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具有周期结构的时间序列AI 解读

Time series which are encountered in meteorology exhibit non-stationary behaviour. If a variable is observed at the same time each day, it appears to be stationary over a period of a few weeks, but there is a seasonal variation in structure (Monin, 1963). For example, the mean and spectral density are different in the summer and in the winter. The usual approach to this problem is to divide the year into parts and analyse the data separately for the same two or three months…

修订后美国国民账户中的统计差额AI 解读

As is well known, the U. S. national accounts contain a “Statistical Discrepancy” which serves to reconcile estimates of GNP from the product and from the income side. While the Discrepancy is a measure only of overall consistency rather than of error, its magnitude and pattern over time do give some indication of the quality of the national accounts data. In the past, the Statistical Discrepancy has not always behaved as a quantitatively unimportant random error term—a…

修订后美国国民账户中的统计差额AI 解读

As is well known, the U. S. national accounts contain a “Statistical Discrepancy” which serves to reconcile estimates of GNP from the product and from the income side. While the Discrepancy is a measure only of overall consistency rather than of error, its magnitude and pattern over time do give some indication of the quality of the national accounts data. In the past, the Statistical Discrepancy has not always behaved as a quantitatively unimportant random error term—a…

摘要暂缺

关于一个变量测量误差模型的札记AI 解读

We consider an errors in variables model in which the ‘true’ part of the determining variable is generated by a simple forecasting mechanism. It is shown that the Least Squares errors in variables bias can be interpreted in terms of the parameters of the forecasting mechanism; and that the ‘standard’ result for this bias may no longer hold in this situation. An empirical illustration of the results is given.

多元时间序列的指数平滑AI 解读

Summary A method is presented for estimating the optimum weight matrix for the exponential smoothing and prediction of multivariate time series. A recursive version of the estimation equations is given. A variation allows the estimation to forget the remote past in order to follow a process in which the structure varies slowly with time. It is pointed out that the method generalizes to non-linear processes when the non-linear structure is known. The practicality of the…

摘要暂缺

非平稳过程预测量的递推关系AI 解读

Summary It is shown that if a process {xt} is generated recursively by a relation of type ∑j=0pajtxt−j=∑k=0qbktϵt−k+λt, where ajt, bkt and λt, are time-dependent sequences and {ϵt} is a process of unautocorrelated variables, then in general the linear least-square predictor of xt+m based upon {xs; s≤t}, denoted vt, obeys a recursion of the type ∑k=0qβktξt−k=∑j=0τcjtxt−j+vt, where r = max(p – 1, q – m). A method is given for obtaining the coefficients βkt, cjt and vt, and…

同时存在扰动与观测误差的自回归变量预测AI 解读

Past work on prediction formulas for time series, e.g., that of Wiener and Yaglom, has used powerful and general spectral techniques that result in integral formulas difficult to evaluate in practical cases. In this paper the more direct, less powerful approach developed by Muth produces useful and specific results for a broad class of cases that includes virtually every case of a higher order Markov process observed with error. The results provide plausible theoretical…

同时受扰动与观测误差影响的自回归变量预测AI 解读

Past work on prediction formulas for time series, e.g., that of Wiener and Yaglom, has used powerful and general spectral techniques that result in integral formulas difficult to evaluate in practical cases. In this paper the more direct, less powerful approach developed by Muth produces useful and specific results for a broad class of cases that includes virtually every case of a higher order Markov process observed with error. The results provide plausible theoretical…

非平稳时间序列中多项预测器与控制器的多项式投影性质AI 解读

Summary Box and Jenkins (1962, 1963) introduce a practical predictor for handling non-stationary types of time series and they show it to be optimal for a particular class of stochastic processes. As a consequence the predictor can be shown to follow stochastic as well as deterministic polynomial trends in the series. The present paper sets out to evaluate the bias term in the expression for the error when applying this predictor, and shows how the bias can be reduced…

消费者态度、股票价格与非态度变量的预测能力AI 解读

This article reports on tests of the comparative usefulness of consumer attitudes, stock prices, and some non-attitudinal variables for short-term forecasting of the value and number of motor vehicle sales. Both levels and changes of the variables are analyzed for a variety of time spans between 1952 and 1962. The work suggests that stock prices and some non-attitudinal variables, like the length of the work week, share the predictive ability of consumer attitudes, except…

消费者态度、股票价格与非态度变量的预测能力AI 解读

This article reports on tests of the comparative usefulness of consumer attitudes, stock prices, and some non-attitudinal variables for short-term forecasting of the value and number of motor vehicle sales. Both levels and changes of the variables are analyzed for a variety of time spans between 1952 and 1962. The work suggests that stock prices and some non-attitudinal variables, like the length of the work week, share the predictive ability of consumer attitudes, except…

摘要暂缺

预测案例研究：西瓜市场AI 解读

This paper discusses two forecasting experiments involving models of the watermelon market. The first experiment compares the forecasts of an interdependent model estimated by limited information, single equation with those of a model using least squares reduced form. The second experiment compares the forecasts of the interdependent model with those of a causal chain model. It is found that the forecasts of the interdependent model are generally better than those of the…

十年消费者态度调查的预测表现AI 解读

Since 1951 the Survey Research Center has conducted surveys of consumer optimism and confidence two to four times a year in an attempt to improve methods of forecasting discretionary spending by consumers. The predictive success of these attitude surveys is tested here in conjunction with a number of financial variables by means of time series regressions covering the years 1952–61. The results indicate that attitude measurements contain information not obtainable from a…

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飞机机体生产中进步曲线的可靠性AI 解读

This report presents a statistical study of the reliability of a given function for certain types of estimates in the aircraft industry and Air Force. It is indisputable that lower direct labor costs occur as the number of items produced increases. Questions can be raised, however, about the specifics of planning, estimating, and forecasting using this function.

摘要暂缺

销售预测与库存周期AI 解读

INVENTORY CYCLE analysis has so far assumed sales forecasts by firms-projecting a constant multiple of either the latest level, or the latest rate of change, of sales into the future. This structure is adequate to show the way in which expectations and the level of business activity interact, but it has a certain ring of implausibility. Other ways of forecasting sales change the behavior of the model, so we may ask if stability is particularly sensitive to the technique…

更好天气信息对葡萄干产业的价值AI 解读

This report utilizes decision theory to investigate the possible benefits of better weather information to California raisin growers. A supply curve is fitted to the raisin industry and used to evaluate the importance of various factors: weather is of overwhelming importance. Subsequent analysis focuses on the most vulnerable aspect of raisin production: its dependence on early forecasts of rain in September and October when the grapes are being dried and in danger of being…

摘要暂缺

多元自回归拟合与谱密度矩阵的近似规范分解AI 解读

The recursive method proposed by Durbin (1960) for the fitting of autoregreseive schemes of successively increasing order is generalized to the fitting of multivariate autoregressions, and of schemes with rational spectral density function. It is also shown that an auto regression fitted from the Yule-Walker relations, even if of insufficient order, has the necessary stability properties. This property holds in the multivariate case, too, and is important in connexion with a…