When evaluating an area's seismic risk or resilience,it is necessary to use the spatial correlation to analyze the ground motion parameters of multiple sites together in an earthquake.These two large earthquakes i...When evaluating an area's seismic risk or resilience,it is necessary to use the spatial correlation to analyze the ground motion parameters of multiple sites together in an earthquake.These two large earthquakes in Türkiye provided the possibility for spatial correlation analysis of ground motion intensity measurements in this area.Based on the strong motion records provided by The Disaster and Emergency Management Authority of Türkiye(AFAD),this study uses the local ground motion prediction equation in Türkiye to give spatial correlation analysis of Intensity Measurements.This study gives an exponential model based on a semivariogram and compares it with the correlation model obtained from previous studies.展开更多
Sampling and testing are conducted on groundwater depth and vegetation coverage in the 670 km2 of the Sangong River Basin and semi-variance function analysis is made afterwards on the data obtained by the application ...Sampling and testing are conducted on groundwater depth and vegetation coverage in the 670 km2 of the Sangong River Basin and semi-variance function analysis is made afterwards on the data obtained by the application of geo-statistics. Results showed that the variance curve of the groundwater depth and vegetation coverage displays an exponential model. Analysis of sampling data in 2003 indicates that the groundwater depth and vegetation coverage change similarly in space in this area. The Sangong River Basin is composed of upper oasis, middle ecotone and lower sand dune. In oasis and ecotone, influenced by irrigation of the adjoining oasis, groundwater level has been raised and soil water content also increased compared with sand dune nearby, vegetation developed well. But in the lower reaches of the Sangong River Basin, because of descending of groundwater level, soil water content decreased and vegetation degenerated. From oasis to abandoned land and desert grassland, vegetation coverage and groundwater level changed greatly with significant difference respectively in spatial variation. Distinct but similar spatial variability exists among the groundwater depth and vegetation coverage in the study area, namely, the vegetation coverage decreasing (increasing) as the groundwater depth increases (decreases). This illustrates the great dependence of vegetation coverage on groundwater depth in arid regions and further implies that among the great number of factors affecting vegetation coverage in arid regions, groundwater depth turns out to be the most determinant one.展开更多
Portfolio selection is one of the major capital allocation and budgeting issues in financial management, and a variety of models have been presented for optimal selection. Semi-variance is usually considered as a risk...Portfolio selection is one of the major capital allocation and budgeting issues in financial management, and a variety of models have been presented for optimal selection. Semi-variance is usually considered as a risk factor in drawing up an efficient frontier and the optimal portfolio. Since semi-variance offers a better estimation of the actual risk portfolio, it was used as a measure to approximate the risk of investment in this work. The optimal portfolio selection is one of the non-deterministic polynomial(NP)-hard problems that have not been presented in an exact algorithm, which can solve this problem in a polynomial time. Meta-heuristic algorithms are usually used to solve such problems. A novel hybrid harmony search and artificial bee colony algorithm and its application were introduced in order to draw efficient frontier portfolios. Computational results show that this algorithm is more successful than the harmony search method and genetic algorithm. In addition, it is more accurate in finding optimal solutions at all levels of risk and return.展开更多
In this study,we analyze three portfolio selection strategies for loss-averse investors:semi-variance,conditional value-at-risk,and a combination of both risk measures.Moreover,we propose a novel version of the non-do...In this study,we analyze three portfolio selection strategies for loss-averse investors:semi-variance,conditional value-at-risk,and a combination of both risk measures.Moreover,we propose a novel version of the non-dominated sorting genetic algorithm II and of the strength Pareto evolutionary algorithm 2 to tackle this optimization problem.The effectiveness of these algorithms is compared with two alternatives from the literature from five publicly available datasets.The computational results indicate that the proposed algorithms in this study outperform the others for all the examined performance metrics.Moreover,they are able to approximate the Pareto front even in cases in which all the other approaches fail.展开更多
