AN IMPROVED COMPOUND ESTIMATOR FOR ROBUST REGRESSION

ABSTRACT

Advances in statistical computing software have led to a substantial increase in the use of ordinary least squares (OLS) regression models in the engineering and applied statistics communities. Empirical evidence suggests that data sets can routinely have 10% or more outliers in many processes. Unfortunately, these outliers typically will render the OLS parameter estimates useless. The OLS diagnostic quantities and graphical plots can reliably identify a few outliers; however, they significantly lose power with increasing dimension and number of outliers. Although there have been recent advances in the methods that detect multiple outliers, improvements are needed in regression estimators that can fit well in the presence of outliers. We introduce a robust regression estimator that performs well regardless of outlier quantity and configuration. Our studies show that the best available estimators are vulnerable when the outliers are extreme in the regressor space (high leverage). Our proposed compound estimator modifies recently published methods with an improved initial estimate and measure of leverage. Extensive performance evaluations indicate that the proposed estimator performs the best and consistently fits the bulk of the data when outliers are present. The estimator, implemented in standard software, provides researchers and practitioners a tool for the model-building process to protect against the severe impact from multiple outliers.     

具有GARCH（1，1）-正态误差项的非对称单位根检验研究

摘　　要:理论研究表明许多经济变量呈现出非对称的门限自回归（TAR）或动态门限自回归（M-TAR）数据生成机制,因而非对称单位根检验就成为该领域的主要研究方向之一。本文对非对称单位根检验Enders-Granger方法在GARCH（1,1）-正态误差项下的检验水平与检验势作了系统的仿真研究。研究表明：GARCH（1,1）-正态误差项的TAR或M-TAR模型会对该方法的检验水平和检验势产生重要影响。     

Inference in hybrid Bayesian networks using dynamic discretization

We consider approximate inference in hybrid Bayesian Networks (BNs) and present a new iterative algorithm that efficiently combines dynamic discretization with robust propagation algorithms on junction trees. Our approach offers a significant extension to Bayesian Network theory and practice by offering a flexible way of modeling continuous nodes in BNs conditioned on complex configurations of evidence and intermixed with discrete nodes as both parents and children of continuous nodes. Our algorithm is implemented in a commercial Bayesian Network software package, AgenaRisk, which allows model construction and testing to be carried out easily. The results from the empirical trials clearly show how our software can deal effectively with different type of hybrid models containing elements of expert judgment as well as statistical inference. In particular, we show how the rapid convergence of the algorithm towards zones of high probability density, make robust inference analysis possible even in situations where, due to the lack of information in both prior and data, robust sampling becomes unfeasible.     

经济预测中的Monte Carlo模拟及方差控制——以国际石油价格预测为例

从MDnte Carlo模拟的实现过程入手，首先通过对Monte Carlo方法原理的阐述来介绍该种方法。进一步结合具体的实例通过计算机进行模拟来解释Monte Carlo方法的具体实现过程。重点讨论在选择合理的数据生成过程的前提下，如何在Monte Carlo方法中减少模拟方差，从而提高估计精度，更好地应用这种方法来进行经济预测。     

ADF单位根检验中联合检验F统计量研究

摘　　要:ADF检验是实际中最常用的单位根检验之一。ADF检验式有三种：（1）不含漂移项和趋势项;（2）只含漂移项不含趋势项;（3）既含漂移项也含趋势项。选用的检验式是否合适将直接影响到ADF检验的功效。为解决ADF检验过程中检验式的选择问题,本文首先从理论上推导了检验式（3）中时间趋势项系数δ与yz-1系数γ的联合检验统计量F的渐近分布;然后,应用蒙特卡罗模拟的方法研究了上述统计量与检验式（2）中关于漂移项α与系数γ的联合检验统计量的分布特征,进而给出了两统计量分布百分位数关于样本容量的响应面函数,从而进一步完善了单位根检验理论与方法。     

Extensions of Fill's algorithm for perfect simulation

Fill's algorithm for perfect simulation for attractive finite state space models, unbiased for user impatience, is presented in terms of stochastic recursive sequences and extended in two ways. Repulsive discrete Markov random fields with two coding sets like the auto-Poisson distribution on a lattice with 4-neighbourhood can be treated as monotone systems if a particular partial ordering and quasi-maximal and quasi-minimal states are used. Fill's algorithm then applies directly. Combining Fill's rejection sampling with sandwiching leads to a version of the algorithm which works for general discrete conditionally specified repulsive models. Extensions to other types of models are briefly discussed.     

试论民族地区普通中学多媒体课件制作及管理

运用现代教育技术提高教学效率是民族地区普通中学发展的必由之路。只有正确认识民族地区普通中学教育技术应用的背景,加强对此类教学资源的管理,才能使之更好服务于教学,提高民族地区教学实践活动的效率。     

A Comparison of Some Methods for the Selection of a Common Eigenvector Model for the Covariance Matrices of Two Groups

Two new nonparametric common principal component model selection procedures based on bootstrap distributions of the vector correlations of all combinations of the eigenvectors from two groups are proposed. The performance of these methods is compared in a simulation study to the two parametric methods previously suggested by Flury in 1988, as well as modified versions of two nonparametric methods proposed by Klingenberg in 1996 and then by Klingenberg and McIntyre in 1998. The proposed bootstrap vector correlation distribution (BVD) method is shown to outperform all of the existing methods in most of the simulated situations considered.     

Probability Generating Function Based Jeffrey's Divergence for Statistical Inference

Statistical inference procedures based on transforms such as characteristic function and probability generating function have been examined by many researchers because they are much simpler than probability density functions. Here, a probability generating function based Jeffrey's divergence measure is proposed for parameter estimation and goodness-of-fit test. Being a member of the M-estimators, the proposed estimator is consistent. Also, the proposed goodness-of-fit test has good statistical power. The proposed divergence measure shows improved performance over existing probability generating function based measures. Real data examples are given to illustrate the proposed parameter estimation method and goodness-of-fit test.     

基于自组织的大型建筑企业控制力协同进化研究

针对大型建筑企业控制力动态协同的定量化仿真问题,基于复杂系统视角,应用自组织理论分析大型建筑企业控制力自组织耦合网络作用关系,选择有效朗之万方程构建大型建筑企业控制力系统的自组织协同进化模型,通过线性近似法的性态稳定求解非线性方程的稳定性,得出大型建筑企业控制力系统协同进化演化过程的四个决定性参数,并通过MATLAB软件进行参数枚举取值,具体分析企业控制力协同演化。案例验证该模型可对大型建筑企业控制力协同演化最佳状态实现更加精确的参数取值,并发现大型建筑企业控制力协同演化最佳状态的充要条件,以及一种新的大型建筑企业控制力协同演化状态。