变点估计的相合性及其应用

文章主要研究了均值变点估计问题,给出了变点的累积和型估计,证明了变点估计的相合性。利用EViews软件,分别对总体上证指数数据和变点之后的数据建立状态空间模型,通过比较预测结果的绝对百分比误差(APE),得出基于变结构的分段数据所建立的模型预测效果较好的结论。     

中国多维相对贫困测度及其分布动态演进

文章基于中国31个省份2013—2019年多维相对贫困的相关数据，采用AF方法、Dagum基尼系数和Kernel密度估计方法对中国多维相对贫困状况及其分布动态进行分析。研究发现：我国扶贫减贫效果显著，2019年重度多维相对贫困省份已经消除，多维相对贫困指数分解结果表明，经济维度的减贫效果最为明显，社会发展维度次之，而生态环境维度在减贫过程中尚未得到足够重视；中国多维相对贫困具有明显的空间非均衡性，总体基尼系数跨度较大并且下降明显，多维相对贫困的总体差异在缩小；中国多维相对贫困状况的总体发展态势与三大地区的发展态势具有空间上的一致性。总体来看，我国多维相对贫困的整体状况有所改善，绝对差距也在缩小。     

边境连片特困区多维贫困测算与空间分布——以新疆南疆三地州为例

利用2012年国家统计局新疆调查总队农村住户调查数据,采用AF多维贫困测量方法,测算了新疆南疆三地州多维贫困状况,研究了贫困空间分布与区域差异,得到以下结论:从多维贫困程度看,多维贫困发生率为24.5%,多维贫困指数为0.138;从多维贫困组成看,收入低、饮水困难、教育水平低、卫生条件差、少数民族汉语能力差等是核心问题,且收入贫困户几乎都是多维贫困户;从多维贫困空间分布看,克州地区最为严重,其次为和田地区和喀什地区,阿克陶县和疏勒县形成第一贫困级,阿图什市和和田县形成第二贫困级,疏附县和墨玉县形成第三贫困级,其他各县形成第四贫困级,且边境县多维贫困状况更加恶劣。     

多维经济数据质量诊断的"投影寻踪"法

异常数据的存在通常会导致经济数量分析得出有偏误的甚至是错误的结论,因此必须进行数据质量的诊断。本文介绍并研究了一种多维经济数据诊断的有效方法——"投影寻踪法",并以中国"GDP增长-消费增长"数据为例进行了实践检验,证明了它不但可以诊断出数据中的异常值点,而且可以充分保留和利用多维数据的结构性和相关性关系。     

交通基础设施、空间溢出与农村多维减贫

文章运用我国2007—2017年的省级面板数据,通过构建空间面板模型,实证检验了交通基础设施对农村多维贫困的影响效应。研究发现：我国农村收入、教育和医疗贫困指数均具有显著的空间正相关性,并且在空间分布上存在明显的集聚特征。交通基础设施的发展具有显著的多维减贫效应,不仅能促进本地区的农村收入、教育和医疗减贫,而且还可以通过空间溢出效应减缓其他地区的农村收入、教育和医疗贫困,其中,对农村收入贫困减缓两种效应均最大。因此,应加快贫困地区交通基础设施的建设,优化交通网络的空间布局,发挥好交通基础设施的减贫效应,以促进农村多维减贫。     

时变参数状态空间模型估计研究

在宏观经济和金融资本市场上广泛存在着非线性时变参数时间序列,而当前的研究主要关注静态参数状态空间模型的估计。本文通过引入变点分析,改进了静态参数的粒子学习滤波技术,提出了变点粒子学习滤波技术,用于估计时变参数状态空间模型。并且利用模拟实验同经典的变结构IMM滤波技术进行了对比,结果显示,本文提出的变点粒子学习滤波在动态模拟样本数据方面具有更大的优势。可以用于对股票价格和成交量的联合动态轨迹进行实时的模拟追踪。     

三维数据点序列及其累加生成

一、引言 灰色系统理论把社会系统、经济系统、生态系统这些抽象系统称为本征性灰色系统,通常用一系列时间序列、指标序列或空间分布序列来代表这些系统的行为特征数据,如某地区某年的社会人口增长指数、国民经济生产总值、某年某月的地区降水量等等,其中每一个序列中的数据元实际上就是某一个坐标轴上的数据点,多个序列构成了多维空间.对于非本征灰色系统,如受噪音干扰的技术系统、人体系统、电力系统等等,同样其行为特征数据也可以用一系列的数据序列来表示,每个序列中的数据元也都是某一数轴上的一些点.随着灰色系统理论的发展,其应用领域得到了不断的拓宽,尤其是在工程领域中的应用.但其应用仍然是围绕着某个或多个数据序列,数据序列中的数据元素依然还是一维数轴上的一些点.     

