A new financial stress index model based on support vector regression and control chart

Financial stress index (FSI) is considered to be an important risk management tool to quantify financial vulnerabilities. This paper proposes a new framework based on a hybrid classifier model that integrates rough set theory (RST), FSI, support vector regression (SVR) and a control chart to identify stressed periods. First, the RST method is applied to select variables. The outputs are used as input data for FSI–SVR computation. Empirical analysis is conducted based on monthly FSI of the Federal Reserve Bank of Saint Louis from January 1992 to June 2011. A comparison study is performed between FSI based on the principal component analysis and FSI–SVR. A control chart based on FSI–SVR and extreme value theory is proposed to identify the extremely stressed periods. Our approach identified different stressed periods including internet bubble, subprime crisis and actual financial stress episodes, along with the calmest periods, agreeing with those given by Federal Reserve System reports.     

一个汉英机器翻译系统中的语义处理模型

简略阐述了三种语义分析理论 -配价语法 ,格语法 ,论旨理论后 ,重点介绍了机器翻译系统所采用的语义模型     

Alternative boundaries for CUSUM tests

Alternative boundaries for the common Recursive (or Standard) CUSUM test and the OLS-based CUSUM test for structural change are suggested and their properties are examined by simulation of expectedp values. The poor power of the tests for early and late structural changes can be improved for the OLS-based version, whereas this weakness of the Recursive CUSUM test cannot be overcome by the new boundaries. Research supported by the Austrian Science Foundation (FWF) under grant SFB#010 (‘Adaptive Information Systems and Modeling in Economics and Management Science’).     

从职业流动看失业阻滞与再就业机制

从职业流动视角来看 ,失业具有无流动性、下向流动性和被迫性 ;失业阻滞在于职业流动的规模不大 ,制度约束性太强和观念滞后 ;再就业具有上向流动性和主动性 ;再就业机制是一个由经济驱动机制、制度改革机制、就业观念转变机制和劳动力自由流动机制构成的综合性、动态性结构体系。     

我国产业间波及效应的探讨

从理论上来说,某一产业的变化会引起其它产业间的连锁反映。产业间的波及效应可以通过投入系数表来加以分析。通过实证分析,研究我国产业间波及效应的强弱,可以为国家制定产业政策、优化产业结构提供依据。     

论知识基本属性间的辩证关系

文章论述了知识的真理性的相对性与条件性及知识的确定性、随机性与模糊性的相互联系,指出知识发展的最高成就是科学(自然科学与社会科学)与技术,人们应运用辩证唯物主义和历史唯物主义的观点和方法分析知识基本属性的辩证关系,到实践中去探索、研究和运用知识,为人类文明与进步提供智力支持。     

语言多属性决策的目标规划模型

研究了只有部分属性权重信息、属性值以语言变量或不确定语言变量形式给出且决策者对方案有偏好信息的语言多属性决策问题.给出了语言变量和不确定语言变量的运算法则,以及不确定语言变量之间比较的可能度公式,定义了语言变量的偏离度概念.在属性值以1)语言变量和2)不确定语言变量,这两种形式给出的情形下,分别建立了一个基于偏离度的目标规划模型,并通过求解这两种模型分别获得相应的属性权重.然后对于情形1),利用语言加权平均(LWA)算子,对语言决策信息进行加权集成,继而对方案进行排序和择优;对于情形2),利用不确定语言加权平均(ULWA)算子,对不确定语言决策信息进行加权集成,并利用可能度公式构造可能度矩阵(互补判断矩阵),继而利用互补判断矩阵排序公式对决策方案进行排序和择优.最后进行了实例分析.     

Construction of Fuzzy Control Charts Based on Weighted Possibilistic Mean

The problem of constructing control charts for fuzzy data has been considered in literature. The proposed transformation approaches and direct fuzzy approaches have their advantages and disadvantages. The representative values charts based on transformation methods are often recommended in practical application. For representing a fuzzy set by a crisp value, the weight of importance of the members assigned with some membership levels in a fuzzy set should be considered, and the possibility theory can be employed to deal with such problem. In this article, we propose to employ the weighted possibilistic mean (WPM), weighted interval valued possibilistic mean (WIVPM) of fuzzy number as a sort of representative values for the fuzzy attribute data, and establish new fuzzy control charts with WPM and WIVPM. The performance of the charts is compared to the existing fuzzy charts with a fuzzy c-chart example via newly defined average number of inspection for variation of control state.     

An integrated model based on statistical process control and maintenance for two-stage dependent processes

The close relationship between quality and maintenance of manufacturing systems has contributed to the development of integrated models which use the concept of statistical process control (SPC) and maintenance. This article demonstrates the integration of the Shewhart individual-residual (Z_X ? Z_e) joint control chart and maintenance for two-stage dependent processes by jointly optimizing their policies to minimize the expected total costs associated with quality, maintenance and inspection. To evaluate the effectiveness of the proposed model, two stand-alone models—a maintenance model and an SPC model—are proposed. Then a numerical example is given to illustrate the application of the proposed integrated model. The results show that the integrated model outperforms the two stand-alone models with regard to the expected cost per unit time. Finally, a sensitivity analysis is conducted to develop insights into time parameters and cost parameters that influence the integration efforts.