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排序方式: 共有112条查询结果,搜索用时 15 毫秒
1.
过程变量在代表产品或服务过程信息时并非完美,而使用模糊数可能是另一较好途径。文章进一步完善模糊累积和控制图,其中使用中心和扩展具有重抽样分布的模糊随机变量,并给出模拟例证。 相似文献
2.
Henrik Amilon 《Journal of forecasting》2003,22(4):317-335
An Erratum has been published for this article in Journal of Forecasting 22(6‐7) 2003, 551 The Black–Scholes formula is a well‐known model for pricing and hedging derivative securities. It relies, however, on several highly questionable assumptions. This paper examines whether a neural network (MLP) can be used to find a call option pricing formula better corresponding to market prices and the properties of the underlying asset than the Black–Scholes formula. The neural network method is applied to the out‐of‐sample pricing and delta‐hedging of daily Swedish stock index call options from 1997 to 1999. The relevance of a hedge‐analysis is stressed further in this paper. As benchmarks, the Black–Scholes model with historical and implied volatility estimates are used. Comparisons reveal that the neural network models outperform the benchmarks both in pricing and hedging performances. A moving block bootstrap is used to test the statistical significance of the results. Although the neural networks are superior, the results are sometimes insignificant at the 5% level. Copyright © 2003 John Wiley & Sons, Ltd. 相似文献
3.
Dag Kolsrud 《Journal of forecasting》2007,26(3):171-188
I propose principles and methods for the construction of a time‐simultaneous prediction band for a univariate time series. The methods are entirely based on a learning sample of time trajectories, and make no parametric assumption about its distribution. Hence, the methods are general and widely applicable. The expected coverage probability of a band can be estimated by a bootstrap procedure. The estimate is likely to be less than the nominal level. Expected lack of coverage can be compensated for by increasing the coverage in the learning sample. Applications to simulated and empirical data illustrate the methods. Copyright © 2007 John Wiley & Sons, Ltd. 相似文献
4.
Some test statistics of Kolmogorov type and Cramér-von Mises type based on projection pursuit technique are proposed for the
testing problem of sphericity of a high-dimensional distribution. The limiting distributions of the test statistics are derived
under the null hypothesis and under any fixed alternative. The asymptotic properties of bootstrap approximation are investigated.
Furthermore, for computational reasons, an approximation for the statistics, based on the number theoretic method, is suggested.
An erratum to this article is available at . 相似文献
5.
尾部指标估计中的阈值选择 总被引:1,自引:0,他引:1
本文研究如何用较好的方法选择一个适当的阈值,计算尾部指标的Hill估计,然后加以比较,并以美元对日元的汇率为例,说明方法的使用. 相似文献
6.
The problem of prediction in time series using nonparametric functional techniques is considered. An extension of the local linear method to regression with functional explanatory variable is proposed. This forecasting method is compared with the functional Nadaraya–Watson method and with finite‐dimensional nonparametric predictors for several real‐time series. Prediction intervals based on the bootstrap and conditional distribution estimation for those nonparametric methods are also compared. Copyright © 2010 John Wiley & Sons, Ltd. 相似文献
7.
The Information Content of Equity Block Trades on the Warsaw Stock Exchange: Conventional and Bootstrap Approaches 下载免费PDF全文
Bartosz Kurek 《Journal of forecasting》2016,35(1):43-53
This paper focuses on the Polish stock market by analysing the information content of 95 equity block trade transactions executed on shares of companies constituting the WIG20 index. A normalized conventional approach and a bootstrap approach are used to draw inferences. These approaches make use of a multivariate regression model with two explanatory variables: a market return and a dummy variable for the event. Resampling allows construction of an empirical distribution of the normalized test statistic. The outcomes obtained from the application of a normalized conventional approach as well as a bootstrap approach are in line and confirm that equity block trade transactions carry an important signal to investors. Significant abnormal positive (negative) returns are associated with the execution of the equity block trades, the prices of which are higher (lower) than the closing prices 2 days before the execution of the equity block trade transactions. Copyright © 2015 John Wiley & Sons, Ltd. 相似文献
8.
Dag Kolsrud 《Journal of forecasting》2015,34(8):675-693
A sample‐based method in Kolsrud (Journal of Forecasting 2007; 26 (3): 171–188) for the construction of a time‐simultaneous prediction band for a univariate time series is extended to produce a variable‐ and time‐simultaneous prediction box for a multivariate time series. A measure of distance based on the L∞ ‐norm is applied to a learning sample of multivariate time trajectories, which can be mean‐ and/or variance‐nonstationary. Based on the ranking of distances to the centre of the sample, a subsample of the most central multivariate trajectories is selected. A prediction box is constructed by circumscribing the subsample with a hyperrectangle. The fraction of central trajectories selected into the subsample can be calibrated by bootstrap such that the expected coverage of the box equals a prescribed nominal level. The method is related to the concept of data depth, and thence modified to increase coverage. Applications to simulated and empirical data illustrate the method, which is also compared to several other methods in the literature adapted to the multivariate setting. Copyright © 2015 John Wiley & Sons, Ltd. 相似文献
9.
介绍了一种新颖的永磁同步电动机速度闭环控制系统,该系统以数字信号处理器(DSP)为核心器件,采用速度、电流双闭环控制策略.阐述了系统的工作原理、硬件结构和软件编程,最后进行了实验研究.实验结果表明,该系统具有硬件设计独特、抗干扰能力强以及动态响应快等优点. 相似文献
10.
本文主要利用置信区间法对大坝进行安全监测,利用改进的PWM方法和传统方法对大坝位移的置信区间进行检测,结果显示改进的PWM方法与传统方法相比较监测的结果基本一致,但是误差更小,更能较好的反映大坝安全性态,更好的预防大坝安全事故的发生。 相似文献