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加权分布模型测算个股VaR
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作者 潘婉彬 缪柏其 《微计算机信息》 2003年第8期90-91,35,共3页
本文在同时考虑企业的个性风险和企业将受到整个国家宏观经济形势影响的共性风险的基础上,用一种新的思路定权数,提出了用加权分布测算个股VaR的模型。并以在深圳股市上市的四家企业的股票收益率做实证分析和模型检验。结果表明:加权分... 本文在同时考虑企业的个性风险和企业将受到整个国家宏观经济形势影响的共性风险的基础上,用一种新的思路定权数,提出了用加权分布测算个股VaR的模型。并以在深圳股市上市的四家企业的股票收益率做实证分析和模型检验。结果表明:加权分布提高了原来的假设收益率分布服从单一分布下测算VaR的准确度,尤其对于个性风险较强的企业而言,加权分布模型是一种形式简单,而又较为精确的模型。 展开更多
关键词 金融市场 加权分布模型 测算 股票收益率 股票价格 个股VaR
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基于CBR和加权泊松的泊松低方差计数数据模型效率比较
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作者 饶燕芳 《科技资讯》 2009年第18期243-244,共2页
现实中的数据常会出现"超散布性"和"超聚集性"现象,分布假定的错误会导致模型不合理甚至得出错误的结论。本文着重于一类典型的"超聚集性"问题——泊松低方差的讨论,着眼于两种主要的解决方法——加权泊... 现实中的数据常会出现"超散布性"和"超聚集性"现象,分布假定的错误会导致模型不合理甚至得出错误的结论。本文着重于一类典型的"超聚集性"问题——泊松低方差的讨论,着眼于两种主要的解决方法——加权泊松分布模型和纯生过程分布模型,并在Faddy的CBR分析实例基础上进一步比较标准泊松模型与这两种模型在分布拟合效果及检验效果上的差异,强调面对"超聚集性"数据时选择正确分布的重要性。 展开更多
关键词 “超聚集性”泊松低方差 加权泊松分布模型 纯生过程分布模型
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Modeling of Spatial Distributions of Farmland Density and Its Temporal Change Using Geographically Weighted Regression Model 被引量:2
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作者 ZHANG Haitao GUO Long +3 位作者 CHEN Jiaying FU Peihong GU Jianli LIAO Guangyu 《Chinese Geographical Science》 SCIE CSCD 2014年第2期191-204,共14页
This study used spatial autoregression(SAR)model and geographically weighted regression(GWR)model to model the spatial patterns of farmland density and its temporal change in Gucheng County,Hubei Province,China in 199... This study used spatial autoregression(SAR)model and geographically weighted regression(GWR)model to model the spatial patterns of farmland density and its temporal change in Gucheng County,Hubei Province,China in 1999 and 2009,and discussed the difference between global and local spatial autocorrelations in terms of spatial heterogeneity and non-stationarity.Results showed that strong spatial positive correlations existed in the spatial distributions of farmland density,its temporal change and the driving factors,and the coefficients of spatial autocorrelations decreased as the spatial lag distance increased.SAR models revealed the global spatial relations between dependent and independent variables,while the GWR model showed the spatially varying fitting degree and local weighting coefficients of driving factors and farmland indices(i.e.,farmland density and temporal change).The GWR model has smooth process when constructing the farmland spatial model.The coefficients of GWR model can show the accurate influence degrees of different driving factors on the farmland at different geographical locations.The performance indices of GWR model showed that GWR model produced more accurate simulation results than other models at different times,and the improvement precision of GWR model was obvious.The global and local farmland models used in this study showed different characteristics in the spatial distributions of farmland indices at different scales,which may provide the theoretical basis for farmland protection from the influence of different driving factors. 展开更多
关键词 spatial lag model spatial error model geographically weighted regression model global spatial autocorrelation local spatial aurocorrelation
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Comparison of Artificial Neural Networks,Geographically Weighted Regression and Cokriging Methods for Predicting the Spatial Distribution of Soil Macronutrients(N,P,and K) 被引量:7
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作者 Samad EMAMGHOLIZADEH Shahin SHAHSAVANI Mohamad Amin ESLAMI 《Chinese Geographical Science》 SCIE CSCD 2017年第5期747-759,共13页
