投资者情绪、平均相关性与股市收益

Pollet和Wilson的研究认为,股市平均相关性-收益关系比股市波动-收益关系能够更好的阐述总体风险-收益关系。本文研究了投资者情绪对股市平均相关性-收益关系的影响。实证结果表明,相比于股市波动,平均相关性对股市预期收益的解释能力明显增强,并且在低情绪期,平均相关性-收益之间的关系并不显著,而在高情绪期,平均相关性-收益关系被削弱为显著的负相关关系,这表明高情绪会削弱总体风险-收益关系。这一结论在随后的稳健性检验中被证明是稳健的。     

基于修剪平均的神经网络集成时序预测方法

由于复杂时序存在结构性断点和异常值等问题,往往导致预测模型训练效果不佳,并可能出现极端预测值的情况。为此,本文提出了基于修剪平均的神经网络集成预测方法。该方法首先从训练数据中生成多组训练集,然后分别训练多个神经网络预测模型,最后将多个神经网络的预测结果使用修剪平均策略进行集成。相较于简单平均策略而言,修剪平均策略不容易受到极值的影响,能够使集成模型获得鲁棒性强的预测效果。在实证研究中,本文构造了两种神经网络集成预测模型,分别为基于修剪平均的自举神经网络集成模型(Trimmed Average based Bootstrap Neural Network Ensemble, TA-BNNE)和基于修剪平均的蒙特卡洛神经网络集成模型(Trimmed Average based Monte Carlo Neural Network Ensemble, TA-MCNNE),并采用这两种模型对NN3竞赛数据集进行预测,结果表明在常规和复杂数据集上,修剪平均策略比简单平均策略具有更好的预测精度。此外,本文将所提出的集成模型与NN3的前十名模型进行比较,发现两种模型在全部数据集上均超过了第6名,在复杂数据集上的表现均超过了第1名,进一步验证本文所提方法的有效性。     

随机需求下基于“自营+外包”模式的配送中心选址-配送问题研究

针对顾客需求量不确定情况下末端配送中心选址及提前备货问题,提出了基于“自营+外包”配送模式的配送中心选址-配送问题。以自营配送中心的固定运行成本、提前备货成本和各种场景下的自营配送成本、外包配送成本以及缺货损失成本的期望值之和最小化为目标,建立了两阶段连续型随机规划模型。第一阶段确定自营配送中心的选址位置和各个配送中心的提前备货量;第二阶段确定各种场景下的自营配送货运量、外包配送货运量和客户点的缺货量等,使总成本期望值达到最小。基于Monte Carlo抽样理论设计了求解模型的样本均值近似方法;以及求解大规模问题L-shaped分解算法。通过模拟算例验证了两阶段随机规划模型的优越性和样本均值近似方法的有效性;并对自营配送中心固定运行成本、单位商品的自营配送成本和外包配送成本等进行灵敏度分析,得到了不同参数对应的最优配送策略,结果表明,正常情况下“自营+外包”配送模式是企业的最佳选择。本文同时将配送中心选址和提前备货量作为随机规划模型的第一阶段决策变量,可以帮助企业降低物流成本、提高顾客的满意度。     

辽宁省综合交通运输体系内部分工合理性分析

综合交通运输体系分工合理性研究对促进各种运输方式合理分工、优势互补、协调发展起着重要作用。以平均里程系数为指标，运用实证分析法，得出目前辽宁省综合交通运输体系内部分工比较合理、各种运输方式之间互补性较强但竞争性不明显的结论，并指出应根据辽宁省经济发展需要在综合交通运输体系内部推行非平衡发展战略。     

COVARIANCE MODELS FOR LATTICE DATA

Given observations on an m × n lattice, approximate maximum likelihood estimates are derived for a family of models including direct covariance, spatial moving average, conditional autoregressive and simultaneous autoregressive models. The approach involves expressing the (approximate) covariance matrix of the observed variables in terms of a linear combination of neighbour relationship matrices, raised to a power. The structure is such that the eigenvectors of the covariance matrix are independent of the parameters of interest. This result leads to a simple Fisher scoring type algorithm for estimating the parameters. The ideas are illustrated by fitting models to some remotely sensed data.     

