Data visualization and forecast combination for probabilistic load forecasting in GEFCom2017 final match

This paper describes the methods used by Team Cassandra, a joint effort between IBM Research Australia and the University of Melbourne, in the GEFCom2017 load forecasting competition. An important first phase in the forecasting effort involved a deep exploration of the underlying dataset. Several data visualisation techniques were applied to help us better understand the nature and size of gaps, outliers, the relationships between different entities in the dataset, and the relevance of custom date ranges. Improved, cleaned data were then used to train multiple probabilistic forecasting models. These included a number of standard and well-known approaches, as well as a neural-network based quantile forecast model that was developed specifically for this dataset. Finally, model selection and forecast combination were used to choose a custom forecasting model for every entity in the dataset.     

A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change

We consider the power properties of the CUSUM and CUSUM of squares (CUSQ) tests in the presence of a one-time change in the parameters of a linear regression model. A result due to Ploberger and Krämer [1990. The local power of the cusum and cusum of squares tests. Econometric Theory 6, 335–347.] is that the CUSQ test has only trivial asymptotic local power in this case, while the CUSUM test has non-trivial local asymptotic power unless the change is orthogonal to the mean regressor. The main theme of the paper is that such conclusions obtained from a local asymptotic framework are not reliable guides to what happens in finite samples. The approach we take is to derive expansions of the test statistics that retain terms related to the magnitude of the change under the alternative hypothesis. This enables us to analyze what happens for non-local to zero breaks. Our theoretical results are able to explain how the power function of the tests can be drastically different depending on whether one deals with a static regression with uncorrelated errors, a static regression with correlated errors, a dynamic regression with lagged dependent variables, or whether a correction for non-normality is applied in the case of the CUSQ. We discuss in which cases the tests are subject to a non-monotonic power function that goes to zero as the magnitude of the change increases, and uncover some curious properties. All theoretical results are verified to yield good guides to the finite sample power through simulation experiments. We finally highlight the practical importance of our results.     

Sampling Techniques for Big Data Analysis

In analysing big data for finite population inference, it is critical to adjust for the selection bias in the big data. In this paper, we propose two methods of reducing the selection bias associated with the big data sample. The first method uses a version of inverse sampling by incorporating auxiliary information from external sources, and the second one borrows the idea of data integration by combining the big data sample with an independent probability sample. Two simulation studies show that the proposed methods are unbiased and have better coverage rates than their alternatives. In addition, the proposed methods are easy to implement in practice.     

交互效应面板模型的EM算法和MCMC算法

交互效应面板模型是目前计量经济学前沿研究的热点,有着广阔的应用空间。但是对很多应用者而言,模型内的参数估计是一个非常棘手的问题。通常的Newton-Raphson算法在优化似然函数的过程中,常常会出现优化失败的情况。本文依据EM算法和MCMC算法理论,为应用研究者提供了一套获得参数估计值的流程。计算机上的试验证实两种估计方法都非常稳健可靠,并在很多情况下,差异不是很大。     

技术进步对二氧化碳排放的影响分析——基于静态和动态面板数据模型

深入研究技术进步对节能减排的作用,对于协调中国经济发展和环境保护的关系具有重要的现实意义。本文基于2000~2011年中国30个省份的面板数据,分别应用静态和动态面板数据模型,考察技术进步对二氧化碳排放的影响。静态和动态面板数据模型都表明前一期技术进步能够显著地减少本期二氧化碳排放,技术进步对节能减排有显著的作用,但是技术进步对节能减排的作用有一定的时滞。因此,中国应该加大研发投入,鼓励技术创新,加快技术扩散的速度。     

Stepwise ordinal efficiency for the random assignment problem

We introduce a notion of efficiency, called Stepwise Ordinal Efficiency (SOE), and prove that it coincides with a fairness notion of interim favoring ranks, in the sense of Harless (2018). We also prove that SOE implies ordinal efficiency, while it is not compatible with rank efficiency. Then, we provide an impossibility result which states that no mechanism meets SOE, weak strategy-proof, and strong equal treatment of equals. Finally, we show that a modified eating algorithm satisfies SOE.     

A Wald test for the cointegration rank in nonstationary fractional systems

This paper develops new methods for determining the cointegration rank in a nonstationary fractionally integrated system, extending univariate optimal methods for testing the degree of integration. We propose a simple Wald test based on the singular value decomposition of the unrestricted estimate of the long run multiplier matrix. When the “strength” of the cointegrating relationship is less than 1/2, the test statistic has a standard asymptotic distribution, like Lagrange Multiplier tests exploiting local properties. We consider the behavior of our test under estimation of short run parameters and local alternatives. We compare our procedure with other cointegration tests based on different principles and find that the new method has better properties in a range of situations by using information on the alternative obtained through a preliminary estimate of the cointegration strength.     

