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1.
ABSTRACT We present a method to approximate and forecast, on an entire interval, a continuous-time process. For this purpose, we use the modelization of ARH(l) processes, defined by Bosq (1991). We deal with the practical problem of the discretization of the observed trajectories and approximate them by means of spline functions. We show by simulations that for well-chosen smoothing parameters, good prediction can be obtained in comparison with the “predictable” part of the process. Finally, we apply this model to forecast road traffic and compare it with a SARIMA model.  相似文献   

2.
This paper shows how cubic smoothing splines fitted to univariate time series data can be used to obtain local linear forecasts. The approach is based on a stochastic state‐space model which allows the use of likelihoods for estimating the smoothing parameter, and which enables easy construction of prediction intervals. The paper shows that the model is a special case of an ARIMA(0, 2, 2) model; it provides a simple upper bound for the smoothing parameter to ensure an invertible model; and it demonstrates that the spline model is not a special case of Holt's local linear trend method. The paper compares the spline forecasts with Holt's forecasts and those obtained from the full ARIMA(0, 2, 2) model, showing that the restricted parameter space does not impair forecast performance. The advantage of this approach over a full ARIMA(0, 2, 2) model is that it gives a smooth trend estimate as well as a linear forecast function.  相似文献   

3.
With the aim of assessing the extent of the differences in the context of Italian educational system, the paper applies multilevel modeling to a new administrative dataset, containing detailed information for more than 500,000 students at grade 6 in the year 2011/2012, provided by the Italian Institute for the Evaluation of Educational System. Data are grouped by classes, schools and geographical areas. Different models for each area are fitted, in order to properly address the heteroscedasticity of the phenomenon. The results show that it is possible to estimate statistically significant “school effects”, i.e., the positive/negative association of attending a specific school and the student’s test score, after a case-mix adjustment. Therefore, the paper’s most important message is that school effects are different in terms of magnitude and types in the three geographical macro areas (Northern, Central and Southern Italy) and are dependent on specific students’ and schools’ characteristics.  相似文献   

4.
Preface     
The appearance of this issue will mark almost two years since its inception by the late Editor, Professor Don B. Owen. Professor Malay Ghosh suggested a special issue on Pitman's Measure of Closeness (PMC) to Professor Owen in autumn of 1989. After a thorough review process the issue was finalized in June 1991. It is with remorse that we publish this special issue in memory of Professor Owen.

The completion of the issue coincided with a special conference, “Pitman's Measure of Cfoseness: Celebrating a Decade of Renaissance,” held on June 15, 1991 at the University of Texas at San Antonio (UTSA). The papers in this special issue, except those of Professor Kubokawa and Drs. Bertuzzi and Gandolfi, were presented and discussed. The conference participants included C.R. Rao (Pennsylvania State University), Colin Blyth (Queen's University), and H.T. David (Iowa State University). Further, P.K. Sen (University of North Carolina) and Malay Ghosh (University of Florida) gave keynote addresses that respectively set the themes for the morning and afternoon sessions.

The conference banquet held in the Regent's Room at the University of Texas at San Antonio, featured stimulating addresses by C.R. Rao and Colin Blyth on some of the major controversies of PMC such as intransitiveness and Berkson's conjecture. We are grateful to the University of Texas at San Antonio for making this conference a reality. In particular, we thank Professor Shair Ahmad, Director of the Division of Mathematics, Computer Science, and Statistics at UTSA for funding travel expenses not only for the invited speakers but also for many of the younger researchers. We also acknowledge University President Samuel Kirkpatrick who made the KIVA room available for the technical sessions and the Regent's Room for the Banquet. We also acknowledge the financial support of Bell Helicopter Textron, Inc. as a cosponsor of the conference.  相似文献   

5.
An important problem for fitting local linear regression is the choice of the smoothing parameter. As the smoothing parameter becomes large, the estimator tends to a straight line, which is the least squares fit in the ordinary linear regression setting. This property may be used to assess the adequacy of a simple linear model. Motivated by Silverman's (1981) work in kernel density estimation, a suitable test statistic is the critical smoothing parameter where the estimate changes from nonlinear to linear, while linearity or non- linearity requires a more precise judgment. We define the critical smoothing parameter through the approximate F-tests by Hastie and Tibshirani (1990). To assess the significance, the “wild bootstrap” procedure is used to replicate the data and the proportion of bootstrap samples which give a nonlinear estimate when using the critical bandwidth is obtained as the p-value. Simulation results show that the critical smoothing test is useful in detecting a wide range of alternatives.  相似文献   