含有协变量的复发事件变点模型的参数估计

针对复发事件数据协变量的重要作用,建立含有协变量的复发事件变点模型,考虑协变量作用于强度率函数的情形。对于此模型,使用最大似然方法得到变点及各参数估计,并得到了变点估计的相合性。最后对于同时存在待估参数和待估变点的似然函数,采用最速上升法进行了数据模拟。     

泊松序列中变点的快速识别方法

对于泊松序列中的变点问题,文章提出了一个快速有效的用于判断变点是否存在,以及当变点存在时确定未知变点位置的统计方法.进而,通过分析两个煤矿灾难的实际数据,阐释所提方法的准确性和有效性.     

乡村振兴发展水平的时空演变及多维环境规制的影响效应

在可持续发展框架下,文章基于2000—2019年我国31个省份的面板数据,从“产业兴旺、生态宜居、乡风文明、治理有效、生活富裕”等多维视角出发,对各省份乡村振兴发展水平的空间格局及其动态演变进行分析,并利用动态面板模型揭示多维环境规制对乡村振兴的作用机制。结果表明：我国乡村振兴发展水平整体呈上升趋势,表现出东高西低的时空非平衡性及空间集聚特征;多维环境规制对乡村振兴具有正向反馈机制,通过环境规制→生态环境改善→生态宜居→乡村振兴的路径产生作用;异质性视角下,多维环境规制对乡村振兴的激励效应随分位点提高而增强。     

Real-time reliability evaluation of two-phase Wiener degradation process

Reliability modeling and evaluation for the two-phase Wiener degradation process are studied. For many devices, the degradation rates could possibly increase or decrease in a non smooth manner at some point in time due to the change of degradation mechanism. A two-phase Wiener degradation process with an unobserved change point is used to model the degradation process. And we assume that the change point varies randomly from device to device. Furthermore, we integrate historical data and up-to-date observation data to improve the degradation modeling and evaluation based on Bayesian method. The change point between the two phases was obtained based on the Akaike information criterion (AIC) and the criterion of the residual sum of squares. Finally, a real example of liquid coupling devices (LCDs) and a numeric example are discussed to demonstrate the effectiveness of the proposed method. The results show that the proposed method is effective and efficient.     

A Likelihood Integrated Method for Exploratory Graphical Analysis of Change Point Problem with Directional Data

In this article we introduce a new likelihood based method, called the likelihood integrated method, which is distinct from the well-known integrated likelihood method. We use the likelihood integrated to propose a simple exploratory graphical analysis for the change point problem in the context of directional data. The method is applied to analysis of two real life data sets. The results obtained by application of this simple method are seen to be quite similar to those obtained earlier by different formal methods in most cases. A small simulation study is conducted to assess the effectiveness of this procedure in indicating presence of change point.     

Empirical likelihood ratio test for a mean change point model with a linear trend followed by an abrupt change

In this paper, a change point model with the mean being constant up to some unknown point, and increasing linearly to another unknown point, then dropping back to the original level is studied. A nonparametric method based on the empirical likelihood test is proposed to detect and estimate the locations of change points. Under some mild conditions, the asymptotic null distribution of an empirical likelihood ratio test statistic is shown to have the extreme distribution. The consistency of the test is also proved. Simulations of the powers of the test indicate that it performs well under different assumptions of the data distribution. The test is applied to the aircraft arrival time data set and the Stanford heart transplant data set.     

A simple least squares method for estimating a change in mean

A simple least squares method for estimating a change in mean of a sequence of independent random variables is studied. The method first tests for a change in mean based on the regression principle of constrained and unconstrained sums of squares. Conditionally on a decision by this test that a change has occurred, least squares estimates are used to estimate the change point, the initial mean level (prior to the change point) and the change itself. The estimates of the initial level and change are functions of the change point estimate. All estimates are shown to be consistent, and those for the initial level and change are shown to be asymptotically jointly normal. The method performs well for moderately large shifts (one standard deviation or more), but the estimates of the initial level and change are biased in a predictable way for small shifts. The large sample theory is helpful in understanding this problem. The asymptotic distribution of the change point estimator is obtained for local shifts in mean, but the case of non-local shifts appears analytically intractable.     