A Comparison of the Performance of Phase II Simple Linear Profile Control Charts when Parameters are Estimated

The standard deviation of the average run length (SDARL) is an important performance metric in studying the performance of control charts with estimated in-control parameters. Only a few studies in the literature, however, have considered this measure when evaluating control chart performance. The current study aims at comparing the in-control performance of three phase II simple linear profile monitoring approaches; namely, those of Kang and Albin (2000), Kim et al. (2003), and Mahmoud et al. (2010). The comparison is performed under the assumption of estimated parameters using the SDARL metric. In general, the simulation results of the current study show that the method of Kim et al. (2003) has better overall statistical performance than the competing methods in terms of SDARL values. Some of the recommended approaches based solely on the usual average run length properties can have poor SDARL performance.     

我国人口预期寿命的结构及影响因素研究—基于省级面板数据的分析

基于省级面板数据,本文对预期寿命结构及其影响因素问题进行研究。首先,文章分析了我国整体预期寿命及两性预期寿命的地理分布特性,随时间的变化特点,以及与经济发展水平的关系。然后,建立预期寿命的固定效应模型,分析不同影响因素与预期寿命的关系。研究发现经济发展水平、教育和卫生资源对男性和女性预期寿命会产生不同的影响,其中经济发展水平会显著影响女性预期寿命,而教育对男性预期寿命的影响更显著。由此,经济发展水平的提高会导致两性预期寿命差距的增加,而教育水平的提高和卫生资源投入的增加则可能会降低两性预期寿命的差距。     

南朝墓志文体的文学化进程考察

综合传世文献引录与建国以来新出土的南朝墓志资料,系统考察南朝墓志文体的演进过程,可以看出,南朝墓志在其发展定型过程中,逐步形成自身特有的文学品格和审美特征,墓志作品日趋呈现出文学化的创作倾向。如果把这种现象置放于南朝文学与文化的双重背景下去思考,则可以发现,南朝墓志文体之所以呈现出文学化倾向,与南朝葬制的变革、墓志文体承载功能的变化、勋贵与文人的积极参与,以及时代文风的变化等有着重要关系。     

Religion,social milieu,and the contraceptive revolution

This study examines how the social environment of religious congregations affects the spread of contraceptive use in developing contexts, using Mozambique as a case study. Analysis of qualitative data collected in urban areas of that country in 1998-99 and of the data from the 1997 Mozambique Demographic and Health Survey suggests that, in urban areas, the environment of more socioculturally diverse and inclusive Roman Catholic and mission-based Protestant congregations is more propitious to the spread and legitimization of modern contraception than the milieu of smaller, relatively homogeneous, independent churches. In rural areas, however, sociocultural diversity within and across different religious denominations is minimal, and membership in any formal congregation offers an advantage in contraceptive learning.     

Optimal design of repetitive group sampling plans for Weibull and gamma distributions with applications and comparison to the Birnbaum–Saunders distribution

In this paper, we propose a multiple deferred state repetitive group sampling plan which is a new sampling plan developed by incorporating the features of both multiple deferred state sampling plan and repetitive group sampling plan, for assuring Weibull or gamma distributed mean life of the products. The quality of the product is represented by the ratio of true mean life and specified mean life of the products. Two points on the operating characteristic curve approach is used to determine the optimal parameters of the proposed plan. The plan parameters are determined by formulating an optimization problem for various combinations of producer's risk and consumer's risk for both distributions. The sensitivity analysis of the proposed plan is discussed. The implementation of the proposed plan is explained using real-life data and simulated data. The proposed plan under Weibull distribution is compared with the existing sampling plans. The average sample number (ASN) of the proposed plan and failure probability of the product are obtained under Weibull, gamma and Birnbaum–Saunders distributions for a specified value of shape parameter and compared with each other. In addition, a comparative study is made between the ASN of the proposed plan under Weibull and gamma distributions.