6.
A survey of business schools was conducted to obtain information about the current state of the teaching of business statistics to students enrolled in M.B.A. degree programs. The survey was undertaken for and presented at a June 1986 conference on “Making Statistics More Effective in Schools of Business,” held at the University of Chicago's Graduate School of Business. Information was elicited concerning both the required statistics sequence and elective statistics courses for M.B.A. students, as well as computer usage in these courses. This article summarizes the information obtained from the survey.  相似文献   

7.
The purpose of this paper is to identify a relationship between pupils' mathematics and reading test scores and the characteristics of students themselves, stratifying for classes, schools and geographical areas. The data set of interest contains detailed information about more than 500,000 students at the first year of junior secondary school in the year 2012/2013, provided by the Italian Institute for the Evaluation of Educational System. The innovation of this work is in the use of multivariate multilevel models, in which the outcome is bivariate: reading and mathematics achievement. Using the bivariate outcome enables researchers to analyze the correlations between achievement levels in the two fields and to predict statistically significant school and class effects after adjusting for pupil's characteristics. The statistical model employed here explicates account for the potential covariance between the two topics, and at the same time it allows the school effect to vary among them. The results show that while for most cases the direction of school's effect is coherent for reading and mathematics (i.e. positive/negative), there are cases where internal school factors lead to different performances in the two fields.  相似文献   

8.
In fitting regression model, one or more observations may have substantial effects on estimators. These unusual observations are precisely detected by a new diagnostic measure, Pena's statistic. In this article, we introduce a type of Pena's statistic for each point in Liu regression. Using the forecast change property, we simplify the Pena's statistic in a numerical sense. It is found that the simplified Pena's statistic behaves quite well as far as detection of influential observations is concerned. We express Pena's statistic in terms of the Liu leverages and residuals. The normality of this statistic is also discussed and it is demonstrated that it can identify a subset of high Liu leverage outliers. For numerical evaluation, simulated studies are given and a real data set has been analysed for illustration.  相似文献   

9.
Point and interval estimators for small domains based exclusively on current and domain specific sample observations are generally ineffective because of inadequate sample-sizes. So, borrowing strength from sample values for analogous domains and simultaneously from all relevant past and auxiliary data is useful in deriving improved small domain statistics. Postulating for simplicity a linear regression model with a single covariate and a zero intercept but a time-specific domain-invariant slope we start with “synthetic” generalized regression predictors for the domain totals. These borrow across only domains. For further improvements a simple autoregressive model is postulated for the slope parameters. Employing Kalman filtering the previous predictors are revised to borrow supplementary strength across time. As drastic simplifying assumptions are needed in such predictions the efficacy of the procedure is examined through an empirical exercise using live data as well as simulations. The numerical findings turn out encouraging.  相似文献   

10.
This article examines the behavior of equity trading volume and volatility for the individual firms composing the Standard & Poor's 100 composite index. Using multivariate spectral methods, we find that fractionally integrated processes best describe the long-run temporal dependencies in both series. Consistent with a stylized mixture-of-distributions hypothesis model in which the aggregate “news”-arrival process possesses long-memory characteristics, the long-run hyperbolic decay rates appear to be common across each volume-volatility pair.  相似文献   

11.
李昕  谭莹 《统计研究》2019,36(7):26-38
通过比较资本外流的三种核算口径,本文将间接法与权益差额调整法相结合,对我国1982-2016年资本外流的规模进行估计。结果显示,2008年全球金融危机以来,我国资本外流规模逐年增加且近年呈增速递增趋势。通过构建非限制性VAR模型,本文进一步对导致资本外流的结构性与周期性“推动”及“拉动”因素进行分析,经验结果显示,2008年全球金融危机爆发至2013年美联储货币周期转向以前,导致我国资本外流的主要因素为人民币贬值预期与我国经济周期性调整等国内“推动”因素。2014年以来,我国资本外流进一步加剧主要受美国经济复苏步伐加快以及我国房地产市场调整等国内外“拉动”与“推动”因素共同作用。其中,外部“拉动”因素是主要诱因。在资本加速流出背景下,我国金融开放步伐应渐进审慎。  相似文献   

12.
The gist of the quickest change-point detection problem is to detect the presence of a change in the statistical behavior of a series of sequentially made observations, and do so in an optimal detection-speed-versus-“false-positive”-risk manner. When optimality is understood either in the generalized Bayesian sense or as defined in Shiryaev's multi-cyclic setup, the so-called Shiryaev–Roberts (SR) detection procedure is known to be the “best one can do”, provided, however, that the observations’ pre- and post-change distributions are both fully specified. We consider a more realistic setup, viz. one where the post-change distribution is assumed known only up to a parameter, so that the latter may be misspecified. The question of interest is the sensitivity (or robustness) of the otherwise “best” SR procedure with respect to a possible misspecification of the post-change distribution parameter. To answer this question, we provide a case study where, in a specific Gaussian scenario, we allow the SR procedure to be “out of tune” in the way of the post-change distribution parameter, and numerically assess the effect of the “mistuning” on Shiryaev's (multi-cyclic) Stationary Average Detection Delay delivered by the SR procedure. The comprehensive quantitative robustness characterization of the SR procedure obtained in the study can be used to develop the respective theory as well as to provide a rational for practical design of the SR procedure. The overall qualitative conclusion of the study is an expected one: the SR procedure is less (more) robust for less (more) contrast changes and for lower (higher) levels of the false alarm risk.  相似文献   

