基于非线性拟合的水库泥沙预报模型研究——以丹江口水库为例

水库泥沙淤积量的预报,对水库合理调度,使其发挥应有的综合效益有着重要的意义。本文利用高斯——牛顿下降法,对水库泥沙淤积量W(t)的非线性拟合进行了探讨,并以丹江口水库泥沙淤积量W(t)预测为例,依据汉江几十年的实测统计资料,阐述了基于MATLAB的高斯——牛顿法非线性拟合的方法和步骤。从本文提出的丹江口水库的库淤积量非线性拟合的实际算法可以看出,用所得非线性拟合函数来预测的结果与实测的结果非常接近,这说明本文的分析研究结果提出的方法是行之有效的。     

Explanations of the inconsistencies in survey respondents’ forecasts

A comparison of the point forecasts and the probability distributions of inflation and output growth made by individual respondents to the US Survey of Professional Forecasters indicates that the two sets of forecasts are sometimes inconsistent. We evaluate a number of possible explanations, and find that not all forecasters update their histogram forecasts as new information arrives. This is supported by the finding that the point forecasts are more accurate than the histograms in terms of first-moment prediction.     

Conditional-logit Bayes estimators for consumer valuation of electric vehicle driving range

Range anxiety – consumers’ concerns about limited driving range – is generally considered an important barrier to the adoption of electric vehicles. If consumers cannot overcome these fears it is unlikely that they will consider purchasing an electric car. Hence, a successful introduction of low emission vehicles in the market requires a full understanding of consumer valuation of driving range. By analyzing experimental data on vehicle purchase decisions in California, I derive and study the statistical behavior of Bayes estimates that summarize consumer concerns toward limited driving range. These estimates are superior to marginal utilities as parameters of interest in a discrete demand model of vehicle choice. One of the empirical results is the posterior distribution of the willingness to pay for electric vehicles with improved batteries offering better driving range. Credible intervals for this willingness to pay, as well as both parametric and nonparametric heterogeneity distributions, are also analyzed.     

Equilibrium price and advertisement distributions

We consider an economy where many sellers sell identical goods to many buyers. Each seller has a unit supply and each buyer has a unit demand. The only possible information flow about prices is through costly advertising. We show that in equilibrium the sellers use mixed strategies in pricing which leads to price and advertisement distributions. With convex advertising costs each seller sends only one advertisement in the market. We also delineate a class of advertising costs which ensures that sellers may send multiple advertisements in equilibrium. Higher prices are advertised more than lower prices.     

上海市电力消费影响因素的实证分析

文章对上海市电力消费的各影响因素进行分析,运用新型的数据分析技术-分层变换筛选拟合法,在各影响因素存在耦合关系的条件下进行了定量分析。本文不仅给出各影响因素对上海市电力消费的重要度指标,而且确定这些影响因素与上海市电力消费需求之间的定量关系,为上海市电力市场分析提供了理论依据。     

Basic Process Capability Indices: An Expository Review

A review of the four basic process capability indices has been made. The interrelationship among these indices has been highlighted. Attention has been drawn to their drawbacks. The relation of these indices to the proportion nonconforming has been dwelt upon and the requirement of the adequate sample size has been emphasized. Cautionary remarks on the use of these indices in the case of nonnormal distributions, skewed distributions, and autocorrelated data are also presented. The effect of measurement error on process capability indices has been dealt with in great detail.     

A new family of bivariate max-infinitely divisible distributions

In this article we discuss the asymptotic behaviour of the componentwise maxima for a specific bivariate triangular array. Its components are given in terms of linear transformations of bivariate generalised symmetrised Dirichlet random vectors introduced in Fang and Fang (Statistical inference in elliptically contoured and related distributions. Allerton Press, New York, 1990). We show that the componentwise maxima of such triangular arrays is attracted by a bivariate max-infinitely divisible distribution function, provided that the associated random radius is in the Weibull max-domain of attraction.     

Efficient hybrid methods for portfolio credit derivatives

In this paper we discuss the computation of basket credit default swaps and collateralized debt obligation squared transactions. We suggest two hybrid algorithms for these two portfolio credit derivatives. The method combines the analytic approximation to the loss distribution of conditionally independent heterogeneous portfolios with the Monte Carlo simulation. The efficiency and accuracy of the algorithms are illustrated with examples.     

Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations

A bivariate generalized autoregressive conditional heteroskedastic model with dynamic conditional correlation and leverage effect (DCC-GJR-GARCH) for modelling financial time series data is considered. For robustness it is helpful to assume a multivariate Student-t distribution for the innovation terms. This paper proposes a new modified multivariate t-distribution which is a robustifying distribution and offers independent marginal Student-t distributions with different degrees of freedom, thereby highlighting the relationship among different assets. A Bayesian approach with adaptive Markov chain Monte Carlo methods is used for statistical inference. A simulation experiment illustrates good performance in estimation over reasonable sample sizes. In the empirical studies, the pairwise relationship between the Australian stock market and foreign exchange market, and between the US stock market and crude oil market are investigated, including out-of-sample volatility forecasts.     

No-dynamic-arbitrage and market impact

Starting from a no-dynamic-arbitrage principle that imposes that trading costs should be non-negative on average and a simple model for the evolution of market prices, we demonstrate a relationship between the shape of the market impact function describing the average response of the market price to traded quantity and the function that describes the decay of market impact. In particular, we show that the widely assumed exponential decay of market impact is compatible only with linear market impact. We derive various inequalities relating the typical shape of the observed market impact function to the decay of market impact, noting that, empirically, these inequalities are typically close to being equalities.