时间序列条件矩持续和协同持续性研究

根据非线性单整理论提出了矩持续和矩协同持续的概念,从时间序列各阶矩长期均衡关系的角度构建了协整和波动协同持续性的统一数学框架,并进一步给出了矩持续和矩协同持续性在三阶矩和四阶矩情形的表现形式;其次在 ARMA-GARCHSK 模型体系下给出了时间序列矩持续和矩协同持续存在的充分必要条件;最后给出了向量 ARMA-GARCHSK 模型矩协同持续的 ARMA 表示形式和误差修正模型.

A One-parameter Filled Function Method for Nonlinear Integer Programming

This paper gives a new definition of the filled function for nonlinear integer programming problem. A filled function satisfying our definition is presented. This function contains only one parameter. The properties of the proposed filled function and the method using this filled function to solve nonlinear integer programming problem are also discussed. Numerical results indicate the efficiency and reliability of the proposed filled function algorithm.