13.
During the summer of 2013, a joint team involving Duke University Libraries and IBM spent three months configuring IBM Business Process Manager to improve electronic resources workflows in the Libraries’ Technical Services department. The resulting workflow showcases the application's ability to transform the management of online databases. This article will provide an overview of the “before” and “after” database workflow, with a demo of the new system and its integration points with other tools.  相似文献   

14.
The monitoring of web servers through statistical frameworks is of utmost important in order to verify possible suspicious anomalies in network traffic or misuse actions that compromise integrity, confidentiality, and availability of information. In this paper, by considering the Plackett copula function, we propose a bivariate beta-autoregressive moving average time-series model for proportion data over time, which is the case for variables present in web server monitoring such as error rates. To illustrate the proposed methodology, we monitor a Brazilian web server's rate of connection synchronization and rejection errors in a web system, with error logging rate in the past 10?min. In essence, the entire methodology may be generalized to any number of time-series of error rates.  相似文献   

15.
Harold Hotelling, Chairman of the Committee on the Teaching of Statistics* * Members of the Committee: Harold Hotelling, (Chairman), Professor of Mathematical Statistics and Associate Director, Institute of Statistics, University of North Carolina; Dr. W. Edwards Deming, Division of Statistical Standards, Bureau of the Budget, Washington, D. C.; Dr. Walter Bartky, Dean of Arts and Sciences. University of Chicago; Dr. Milton Friedman Associate Professor of Statistics, School of Business, University of Chicago; Dr. Paul G. Hoel, Associate Professor of Mathematics, University of California, Los Angeles. of the Institute of Mathematical Statistics, has prepared this brief-summary of the Committee's report to the Board of Directors of IMS. Professor Hotelling will discuss the subject more fully in “Symposium on Probability and Statistics” to be published by the University of California Press. The Committee's report will be published in full in “The Annals of Mathematical Statistics”.

  相似文献   

16.
We investigate by simulation how the wild bootstrap and pairs bootstrap perform in t and F tests of regression parameters in the stochastic regression model, where explanatory variables are stochastic and not given and there exists no heteroskedasticity. The wild bootstrap procedure due to Davidson and Flachaire [The wild bootstrap, tamed at last, Working paper, IER#1000, Queen's University, 2001] with restricted residuals works best but its dominance is not strong compared to the result of Flachaire [Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap, Comput. Statist. Data Anal. 49 (2005), pp. 361–376] in the fixed regression model where explanatory variables are fixed and there exists heteroskedasticity.  相似文献   

17.
This article suggests that the emphasis on forecast evaluations should be redirected from searching for “best” forecasters to finding those who are “better.” A new methodology is developed, and the results indicate that it is possible to identify “better” forecasters.  相似文献   

18.
This article considers how scanner data could be used in constructing component indexes for the U.S. Consumer Price Index. One product, coffee, in two cities generates over 1.8 million observations in just over two years, so coping with the sheer volume of data would be a challenge. Some other findings are (1) some aggregation of prices into “unit-value” averages is necessary for practical reasons and to avoid bias, (2) chained Laspeyres indexes are very high, (3) “modified” Laspeyres indexes have some upward bias but much less than a true Laspeyres index, (4) Fisher ideal or modified Edgeworth indexes perform well, and (5) aggregating prices across outlets to form city-level unit values reduces the discrepancies between index-number formulas.  相似文献   

19.
In past studies of consumer loyalty changes in brand attributes over time were generally unobservable and treated as additional model parameters. In this study we consider ski resorts, for which observable quality attributes change frequently. Using a repeated-purchase model with observed time-variant brand attributes, indicators for state dependence, and individual heterogeneity, we show that purchase history and time-variant site characteristics have a significant and offsetting effect on repurchase decisions. This suggests a third category of consumer along with habit formers and variety seekers, the “play-it-by-ear” type, who, unaffected by purchase history, moves across brands in pursuit of high quality.  相似文献   

20.
关于大统计学理论问题的再思考   总被引:3,自引:1,他引:2       下载免费PDF全文
杨灿 《统计研究》1997,14(1):24-28
关于大统计学理论问题的再思考杨灿ABSTRACT"GeneralStatistics",asaninnovatoryconception,isreasonablebecauseitac-cordswiththeinherentrequirements...  相似文献   

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