Background:Determining the spatial distribution of tree heights at the regional area scale is significant when performing forest above-ground biomass estimates in forest resource management research.The geometric-opti...Background:Determining the spatial distribution of tree heights at the regional area scale is significant when performing forest above-ground biomass estimates in forest resource management research.The geometric-optical mutual shadowing(GOMS)model can be used to invert the forest canopy structural parameters at the regional scale.However,this method can obtain only the ratios among the horizontal canopy diameter(CD),tree height,clear height,and vertical CD.In this paper,we used a semi-variance model to calculate the CD using high spatial resolution images and expanded this method to the regional scale.We then combined the CD results with the forest canopy structural parameter inversion results from the GOMS model to calculate tree heights at the regional scale.Results:The semi-variance model can be used to calculate the CD at the regional scale that closely matches(mainly with in a range from-1 to 1 m)the CD derived from the canopy height model(CHM)data.The difference between tree heights calculated by the GOMS model and the tree heights derived from the CHM data was small,with a root mean square error(RMSE)of 1.96 for a 500-m area with high fractional vegetation cover(FVC)(i.e.,forest area coverage index values greater than 0.8).Both the inaccuracy of the tree height derived from the CHM data and the unmatched spatial resolution of different datasets will influence the accuracy of the inverted tree height.And the error caused by the unmatched spatial resolution is small in dense forest.Conclusions:The semi-variance model can be used to calculate the CD at the regional scale,together with the canopy structure parameters inverted by the GOMS model,the mean tree height at the regional scale can be obtained.Our study provides a new approach for calculating tree height and provides further directions for the application of the GOMS model.展开更多
This study investigates the spatial variability of soil organic matter(SOM),soil organic carbon(SOC)and pH in the upper 20-cm layer and 20-40 cm layer in Moso bamboo(Phyllostachys pubescens Pradelle)forests using a ge...This study investigates the spatial variability of soil organic matter(SOM),soil organic carbon(SOC)and pH in the upper 20-cm layer and 20-40 cm layer in Moso bamboo(Phyllostachys pubescens Pradelle)forests using a geostatistics model.Interpolation maps of SOM,SOC,and pH were developed using ordinary kriging(OK)and inverse distance weighted(IDW)methods.The pH,SOC,and SOM of the two soil layers ranged from 4.6 to 4.7,from 1.5 to 2.7 g kg^(-1)and from 20.3 to 22.4 g kg^(-1),respectively.The coefficient of variation for SOM and SOC was 29.9-43.3%while a weak variability was found for pH.Gaussian and exponential models performed well in describing the spatial variability of SOC contents with R^(2)varying from 0.95 to 0.90.The nugget/sill values of pH are less than 25%,which indicates a strong spatial correlation,while the nugget/sill values of SOC and SOM fall under moderate spatial correlation.Interpolation using ordinary kriging and inverse distance weighted methods revealed that the spatial distribution of SOM,SOC,and pH was inconsistent due to external and internal factors across the plots.Regarding the cross-validation results,the ordinary kriging method performed better than inverse distance weighted method for selected soil properties.This study suggests that the spatial variability of soil chemical properties revealed by geostatistics modeling will help decision-makers improve the management of soil properties.展开更多
Accurately predicting stock returns is a conundrum in financial market.Solving this conundrum can bring huge economic benefits for investors and also attract the attention of all circles of people.In this paper the au...Accurately predicting stock returns is a conundrum in financial market.Solving this conundrum can bring huge economic benefits for investors and also attract the attention of all circles of people.In this paper the authors combine semi-varying coefficient model with technical analysis and statistical learning,and propose semi-varying coefficient panel data model with individual effects to explore the dynamic relations between the stock returns from five companies:CVX,DFS,EMN,LYB,and MET and five technical indicators:CCI,EMV,MOM,ln ATR,ln RSI as well as closing price(ln CP),combine semi-parametric fixed effects estimator,semi-parametric random effects estimator with the testing procedure to distinguish fixed effects(FE) from random effects(RE),and finally apply the estimated dynamic relations and the testing set to predict stock returns in December 2020 for the five companies.The proposed method can accommodate the varying relationship and the interactive relationship between the different technical indicators,and further enhance the prediction accuracy to stock returns.展开更多
In classical Markowitz＇s Mean-Variance model, parameters such as the mean and covari- ance of the underlying assets＇ future return are assumed to be known exactly. However, this is not always the case. The parameter...In classical Markowitz＇s Mean-Variance model, parameters such as the mean and covari- ance of the underlying assets＇ future return are assumed to be known exactly. However, this is not always the case. The parameters often correspond to quantities that fall within a range, or can be known ambiguously at the time when investment decision must be made. In such situations, investors determine returns on investment and risks etc. and make portfolio decisions based on experience and economic wisdom. This paper tries to use the concept of interval numbers in the fuzzy set theory to extend the classical mean-variance portfolio selection model to a mean-downside semi-variance model with consideration of liquidity requirements of a bank. The semi-variance constraint is employed to control the downside risk, filling in the existing interval portfolio optimization model based on the linear semi-absolute deviation to depict the downside risk. Simulation results show that the model behaves robustly for risky assets with highest or lowest mean historical rate of return and the optimal investment proportions have good stability. This suggests that for these kinds of assets the model can reduce the risk of high deviation caused by the deviation in the decision maker＇s experience and economic wisdom.展开更多
