国股市波动非对称性的非线性动态调整

针对我国股市波动的现实和投资行为的异质性,利用已实现波动率设定包含多个机制平滑转换结构的自回归模型,研究我国股市波动的非对称性及非对称性的非线性动态调整。模型的检验结果发现,我国股市波动存在一个显著的非线性动态调整机制,机制转换的时点发生在收益率的冲击为1.177个百分点处,转换时点的非负性揭示了市场普遍存在的"售盈持亏"行为;股市波动在两个平稳的自回归机制及其之间非线性平滑调整或转换,但转换的概率偏低,速度较慢,自回归过程的平稳性表明投资者具有"过度自信"的决策行为;波动的非对称性没有表现为确定的杠杆效应,在滞后两期的波动水平较高且信息冲击的程度超过阈值时,股市波动表现为反向杠杆效应。以上估计与检验结果基本准确揭示了市场投资者的行为特征。     

Two-Stage Likelihood Ratio and Union–Intersection Tests for One-Sided Alternatives Multivariate Mean with Nuisance Dispersion Matrix

For a multinormal distribution with an unknown dispersion matrix, union-intersection (UI) tests for the mean against one-sided alternatives are considered. The null distribution of the UI test statistic is derived and its power monotonicity properties are studied. A Stain-type two-stage procedure is proposed to eliminate some of the inherent drawbacks of such tests. Some comparisons are also made with some recently proposed alternative conditional likelihood ratio tests.     

Evaluation of Dead Time Calculation in Reversed-Phase Liquid Chromatography Using a Multiparametric Mathematical Method

In reversed phase liquid chromatography (RP-HPLC), the validity of a multiparametric non-linear least-squares regression iterative method for the determination of the column dead time t_M and the regression parameter (slope b), based on the use of alkan-2-ones, alkyl aryl ketones, and 1-nitroalkanes has been evaluated. The determination of t_M and b has been extensively studied for two mobile phase systems acetonitrile-water and methanol-water on seven octadecyl-C₁₈ and one octyl C₈ analytical columns. The calculated t_M and b values were compared with those obtained by Guardino's and Grobler's methods. The influence exerted thereon by the nature of the homologous series, the mobile phase composition, and the packing materials were investigated.