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When forecasts are assessed by a general loss (cost-of-error) function, the optimal point forecast is, in general, not the conditional mean, and depends on the conditional volatility—which, for stock returns, is time-varying. In order to provide forecasts of daily returns of 30 DJIA stocks under a general multivariate loss function, the following issues are addressed. We discuss what conditions define a multivariate loss function, and a simple class of such functions is proposed. Based on suitable combinations of univariate losses, the suggested multivariate functions are convenient for practical applications with many variables. To keep the computational aspect tractable, a flexible multivariate GARCH model is employed in estimating the conditional forecast distributions. The model easily copes with large number of series while allowing for skewness, fat tails, non-ellipticity, and tail dependence. Based on Engle’s DCC GARCH, it uses multivariate affine generalized hyperbolic distributions as conditional probability law, and the number of parameters to be estimated simultaneously does not depend on the number of series. The model is fitted using daily data from 2002 to 2007 (keeping data from 2008 for out-of-sample forecasts), and a bootstrap procedure is used to derive point forecasts under several multivariate loss functions of the proposed type. 相似文献
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In this paper we introduce a general framework for casting fully dynamic transitive closure into the problem of reevaluating
polynomials over matrices. With this technique, we improve the best known bounds for fully dynamic transitive closure. In
particular, we devise a deterministic algorithm for general directed graphs that achieves O(n
2) amortized time for updates, while preserving unit worst-case cost for queries. In case of deletions only, our algorithm
performs updates faster in O(n) amortized time. We observe that fully dynamic transitive closure algorithms with O(1) query time maintain explicitly the transitive closure of the input graph, in order to answer each query with exactly one
lookup (on its adjacency matrix). Since an update may change as many as Ω(n
2) entries of this matrix, no better bounds are possible for this class of algorithms.
This work has been partially supported by the Sixth Framework Programme of the EU under contract number 507613 (Network of
Excellence “EuroNGI: Designing and Engineering of the Next Generation Internet”), and number 001907 (“DELIS: Dynamically Evolving,
Large Scale Information Systems”), and by the Italian Ministry of University and Research (Project “ALGO-NEXT: Algorithms
for the Next Generation Internet and Web: Methodologies, Design and Experiments”). Portions of this paper have been presented
at the 41st Annual Symp. on Foundations of Computer Science, 2000. 相似文献
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Camelia Ungureanu Cristian PirvuMihaela Mindroiu Ioana Demetrescu 《Progress in Organic Coatings》2012
In order to enhance properties of the polymer composite films, composite coatings based on polypyrrole (PPy) and polyethylene glycol (PEG), using various percentages of PEG (0.5%, 2%, 4%), were electrodeposited on a new titanium alloy electrode as insulating material. The structure of the coatings was investigated via infrared (FTIR) analysis, and the surface features were studied using contact angle determination, atomic force microscopy (AFM) and scanning electronic microscopy (SEM). When testing the antibacterial properties of the coatings, the best effect was found for the coating with 2% PEG concentration, which has hydrophilic character and small roughness. Such results are in concordance with mechanism of biomaterial–bacteria interaction which involves as factors affecting bacterial adhesion and growth an initial physicochemical interaction stage, where roughness and wettabilitty are factors promoting bacterial adhesion and biofilm deposition. 相似文献
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M. V. Popa E. Vasilescu P. Drob I. Demetrescu B. Popescu D. Ionescu C. Vasilescu 《工业材料与腐蚀》2003,54(4):215-221
Long‐term monitoring (for 8000 exposure hours) of titanium and its implant alloys (Ti‐5Al‐4V, Ti‐6Al‐4Fe) interactions with Ringer's solutions of different pH‐values (2.5, 4.35, 6.98), simulating various conditions that can appear at the contact between implant and tissues was carried out in this paper. All data were statistics treated using Medcalc program. In vitro electrochemical behaviour of titanium and its alloys reveals their self‐passivation in Ringer's solutions. Monitoring of the open circuit potentials with time and pH have shown that the passive films on the implant materials studied were very stable for all tested periods. Interactions due to the non‐uniformity of the physiological electrolyte pH can not produce any form of local corrosion. The tested materials present low corrosion rates which attest their very good stability for 8000 exposure hours in simulated biological environment. Surface topography characterisation using atomic force microscopy (AFM) data, correlated with the electrochemical parameters, were arguments for the stability of the samples in studied bioliquids. 相似文献
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The distributions of cointegration tests are affected when the innovation variance varies over time. In panels, one must also pay attention to dependence among units. To obtain a panel cointegration test robust to both heteroskedasticity and dependence, we adapt the nonlinear instruments method proposed for the Dickey–Fuller test by Chang (2002, J Econometrics 110, 261–292) to an error‐correction framework. We show that IV‐based testing of the no error‐correction null in individual equations yields standard normal test statistics when computed with heteroskedasticity‐robust standard errors. The result holds under endogenous regressors, irrespective of the number of integrated covariates and for any variance profile. A non‐cointegration test combining single‐equation tests retains these nice properties. In panels of fixed cross‐sectional dimension, such test statistics from individual units are shown to be asymptotically independent even under dependence, leading to panel tests robust to dependence and heteroskedasticity. The tests perform well in finite panels. 相似文献