基于ARMA模型的我国第三产业总产值时间序列分析

大多数经济时间序列存在着惯性,或者说具有迟缓性。通过对这种惯性分析,可以由时间序列的当前值对其未来值进行估计。本文从我国历年(1953-2004)的第三产业总产值数据出发,将这些数据平稳化,建立自回归移动平均模型(ARAM),从中找出我国第三产业发展的内在规律性。     

An Updated Literature Review of Distance Correlation and Its Applications to Time Series

The concept of distance covariance/correlation was introduced recently to characterise dependence among vectors of random variables. We review some statistical aspects of distance covariance/correlation function, and we demonstrate its applicability to time series analysis. We will see that the auto‐distance covariance/correlation function is able to identify non‐linear relationships and can be employed for testing the i.i.d. hypothesis. Comparisons with other measures of dependence are included.     

A Frequency-domain Based Test for Non-correlation between Stationary Time Series

A one-sided asymptotically normal test for non-correlation between two stationary time series is proposed based on the spectral coherence function. The test statistic is a properly standardized version of the integrated spectral coherency and has similar asymptotic properties as a previously introduced time domain based test for non-correlation. Unlike its time domain counterpart, the proposed test does not require prewhitening of the time series and, thus, is a truly nonparametric test for non-correlation. In a simulation study, we evaluate the small sample performance of the proposed test in comparison with the time domain test and address the problem of bandwidth selection. Furthermore, we present a modification of the test statistic that allows to test for non-correlation over frequency bands. This version shows higher power of detecting interrelationships restricted to the frequency band of interest. This work has been carried out at the Institute of Applied Mathematics at the University of Heidelberg and partly while the author was visiting the Department of Statistics at the University of Chicago.     

Maximum likelihood estimation for dynamic factor models with missing data

This paper concerns estimating parameters in a high-dimensional dynamic factor model by the method of maximum likelihood. To accommodate missing data in the analysis, we propose a new model representation for the dynamic factor model. It allows the Kalman filter and related smoothing methods to evaluate the likelihood function and to produce optimal factor estimates in a computationally efficient way when missing data is present. The implementation details of our methods for signal extraction and maximum likelihood estimation are discussed. The computational gains of the new devices are presented based on simulated data sets with varying numbers of missing entries.     

Estimation of variances in orthogonal finite discrete spectrum linear regression models

The Invariant Quadratic Estimators, the Maximum Likelihood Estimator (MLE) and Restricted Maximum Likelihood Estimator (REML) of variances in an orthogonal Finite Discrete Spectrum Linear Regression Model (FDSLRM) are derived and the problems of unbiasedness and consistency of these estimators are investigated.Acknowledgement. The research was supported by the grants 1/0272/03, 1/0264/03 and 2/4026/04 of the Slovak Scientific Grant Agency VEGA.     

绿色供应链管理中合作伙伴的评价与选择

合作伙伴的选择是绿色供应链管理中重要的环节之一。本文采用AHP与整数规划相结合的方法,提出一种两阶段的绿色供应链合作伙伴选择与评价模型。     

水利水电天然建筑材料勘察中需注意的问题

天然建筑材料勘察是水利水电工程建设中一项十分重要的基础工作。密切结合设计方案,因地制宜地做好勘察工作,查明工程所需的各类天然建筑材料的储量、质量、开采和运输条件,为工程规划、设计和施工方案提供依据是天然建筑材料勘察的主要任务。大量的工程实践证明,忽视天然建筑材料勘察,将给工程建设造成重大损失。因此,经济合理地提供天然建筑材料,对加快工程建设、降低工程造价具有重要意义。