Optimum covariate designs in split-plot and strip-plot design set-ups

The problem considered is that of finding optimum covariate designs for estimation of covariate parameters in standard split-plot and strip-plot design set-ups with the levels of the whole-plot factor in r randomised blocks. Also an extended version of a mixed orthogonal array has been introduced, which is used to construct such optimum covariate designs. Hadamard matrices, as usual, play the key role for such construction.     

Theory & Methods: Residual Diagnostic Plots for Checking for Model Mis‐specification in Time Series Regression

This paper considers residuals for time series regression. Despite much literature on visual diagnostics for uncorrelated data, there is little on the autocorrelated case. To examine various aspects of the fitted time series regression model, three residuals are considered. The fitted regression model can be checked using orthogonal residuals; the time series error model can be analysed using marginal residuals; and the white noise error component can be tested using conditional residuals. When used together, these residuals allow identification of outliers, model mis‐specification and mean shifts. Due to the sensitivity of conditional residuals to model mis‐specification, it is suggested that the orthogonal and marginal residuals be examined first.     

小区域家庭户预测的理论、方法与应用

小区域人口和家庭户预测越来越受到学界和社会各界的重视 ,但该领域的研究受方法论和数据可得性等的限制 ,还存在许多没有解决的问题。而且发展中国家的综合家庭户和人口预测更是少见。本文应用近年来有关家庭人口学、区域人口学、小区域人口估计的理论和方法的最新成果 ,采用多维动态宏观家庭户预测模型ProFamy,对中国两个区域泰和县和深圳特区的人口和家庭户进行了同时、一致的预测。通过实际应用 ,提出了小区域家庭户预测的理论、方法和应用的一些思考     

从概念整合理论解读中国古典诗词

运用Fauconnier和Turner等人提出的概念整合理论,从认知层面来解读中国古典诗词,旨在说明概念整合是一种非常普遍的认知活动,具有极强的认知解释力。概念整合理论一方面丰富了关于中国古典诗词的研究,有助于人们对中国古典诗词的欣赏;另一方面证明了概念整合理论对中国古典诗词有着很强的阐释力,同时也有助于人们对概念整合这一新兴理论的了解。     

基于投影降维技术的期权组合非线性VaR模型

高维期权组合VaR值的计算时间和计算工作量随着市场风险因子维数的增加而迅速增加.为此,引入投影降维技术,用少数几个风险因子来解释高维期权组合总的风险,并结合快速卷积方法,建立了基于投影降维技术的市场风险因子呈厚尾分布情形下的期权组合非线性VaR模型,达到减少计算时间和计算工作量的目的,同时期权组合价值变化的信息又没有太大的损失.数值结果表明,投影降维技术能够达到与快速卷积方法、Monte-Carlo方法差不多的估算精度,而计算效率明显优于快速卷积方法、Monte-Carlo方法,计算时间和计算工作量明显减少.     

混合HOGA-SVM财务风险预警模型实证研究

目前涉及遗传算法与支持向量机相结合的预测模型中,遗传算法基本上采用的是标准算法.但是在对全局函数的优化中,一般的遗传算法容易陷入局部最优,从而降低遗传算法收敛速度和搜索精度,进而影响财务风险预警模型的精度与速度.基于此,提出了基于混合全局优化正交遗传算法(HOGA)和支持向量机(SVM)的财务风险预警模型(HOGA-SVM),通过使用混合全局优化正交遗传算法连同支持向量机来改进支持向量机进行财务风险预警的效果.结果显示,提出的模型不仅提高了财务风险预警的准确率和速度,而且模型的两类分类错误率(尤其是第一类分类错误率)相对其他模型也有了明显下降.未来的工作可以把模型的应用扩大到多分类的财务风险预警问题中.     

基于压缩感知的非线性OFDM系统迭代信道估计算法

针对因非线性失真引起的正交频分复用（orthogonal frequency division multiplexing,OFDM）系统信道估计性能下降的问题,提出了一种基于压缩感知的非线性OFDM系统迭代信道估计算法。在算法实现过程中,利用信道与非线性噪声的双重稀疏性,将导频信息作为观测矩阵进行压缩感知信道估计,再将所得信道信息看作观测矩阵进行压缩感知非线性失真估计,进而对信号进行非线性补偿,并逐步循环迭代至算法收敛。仿真表明,在稀疏信道下,该算法在较少的迭代次数下即可有效减小非线性失真对信道估计的影响,且比现有方法性能更优,仿真证明了该方法在性能上的优越性。     

Double filter instrumental variable estimation of panel data models with weakly exogenous variables

In this article, we propose instrumental variables (IV) and generalized method of moments (GMM) estimators for panel data models with weakly exogenous variables. The model is allowed to include heterogeneous time trends besides the standard fixed effects (FE). The proposed IV and GMM estimators are obtained by applying a forward filter to the model and a backward filter to the instruments in order to remove FE, thereby called the double filter IV and GMM estimators. We derive the asymptotic properties of the proposed estimators under fixed T and large N, and large T and large N asymptotics where N and T denote the dimensions of cross section and time series, respectively. It is shown that the proposed IV estimator has the same asymptotic distribution as the bias corrected FE estimator when both N and T are large. Monte Carlo simulation results reveal that the proposed estimator performs well in finite samples and outperforms the conventional IV/GMM estimators using instruments in levels in many cases.     

Orthogonal series density estimation for complex surveys

We propose an orthogonal series density estimator for complex surveys, where samples are neither independent nor identically distributed. The proposed estimator is proved to be design-unbiased and asymptotically design-consistent. The asymptotic normality is proved under both design and combined spaces. Two data driven estimators are proposed based on the proposed oracle estimator. We show the efficiency of the proposed estimators in simulation studies. A real survey data example is provided for an illustration.