On the relationship between levinson recursion and the r and s arrays for arma model identification

Motivated by the papers of Woodward and Gray (1979) and Gray, Kelly and McIntire (1978) on the R and S array approach to ARMA modeling, the authors show that the R and S array algorithm is completely equivalent to Levinson recursion. Since entries in the R and S array can be computed by either algorithm, the equivalence provides greater insight into the R and S methodology as well as its links to Akaike's AIC or FPE. Numerical simulations serve to highlight the differences between the various approaches as well as illustrate the problems associated with exact methods. The K and S array approach is shown to be an effective procedure for determining ARMA model orders.     

The Double Gaussian Approximation for High Frequency Data

Abstract High frequency data have become an important feature of many areas of research. They permit the creation of estimators in highly non‐parametric classes of continuous‐time models. In the context of continuous semi‐martingale models, we here provide a locally parametric ‘double Gaussian’ approximation, to facilitate the analysis of estimators. As in Mykland and Zhang (Econometrica, 77, 2009, p. 1403), the error in the approximation can be offset with a postasymptotic likelihood correction. The current approximation is valid in large neighbourhoods, permitting a sharp analysis of estimators that use local behaviour over asymptotically increasing numbers of observations.     

具有热源的二维稳态温度起伏模型

对一个具有对流和热源的二维晶体生长的温度场进行了分析,建立了热传导问题的数学模型,给出了模型的精确解析解,证明了解的唯一性和稳定性,并通过实例计算说明当横向对流存在时,温度场的解在与界面垂直的方向上呈指数型震荡衰减.     

单变量时间序列模型识别方法的实证研究

时间序列分析就是通过研究时间序列中数值上的统计关系,来揭示系统的动态结构特征及其发展变化规律,是一种重要的现代统计分析方法,广泛地应用于自然领域、社会领域的科学研究和思维。在时间序列变量建模的过程中,一般分为模型识别、模型估计和诊断以及模型预测三个步骤,其中模     

非线性时滞偏微分方程解的振动性

研究了一类非线性时滞偏微分方程　解的振动性，其中（ｘ，ｔ）∈Ω×（０，∞），是具有逐片光滑边界的有界区域，得到了方程所有解振动的充分条件。     

Embedding of orthogonal arrays of strength two and deficiency greater than two

Let x ≥ 0 and n ≥ 2 be integers. Suppose there exists an orthogonal array $\text{A(n, q, μ}{}^1\text{)}$ of strength 2 in n symbols with q rows and $\text{n}{}^2\text{μ}{}^1$ columns where $\text{q = q}{}^1\text{? d, q}{}^1\text{= n}{}^2\text{x + n + 1}$, $\text{μ}{}^1\text{= (n ?}\text{1}\text{)x +}\text{1}$ and d is a positive integer. Then d is called the deficiency of the orthogonal array. The question of embedding such an array into a complete array $\text{A(n, q}{}^1\text{, μ}{}^1\text{)}$ is considered for the case d ≥ 3. It is shown that for d = 3 such an embedding is always possible if n ≥ 2(d ? 1)²(2d² ? 2d + 1). Partial results are indicated if d ≥ 4 for the embedding of a related design in a corresponding balanced incomplete block design.     

股票市场短期时间序列投机对经理投资行为的影响

公司投资行为受股票市场投机影响,投机性时间序列的实质是影响信息收集行为,股市短期时间序列投机者选择接收关于外生震荡不确定性的私人信息,博弈经理投资决策并对经理投资行为产生影响。本文基于信息结构研究股票市场短期时间序列投机对经理投资行为的影响,分析股票市场博弈均衡和经理有效均衡行为,阐明经理低效率投资决策行为的实质。     

基于模糊逻辑的偏柔性工作车间调度模型

文章首先介绍了局部柔性工作车间调度以及模糊环境下的调度目标函数等相关概念,然后从预处理、个体编码、算子设计等方面分阶段详细描述了基于模糊逻辑的局部柔性工作车间调度模型,最后通过实例验证了模型的可行性和有效性。     

Isotonic Window Estimators of the Baseline Hazard Function in Cox's Regression Model Under Order Restriction

The regression model suggested by Cox (1972) has been widely used in survival analysis with censored observations. We propose isotonic window estimators for a monotone baseline hazard function in the Cox regression model. We prove that these estimators are asymptotically normal. The simulati on results presented in the article suggest that the proposed estimator performs better than several existing estimators in the literature     

First Partial Differentiation by Computer with an Application to Categorical Data Analysis

A strategy is presented for producing code to evaluate first partial derivatives of a function f by computer. Advantage is taken of the capabilities that a compiler must have simply to bring about the evaluation of f. A bound kt on the time it should take to evaluate the partials of f is developed, where f takes time t to evaluate and k is independent of f. The benefits of the differentiation strategy for weighted least squares analysis of categorical data are discussed.