Soil macronutrients(i.e. nitrogen(N), phosphorus(P), and potassium(K)) are important soils components and knowing the spatial distribution of these parameters are necessary at precision agriculture. The purpose of thi... Soil macronutrients(i.e. nitrogen(N), phosphorus(P), and potassium(K)) are important soils components and knowing the spatial distribution of these parameters are necessary at precision agriculture. The purpose of this study was to evaluate the feasibility of different methods such as artificial neural networks(ANN) and two geostatistical methods(geographically weighted regression(GWR) and cokriging(CK)) to estimate N, P and K contents. For this purpose, soil samples were taken from topsoil(0–30 cm) at 106 points and analyzed for their chemical and physical parameters. These data were divided into calibration(n = 84) and validation(n = 22). Chemical and physical variables including clay, p H and organic carbon(OC) were used as auxiliary soil variables to estimate the N, P and K contents. Results showed that the ANN model(with coefficient of determination R^2 = 0.922 and root mean square error RMSE = 0.0079%) was more accurate compared to the CK model(with R^2 = 0.612 and RMSE = 0.0094%), and the GWR model(with R^2 = 0.872 and RMSE = 0.0089%) to estimate the N variable. The ANN model estimated the P with the RMSE of 3.630 ppm, which was respectively 28.93% and 20.00% less than the RMSE of 4.680 ppm and 4.357 ppm from the CK and GWR models. The estimated K by CK, GWR and ANN models have the RMSE of 76.794 ppm, 75.790 ppm and 52.484 ppm. Results indicated that the performance of the CK model for estimation of macro nutrients(N, P and K) was slightly lower than the GWR model. Also, the accuracy of the ANN model was higher than CK and GWR models, which proved to be more effective and reliable methods for estimating macro nutrients. 展开更多
关键词 precision agriculture soil characteristics INTERPOLATION artificial neural networks geographically weighted regression COKRIGING
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RANDOM WEIGHTING METHOD FOR CENSORED REGRESSION MODEL 被引量:7
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作者 ZHAOLincheng FANGYixin 《Journal of Systems Science & Complexity》 SCIE EI CSCD 2004年第2期262-270,共9页
Rao and Zhao (1992) used random weighting method to derive the approximate distribution of the M-estimator in linear regression model.In this paper we extend the result to the censored regression model (or censored “... Rao and Zhao (1992) used random weighting method to derive the approximate distribution of the M-estimator in linear regression model.In this paper we extend the result to the censored regression model (or censored “Tobit” model). 展开更多
关键词 censored regression least absolute deviations estimates random weighting BOOTSTRAP
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Weighted Scaling in Non-growth Random Networks
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作者 陈光 杨旭华 徐新黎 《Communications in Theoretical Physics》 SCIE CAS CSCD 2012年第9期456-462,共7页
We propose a weighted model to explain the self-organizing formation of scale-free phenomenon in nongrowth random networks. In this model, we use multiple-edges to represent the connections between vertices and define... We propose a weighted model to explain the self-organizing formation of scale-free phenomenon in nongrowth random networks. In this model, we use multiple-edges to represent the connections between vertices and define the weight of a multiple-edge as the total weights of all single-edges within it and the strength of a vertex as the sum of weights for those multiple-edges attached to it. The network evolves according to a vertex strength preferential selection mechanism. During the evolution process, the network always holds its totM number of vertices and its total number of single-edges constantly. We show analytically and numerically that a network will form steady scale-free distributions with our model. The results show that a weighted non-growth random network can evolve into scMe-free state. It is interesting that the network also obtains the character of an exponential edge weight distribution. Namely, coexistence of scale-free distribution and exponential distribution emerges. 展开更多
关键词 weighted network random network non-growth scale-free distribution
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