XML技术的房地产估价数据标准研究

XML已经逐渐发展为一种数据存储和数据交换的格式标准,并在网络内容发布、数据交换、数据存储、电子商务、数据库等领域得到广泛应用。尽管如此,目前国内房地产信息系统开发企业仍未采用XML技术来规范房地产行业的数据标准。为规范和统—房地产业务软件开发用语用词,实现房地产估价行业信息传输和互联互通,本文提出了基于可扩展的标记语言（XML）技术的房地产估价数据标准,并结合房地产市场基础信息给出了基于XML技术的房地产估价数据标准制定的应用实例,为房地产估价数据系统的搭建提供参考,以规范和统一我国房地产行业的估价数据标准。     

Estimation of the change point of a distribution based on the number of failed test items

This paper discusses the family of life distributions with failure rate functions which decrease initially until a change point and remain constant thereafter. The paper focuses on the estimation for the change point of the failure rate function. While point estimation of the change point of the failure rate function has been discussed by some authors, one can hardly find any existing work on the interval estimation of the change point. In this paper, a method for constructing approximate confidence intervals for the change point is proposed. The proposed approximate confidence intervals are based on the number of failed test items at or before a fixed inspection time. Received: September 1999     

一种面向智能变电站和生产管理系统设备在线监测的数据转换模型

在线监测是实现电网设备状态检修和生命周期管理的前提,而有效的设备数据转换模型是在线监测的基础。通过对智能变电站及生产管理系统的标准、规范进行分析,提出一种用于智能变电站和生产管理系统设备在线监测的数据转换模型。对生产管理系统的设备信息数据模型进行分类总结,基于交换用XML数据对生产管理系统和IEC 61850标准数据模型进行对比,对变电站设备的铭牌信息、运行信息以及监测信息采用标签映射与ID索引相结合的方法,实现智能变电站到生产管理系统的数据转换。     

基于互联网大数据的CPI舆情指数构建与应用

研究目标：基于互联网大数据构建CPI舆情指数辅助预测CPI。研究方法：提出了一种构建CPI低频与高频舆情指数的统计方法,并通过选用2006年6月至2015年12月的数据验证了该方法的有效性。研究发现：相关关键词的搜索热度指标具有领先CPI的预测作用,依此建立的CPI舆情指数有助于改进CPI预测精度。研究创新：揭示了基于相关关键词的搜索热度指标与CPI的非线性关系,提出了一种基于门限回归的CPI低频舆情指数构建方法;使用动态因子模型估计出了CPI高频舆情指数。研究价值：预测CPI时可辅助利用基于大数据构建的CPI低频与高频舆情指数信息。     

Interior point methods, a decade after Karmarkar—a survey, with application to the smallest eigenvalue problem

The introduction of Karmarkar's polynomial algorithm for linear programming (LP) in 1984 has influenced wide areas in the field of optimization. While in the 1980s emphasis was on developing and implementing efficient variants of interior point methods for LP, the 1990s have shown applicability to certain structured nonlinear programming and combinatorial problems. We will give a historical account of the developments and illustrate the typical results by analyzing a new method for computing the smallest eigenvalue of a matrix. We formulate this latter problem as a so-called semidefinite optimization problem. Semidefinite optimization has recently gained much attention since it has a lot of applications in various fields (like control and system theory, combinatorial optimization, algebra, statistics, structural design) and semidefinite problems can be efficiently solved with interior point methods.     

Another view on optimal design for estimating the point of extremum in quadratic regression

In this paper we illustrate how certain design problems can be simplified by reparametrization of the response function. This alternative viewpoint provides further insights than the more traditional approaches, like minimax, Bayesian or sequential techniques. It will also improve a practitioner’s understanding of more general situations and their “classical” treatment.     

石家庄城市史研究的起点问题

城市史上限应该与城市行政区史的开端相区别,现代新兴城市无需掩饰历史尚短的实际情况.把握石家庄城市史起点的关键问题,是"因路而兴".城市史研究起点不同于确定城市建立的纪念日,不必过于精细具体,石家庄城市化的计时器启动于20世纪初,是适逢其会、应时对景的一个巧合.     

三亚大桥荷载试验方案设计

详细介绍了三亚大桥静载试验方案的具体设计,试验内容包括试验加载车辆确定、试验孔跨及控制断面、应变片布设、测试内容及保障措施等。在具体的项目测试过程中完全按照既定的试验方案进行,效果良好。     

移动学习与数据挖掘技术的关联及应用研究

随着网络技术与通信技术的迅速发展,移动学习呈现出强大的发展势头。本文提出利用数据挖掘技术对移动学习网站客观数据进行分析研究,对移动学习及数据挖掘技术研究者具有一定的启发意义和参考价值。     

A less sensitive linear detector for the change point based on kernel smoothing method

In this paper, a new detecting procedure for the change point in the mean is proposed based on a linear kernel smoother. It uses a discontinuous kernel function and has a relative high constant efficiency in an interval of shift value and thus is less sensitive than the simple CUSUM, EWMA, FMA and Shiryayev-Roberts procedures. It also generalizes the FMA procedure.     

Forecast encompassing tests for the expected shortfall

We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES has received much attention since its introduction into the Basel III Accords, which stipulate its use as the primary market risk measure for international banking regulation. We utilize joint loss functions for the pair ES and Value at Risk to set up three ES encompassing test variants. The tests are built on an asymptotic theory that is robust to misspecifications. We investigate the finite sample properties of the tests in an extensive simulation study. Finally, we use the encompassing tests to illustrate the potential of forecast combination methods for different financial assets.     

网络教学试题库与智能组卷系统的设计与实现

文章介绍了一个基于校园网的试题库与智能组卷系统的设计理论和实现技术。基于.NET技术实现了系统体系结构设计和数据库设计,使教学有了更为客观的考核与评估方式,实现了考教分离。