Comparing Possibly Misspecified Forecasts

Abstract

Recent work has emphasized the importance of evaluating estimates of a statistical functional (such as a conditional mean, quantile, or distribution) using a loss function that is consistent for the functional of interest, of which there is an infinite number. If forecasters all use correctly specified models free from estimation error, and if the information sets of competing forecasters are nested, then the ranking induced by a single consistent loss function is sufficient for the ranking by any consistent loss function. This article shows, via analytical results and realistic simulation-based analyses, that the presence of misspecified models, parameter estimation error, or nonnested information sets, leads generally to sensitivity to the choice of (consistent) loss function. Thus, rather than merely specifying the target functional, which narrows the set of relevant loss functions only to the class of loss functions consistent for that functional, forecast consumers or survey designers should specify the single specific loss function that will be used to evaluate forecasts. An application to survey forecasts of U.S. inflation illustrates the results.     

Statistical Classification Methods in Consumer Credit Scoring: a Review

Credit scoring is the term used to describe formal statistical methods used for classifying applicants for credit into 'good' and 'bad' risk classes. Such methods have become increasingly important with the dramatic growth in consumer credit in recent years. A wide range of statistical methods has been applied, though the literature available to the public is limited for reasons of commercial confidentiality. Particular problems arising in the credit scoring context are examined and the statistical methods which have been applied are reviewed.     

Sequential Estimation of Expectations in the Presence of Trend2

A sequence of independent random variables {Z_n:n≥ 1} with unknown probability distributions is considered and the problem of estimating their expectations {M_n+1: n≥ 1} is examined. The estimation of M_n+1 is based on a finite set {z_k:1≤k≤n}, each z_k being an observed value of Z_k, 1 ≤k≤n, and also based on the assumption that {M_n:n≥ 1} follows an unknown trend of a specified form.     

Semiparametric multinomial logit models for analysing consumer choice behaviour

The multinomial logit model (MNL) is one of the most frequently used statistical models in marketing applications. It allows one to relate an unordered categorical response variable, for example representing the choice of a brand, to a vector of covariates such as the price of the brand or variables characterising the consumer. In its classical form, all covariates enter in strictly parametric, linear form into the utility function of the MNL model. In this paper, we introduce semiparametric extensions, where smooth effects of continuous covariates are modelled by penalised splines. A mixed model representation of these penalised splines is employed to obtain estimates of the corresponding smoothing parameters, leading to a fully automated estimation procedure. To validate semiparametric models against parametric models, we utilise different scoring rules as well as predicted market share and compare parametric and semiparametric approaches for a number of brand choice data sets.     

论统计平均法在证券技术分析中的应用

 平均法是统计分析方法的核心,是统计学的基础和精髓,是大数定律统计思想的极好体现,也是证券技术分析领域中应用最为广泛的统计方法。尽管各种证券技术分析方法丰富多彩,令人眼花缭乱,但平均法却始终发挥着最重要的作用。     

基于理性预期模型的最优货币政策的选择及应用

 本文结合中国经济转轨时期的实际情况,从福利损失和经济稳定性角度出发,比较分析事先承诺和相机抉择这两大最优货币政策规则,研究结果表明：一方面考虑到总需求冲击、总供给冲击和实际汇率冲击对经济产出、通胀、名义利率和实际汇率等各方面方面的影响时,事先承诺的最优货币政策规则对经济稳定性影响要小于相机抉择规则;另一方面事先承诺最优货币政策规则的社会福利损失明显小于相机抉择的福利损失,尤其是中央银行对产出的稳定趋向偏好时。因此,中国人民银行应该注重并采纳事先承诺的最优货币政策规则并为其应用创造各种条件。     

模式识别课程中的统计学方法概述

模式识别是近年来迅速发展的一门学科,在工业、信息处理等领域有广泛应用。本文对模式识别、模式识别与统计学的关系进行了简单介绍,同时介绍了模式识别课程中两种基本的统计学方法：贝叶斯统计决策理论及概率密度估计理论。     

统计方法的几何学研究

文章利用投影定理,推导出平稳时间序列的预报、线性回归模型参数的估计量和假设检验的统计量,并用几何直观图像形象地解释了时间序列未来值的预报,即未来值在现时值和过去值所生成空间中的投影,使对复杂的统计方法的理解变得简单易懂。     

统计代理制的理性探索

基层统计是中国政府统计的基础,提高警惕基层统计质量是提高中国统计数据质量的关键,而建立与社会经济体制相适应的基层统计管理制度又是提高基层统计质量的根本保证.在社会主义市场经济体制下,我国基层统计环境发生了全新变化,为了适应新的变化,必须建立基层统计代理制,基层统计代理制是统计经济成分多元化,社会分工细化,统计利益市场化和统计工作规范化的必然要求 .在我国建立基层统计代理制具有法律可行性,技术档行性和经济可行性.随着统计代理制的实施,我国基层统计的数据来源将会更有保障,数据质量将会稳步提升,工作效率将会大大提高,从而促进我国统计事业兴旺发达.     

The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling

This article generalizes the popular stochastic volatility in mean model to allow for time-varying parameters in the conditional mean. The estimation of this extension is nontrival since the volatility appears in both the conditional mean and the conditional variance, and its coefficient in the former is time-varying. We develop an efficient Markov chain Monte Carlo algorithm based on band and sparse matrix algorithms instead of the Kalman filter to estimate this more general variant. The methodology is illustrated with an application that involves U.S., U.K., and Germany inflation. The estimation results show substantial time-variation in the coefficient associated with the volatility, highlighting the empirical relevance of the proposed extension. Moreover, in a pseudo out-of-sample forecasting exercise, the proposed variant also forecasts better than various standard benchmarks.     

