Modeling and forecasting of stock index volatility with APARCH models under ordered restriction

This article examines volatility models for modeling and forecasting the Standard & Poor 500 (S&P 500) daily stock index returns, including the autoregressive moving average, the Taylor and Schwert generalized autoregressive conditional heteroscedasticity (GARCH), the Glosten, Jagannathan and Runkle GARCH and asymmetric power ARCH (APARCH) with the following conditional distributions: normal, Student's t and skewed Student's t‐distributions. In addition, we undertake unit root (augmented Dickey–Fuller and Phillip–Perron) tests, co‐integration test and error correction model. We study the stationary APARCH (p) model with parameters, and the uniform convergence, strong consistency and asymptotic normality are prove under simple ordered restriction. In fitting these models to S&P 500 daily stock index return data over the period 1 January 2002 to 31 December 2012, we found that the APARCH model using a skewed Student's t‐distribution is the most effective and successful for modeling and forecasting the daily stock index returns series. The results of this study would be of great value to policy makers and investors in managing risk in stock markets trading.     

地空超短波话音通信网中的越区切换及其关键技术

地空超短波话音通信网是实施航空管制与对空指挥通信的重要基础设施,而越区切 换是其实现连续、不间断地空通信中的重要一环。介绍了地空超短波话音通信网的构成和越 区切换过程,分析比较了地空超短波话音通信网与陆地移动通信系统和数据链系统在越区切 换上的区别,提出并详细阐述了地空超短波话音通信网越区切换的关键技术,展望了地空超 短波话音通信网越区切换的发展方向。     

中国外贸增速变化的行业差异性——基于全球价值链参与度视角

当前,中国出口贸易增速虽然在整体层面上出现大幅下滑,但从行业层面看却表现出巨大的差异性。通过特征事实的考察和初步的相关性分析可以发现,行业层面出口增速变化表现出的差异性与全球价值链分工参与程度的差异性有关。因此在全球经济进入深度调整期,尤其是全球价值链分工边际深化难度逐步加大的背景下,以及中国经济发展进入"新常态",尤其是步入传统比较优势逐步丧失的新阶段后,中国需要依托技术进步等构筑新型比较优势,夯实进一步融入乃至扎根全球价值链的基础;另一方面,应抓住和充分利用"一带一路"倡议提供的机遇,尽快构建起中国自身的全球价值链。这不仅是实现中国出口贸易"稳增长"的战略举措,也是实现出口贸易转型升级和发展更高水平开放型经济的关键所在。     

仿血管路径的无线传感器网络故障容错路由算法

为提高无线传感器网络故障容错性和传输稳定性,实现网络负载 均衡,提出了一种仿血管路径的无线传感器网络故障容错路由算法。研究了人体血管路径特 性及属性关联,对网 络节点分区域等级标定并以不同概率值进行静态分簇,运用改进的蚁群算法BWAS(最优最差 蚂蚁系统)生成节点路 径,以路径信息素值作为传输路径的选择概率建立仿血管拓扑结构路由。因具有多条传输路 径并选择最高概率 作为传输路由, 避免了因节点或链路故障导致数据的延迟或丢失,提高了网络故障容错性和 传输稳定性,实现了网络能耗均衡。理论分析和仿真结果表明此算法具有良好性能。     

基于FTV的改进深度估计算法

深度估计是任意视点电视(Free View Television,FTV)系统的关键技术。为提高深 度边缘的深度估计准确度,并解决视频序列中不同帧间同一深度物体深度估计值不一致问题 ,提出一种在深度图的时间一致性保持算法,以前一帧的深度图与当前视图的运动信息为约 束条件估计当前帧的深度,使得相邻帧的深度图在时间上保持一致。     

机载航电系统射频信道健康表征及影响评估

提出了基于失效模式影响及危害性分析（FMECA）、故障树分析（FTA）和历史案例的 健康表征参数选取原则和方法,探讨了基于隐马尔可夫模型（HMM）和贝叶斯的健康表征方 法及其应用。结合机载航电系统综合化射频信道架构,通过建立的模型对射频信道的健康影 响进行了初步分析,得到了射频信道健康表征的优先参量。基于射频信道的健康表征参量和 影响评估方法的研究对促进开展先进战斗机健康管理技术研究具有重要意义。     

Akaike-type criteria and the reliability of inference: Model selection versus statistical model specification

Since the 1990s, the Akaike Information Criterion (AIC) and its various modifications/extensions, including BIC, have found wide applicability in econometrics as objective procedures that can be used to select parsimonious statistical models. The aim of this paper is to argue that these model selection procedures invariably give rise to unreliable inferences, primarily because their choice within a prespecified family of models (a) assumes away the problem of model validation, and (b) ignores the relevant error probabilities. This paper argues for a return to the original statistical model specification problem, as envisaged by Fisher (1922), where the task is understood as one of selecting a statistical model in such a way as to render the particular data a truly typical realization of the stochastic process specified by the model in question. The key to addressing this problem is to replace trading goodness-of-fit against parsimony with statistical adequacy as the sole criterion for when a fitted model accounts for the regularities in the data.     

Run length distributions for estimated attributes charts

Attributes control charts, such as c and p charts, are popular methods for detecting out of control signals when it is practical only to obtain qualitative information about a process; in such cases, variables control charts, such as the , s and R charts, cannot be used. The run length distributions have previously been studied for variables charts when the control limits have been estimated. Little has been done in the case of attributes charts. In this paper, the run length distributions for the c chart and p chart are derived for the case when the control limits are estimated. It is shown that, as for variables charts, the effect of estimation on quantities such as the average run length (ARL) can be quite dramatic, but when the underlying process is in control, the ARL is potentially misleading as a basis for comparison. Received: September 1998     

Traditional and emergent theories of budgeting: An empirical analysis

This paper examines the usefulness of both traditional and emergent budgeting theories to understanding budget-related behavior in a state geriatic system. The authors used an action-research methodology to acquire evidence. They conclude that the traditional and emergent theories offer differing insights into budgetary behavior and suffer from different shortcomings. Implications for researchers and practitioners are explored.