一类结合Outlier分析的单变量ARIMA模型在股票市场中的应用

本文通过对当前广泛使用的经济时间序列预测方法的分析比较,针对如股票价格这一类易受到大量外部因素影响且难以通过多变量建模分析的经济现象,采用了单变量ARIMA模型并结合Outlier分析的方法。实证分析表明了此方法具有良好的效果。     

Variance stabilizing filters#

Abstract

In this paper new filters for removing unspecified form of heteroscedasticity are proposed. The filters build on the assumption that the variance of a pre-whitened time series can be viewed as a latent stochastic process by its own. This makes the filters flexible and useful in many situations. A simulation study shows that removing heteroscedasticity before fitting a model leads to efficiency gains and bias reductions when estimating the parameters of ARMA models. A real data study shows that pre-filtering can increase the forecasting precision of quarterly US GDP growth.     

基于动态时间规整的面板数据聚类方法研究及应用

以往的面板数据聚类方法存在一些缺陷,有必要基于动态时间规整的思路进一步改进与完善面板数据聚类方法。利用国家级经济技术开发区数据开展的实证分析结果表明：新的方法既能够很好地反映面板数据的动态变化、又避免了已有的面板数据聚类方法中各种距离如何赋权的问题,聚类结果较为稳定且有很好的可视化效果。     

季节调整方法的历史演变及发展新趋势

本文梳理了季节调整方法的历史演变过程,深入分析了当前季节调整方法的理论、实践的最新发展趋势,找出我国在季节调整理论研究和实践应用方面存在的差距,提出加强我国季节调整理论研究和实践应用的建议。     

The inverse 1-maxian problem with edge length modification

We consider the problem of modifying the lengths of the edges of a graph at minimum cost such that a prespecified vertex becomes a 1-maxian with respect to the new edge lengths. The inverse 1-maxian problem with edge length modification is shown to be strongly -hard and remains weakly -hard even on series-parallel graphs. Moreover, a transformation of the inverse 1-maxian problem with edge length modification on a tree to a minimum cost circulation problem is given which solves the original problem in . This research has been supported by the Austrian Science Fund (FWF) Project P18918-N18.     

Recursive Behavior of Safety Stock Reduction: The Effect of Lead‐Time Uncertainty

Motivated by a recent paper on the effect of lead‐time variability reduction on safety stocks, we provide evidence of the recursive nature of safety stock changes. When lead times follow a gamma distribution we demonstrate that, for cycle service levels between .60 and .70, the reduction of lead‐time variability will first increase safety stock and then either recursively decrease safety stock or make it remain constant. We also numerically show the existence of the recursive effect. A two‐by‐two matrix is introduced to assist managers in making decisions regarding safety stock policy.     

A “maximum node clustering” problem

In this note we introduce a graph problem, called Maximum Node Clustering (MNC). We prove that the problem (which is easily shown to be strongly NP-complete) can be approximated in polynomial time within a ratio arbitrarily close to 2. For the special case where the graph is a tree, the problem is NP-complete in the ordinary sense; for this case we present a pseudopolynomial algorithm based on dynamic programming, and a related Fully Polynomial Time Approximation Scheme (FPTAS). Also, the tree case is shown to be exactly solvable in time, where n is the number of nodes.     

爱因斯坦的思想遗产与现时代

爱因斯坦是20世纪最伟大的人、科学家和思想家,他的“真实”的自我、科学思想和哲学等思想等都呈现出“一种普遍的、非私人的、超私人的生命”,它们影响了当时的科学进步、社会发展和人的自我完善,至尽仍具有振聋发聩的精神力量,并将在21世纪里继续发出光和热。      

Applying Process Knowledge for Yield Variation Reduction: A Longitudinal Field Study*

The widespread recognition of the detrimental effects of high yield variation in advanced manufacturing technology settings, both in terms of cost and management of production processes, underscores the need to develop effective strategies for reducing yield variation. In this article, we report the findings of a longitudinal field study in an electromechanical motor assembly plant where we examined how the application of process knowledge by production work teams can reduce yield variation. We propose and provide an operationalizion of a strategy to identify the sequence of particular types of actions—actions to control the mean followed by actions to control the variance—that work teams should pursue over time to apply process knowledge for reducing yield variation. The results of our empirical analysis show that yield variation was significantly reduced on three of the four production lines at the manufacturing plant that served as our research site. Differences in strategies for applying process knowledge help explain the different results on each of the production lines.     

东汉疫灾初探

东汉疫灾主要发生在王朝初期与后期,春季发生的可能性较大,夏季发生的可能性最小,一年当中正月发生的可能性最大,具有明显的连续两年发生特征。京师洛阳、扬州会稽等地是疫灾高发区。疫灾成因复杂。疫灾是三国鼎立局面形成的因素之一,黄巾大起义与疫灾关系密切,医学在对抗疫灾的过程中获得了长足的发展。