基于正态分布点值化的区间主成分评价法及应用

针对区间数据点值化过程中所存在的“代表性不足”的缺陷,提出了基于正态分布的点值化方法并将之应用于区间主成分评价法。通过与基于中心点值化的区间主成分法的比较,得到三个主要结论：第一,基于正态分布的点值化方法能将各样品的点值化结果导向指标均值,而非区间值的中心点;第二,基于正态分布的点值化结果增加了数据信息量;第三,基于正态分布点值化的区间主成分评价法提高了数据降维效果,具有更好的因子命名能力。应用结果表明,在考虑正态分布情况下,对区间数据的点值化处理方法具有较好的效果,基于正态分布点值化的方法可推广至基于区间数的评价和决策问题。     

Detection and estimation of structural change in heavy-tailed sequence

In this paper, bootstrap detection and ratio estimation are proposed to analysis mean change in heavy-tailed distribution. First, the test statistic is constructed into a ratio form on the CUSUM process. Then, the asymptotic distribution of test statistic is obtained and the consistency of the test is proved. To solve the problem that the null distribution of the test statistic contains unknown tail index, we present a bootstrap approximation method to determine the critical values of the null distribution. We also discuss how to estimate change point based on ratio method. The consistency and rate of convergence for the change-point estimator are established. Finally, the excellent performance of our method is demonstrated through simulations using artificial and real data sets. Especially the simulation results of bootstrap test are better than those of another existing method.     

Estimation of a Change Point in a Hazard Function Based on Censored Data

The hazard function plays an important role in reliability or survival studies since it describes the instantaneous risk of failure of items at a time point, given that they have not failed before. In some real life applications, abrupt changes in the hazard function are observed due to overhauls, major operations or specific maintenance activities. In such situations it is of interest to detect the location where such a change occurs and estimate the size of the change. In this paper we consider the problem of estimating a single change point in a piecewise constant hazard function when the observed variables are subject to random censoring. We suggest an estimation procedure that is based on certain structural properties and on least squares ideas. A simulation study is carried out to compare the performance of this estimator with two estimators available in the literature: an estimator based on a functional of the Nelson-Aalen estimator and a maximum likelihood estimator. The proposed least squares estimator tums out to be less biased than the other two estimators, but has a larger variance. We illustrate the estimation method on some real data sets.     

Guaranteed testing for epidemic changes of a linear regression model

The objective of this paper is to propose and examine a class of generalized maximum likelihood asymptotic power one tests for detection of various types of changes in a linear regression model. The proposed retrospective tests are based on martingales structures Shiryayev–Roberts statistics. This approach is widely known in a sequential analysis of change point problems as an optimal method of detecting a change in distribution. Guaranteed non-asymptotic upper bounds for the significance levels of the considered tests are presented.Simulated data sets are used to demonstrate that the proposed tests can give good results in practice.     

Estimation of a change point in the hazard rate of Lindley model under right censoring

In this article, we consider a single change point model for a sudden change in the hazard rate of Lindley distribution to model right-censored survival data. We derive the quantile function to generate random numbers from the proposed distribution by using the Lambert function. The maximum likelihood estimation method is used to estimate parameters of the change point model. A simulation study is also carried out to analyze the performance of the estimators. To validate our findings, a dataset on bone marrow transplant for patients of acute lymphoblastic leukemia is analyzed using the proposed model and is compared with the existing exponential single change point model.     

Statistical analysis of right-censored failure-time data with partially specified hazard rates

This paper discusses the analysis of right-censored failure-time data in which the failure rate may have different forms in different time intervals. Such data occur naturally, for example, in demography studies and leukemia research, and a number of methods for the analysis have been proposed in the literature. However, most methods are purely parametric or nonparametric. Matthews and Farewell (1982), for example, discussed this problem and proposed a method for testing a constant failure rate against a failure rate involving a change point. To estimate an absolute limit on the attainable human life span, Zelterman (1992) discussed a hazard function that has different parametric forms over different time intervals. We consider a different situation in which the hazard function may follow a parametric form before a change point and is completely unknown after the change point. To test the existence of the change point, a modified maximal-censored-likelihood-ratio test is proposed and its asymptotic properties are studied. A bootstrap method is described for finding critical values of the proposed test. Simulation results indicate that the test performs well.