论几种调查统计方法的结合

搜集统计资料,是整个统计工作中很重要的基础工作。搜集统计资料的方法,特别是引进国外的统计方法应当结合中国的实际,做到洋为中用,而且要把多种调查统计方法结合起来,才能搜集到准确、全面、系统的统计资料,以满足分析研究国民经济和社会发展情况的需要。我们设想以全面统计与抽样调查相结合为基础,把各种调查统计方法结合起来,使之互相配套形成体系,建立起比较完善的调查统计方法制度。本文试图从理论上和实践上论述这个问题。     

Statistical Certification of Software Systems

Common software release procedures based on statistical techniques try to optimize the trade-off between further testing costs and costs due to remaining errors. We propose new software release procedures where the aim is to certify with a certain confidence level that the software does not contain errors. The underlying model is a discrete time model similar to the geometric Moranda model. The decisions are based on a mix of classical and Bayesian approaches to sequential testing and do not require any assumption on the initial number of errors.     

The Role of Statistical Models in the Prediction of Tropical Cyclone Motion

Tropical cyclones (tropical storms, hurricanes, typhoons, etc.) occur over many of the earth's tropical marine areas. Responsibility for tracking and predicting the future course of these storms is assigned to one or more domestic or foreign meteorological services. These services routinely activate a number of statistical and dynamical prediction models as objective guidance preparatory to issuing official forecasts on these storms. In this article, the role of the statistical models in this process is examined.     

Some aspects of probability forecasting

The problems of assessing, comparing and combining probability forecasts for a binary events sequence are considered. A Gaussian threshold model (analytically of closed form) is introduced which allows generation of different probability forecast sequences valid for the same events. Chi - squared type test statistics, and also a marginal-conditional method are proposed for the assessment problem, and an asymptotic normality result is given. A graphical method is developed for the comparison problem, based upon decomposing arbitrary proper scoring rules into certain elementary scoring functions. The special role of the logarithmic scoring rule is examined in the context of Neyman - Pearson theory.     

统计指数的贝叶斯方法

一、引言统计指数的编制是统计理论研究的一项重要内容,也是统计分析实践活动一项重要工具。近年来,统计指数在社会经济生活的各个领域都得到了广泛的应用。然而,目前统计指数理论仍然不够成熟,统计指数编制方法还十分单一。与其他统计理论的发展形成鲜明对照,统计指数理论发展到今天,似乎与现代数理统计方法渐行渐远。特别是在统计指数编制的实践中,大量的历史信息(先验信息)被弃之不用,造成信息资源浪费,影响了统计指数编制的准确性。为了促进统计指数理论与现代数理统计方法的融合,进一步发展统计指数理论,丰富统计指数编制方法,充分利用…     

中国消费跨期替代弹性的两种统计估算方法

一、消费跨期替代弹性经验估算的理论与实践意义　　经济活动是包括厂商和消费者在内的各个经济主体的复杂博弈过程 ,消费者是经济活动的主导力量。尽管在特定的条件下 ,单个主体可能既是生产者又是消费者 ,但从生产与消费的关系而言 ,任何经济主体作为消费者时的需求代表了经济活动的最终目标 ,消费需求是经济增长真正和持久的拉动力量。经济政策与发展规划的制定和实施必须建立在对经济规律和经济发展方向的深刻理解和认识的基础上 ;必须顺应市场化和消费者需求的方向。经济出现紧缩或过热趋势有周期性的因素 ,但其根源还在于现有的结构和…     

Application of Stein Rules to Combination Forecasting

We propose some Stein-rule combination forecasting methods that are designed to ameliorate the estimation risk inherent in making operational the variance–covariance method for constructing combination weights. By Monte Carlo simulation, it is shown that this amelioration can be substantial in many cases. Moreover, generalized Stein-rule combinations are proposed that offer the user the opportunity to enhance combination forecasting performance when shrinking the feasible variance–covariance weights toward a fortuitous shrinkage point. In an empirical exercise, the proposed Stein-rule combinations performed well relative to competing combination methods.     

统计在建筑业企业招投标中的作用

一、统计为招投标提供科学的计算方法　　 (一 )在招标阶段统计为制定公平合理的评标办法提供科学的计算方法在招标工作过程中 ,评标定标是关键的环节 ,要体现招标的公平合理、必须具有一个公正合理、科学先进、操作准确的评标办法。现行的评标办法大都是按照过去“合理价中标”的规定而采取的百分制评标办法。作为评标的依据 (评标标底价格 ) ,虽然有的按标底价、有的按投标报价算术平均值、有的按“参考造价”或标底价与投标报价算术平均值的权数取定加权平均价作评标价格 ,有的在加权平均价、标底价等基础上再随机抽取下浮率或事先确定的…     

海洋统计分组与指标改进研究

摘　　要:海洋统计在实施国家海洋战略中具有不可替代的行为导向和信息分析功能。本文建立了统计分组和指标设计的函数模型及分析框架;总结了中国海洋统计规范的演进及不足,提出了海洋经济统计分组与指标类型的改进建议 。