This paper considers a semi-varying coefficient model for panel data with fixed effects,proposes the profile-likelihood-based estimators for the parametric and nonparametric components,and establishes convergence rate...This paper considers a semi-varying coefficient model for panel data with fixed effects,proposes the profile-likelihood-based estimators for the parametric and nonparametric components,and establishes convergence rates and asymptotic normality properties for both estimators.Simulation results show that the proposed estimators behave well in finite sample cases.展开更多
In this paper, we investigate the estimation of semi-varying coefficient models when the nonlinear covariates are prone to measurement error. With the help of validation sampling, we propose two estimators of the para...In this paper, we investigate the estimation of semi-varying coefficient models when the nonlinear covariates are prone to measurement error. With the help of validation sampling, we propose two estimators of the parameter and the coefficient functions by combining dimension reduction and the profile likelihood methods without any error structure equation specification or error distribution assumption. We establish the asymptotic normality of proposed estimators for both the parametric and nonparametric parts and show that the proposed estimators achieves the best convergence rate. Data-driven bandwidth selection methods are also discussed. Simulations are conducted to evaluate the finite sample property of the estimation methods proposed.展开更多
Semivarying coefficient models are frequently used in statistical models.In this paper,under the condition that the coefficient functions possess different degrees of smoothness,a two-stepmethod is proposed.In the cas...Semivarying coefficient models are frequently used in statistical models.In this paper,under the condition that the coefficient functions possess different degrees of smoothness,a two-stepmethod is proposed.In the case,one-step method for the smoother coefficient functions cannot beoptimal.This drawback can be repaired by using the two-step estimation procedure.The asymptoticmean-squared error for the two-step procedure is obtained and is shown to achieve the optimal rate ofconvergence.A few simulation studies are conducted to evaluate the proposed estimation methods.展开更多
基金jointly supported by the National Natural Science Foundation of China U1901602,U2239252)the National Key R&D Program of China(No.2019YFE0115700)+1 种基金the Scientific Research Fund of Institute of Engineering Mechanics,China Earthquake Administration(Grant No.2021EEEVL0202)the Natural Science Foundation of Heilongjiang Province(LH2020E021)。
文摘When evaluating an area's seismic risk or resilience,it is necessary to use the spatial correlation to analyze the ground motion parameters of multiple sites together in an earthquake.These two large earthquakes in Türkiye provided the possibility for spatial correlation analysis of ground motion intensity measurements in this area.Based on the strong motion records provided by The Disaster and Emergency Management Authority of Türkiye(AFAD),this study uses the local ground motion prediction equation in Türkiye to give spatial correlation analysis of Intensity Measurements.This study gives an exponential model based on a semivariogram and compares it with the correlation model obtained from previous studies.
基金National 973 Program for Basic Research No.G1999043506
文摘Sampling and testing are conducted on groundwater depth and vegetation coverage in the 670 km2 of the Sangong River Basin and semi-variance function analysis is made afterwards on the data obtained by the application of geo-statistics. Results showed that the variance curve of the groundwater depth and vegetation coverage displays an exponential model. Analysis of sampling data in 2003 indicates that the groundwater depth and vegetation coverage change similarly in space in this area. The Sangong River Basin is composed of upper oasis, middle ecotone and lower sand dune. In oasis and ecotone, influenced by irrigation of the adjoining oasis, groundwater level has been raised and soil water content also increased compared with sand dune nearby, vegetation developed well. But in the lower reaches of the Sangong River Basin, because of descending of groundwater level, soil water content decreased and vegetation degenerated. From oasis to abandoned land and desert grassland, vegetation coverage and groundwater level changed greatly with significant difference respectively in spatial variation. Distinct but similar spatial variability exists among the groundwater depth and vegetation coverage in the study area, namely, the vegetation coverage decreasing (increasing) as the groundwater depth increases (decreases). This illustrates the great dependence of vegetation coverage on groundwater depth in arid regions and further implies that among the great number of factors affecting vegetation coverage in arid regions, groundwater depth turns out to be the most determinant one.
文摘Portfolio selection is one of the major capital allocation and budgeting issues in financial management, and a variety of models have been presented for optimal selection. Semi-variance is usually considered as a risk factor in drawing up an efficient frontier and the optimal portfolio. Since semi-variance offers a better estimation of the actual risk portfolio, it was used as a measure to approximate the risk of investment in this work. The optimal portfolio selection is one of the non-deterministic polynomial(NP)-hard problems that have not been presented in an exact algorithm, which can solve this problem in a polynomial time. Meta-heuristic algorithms are usually used to solve such problems. A novel hybrid harmony search and artificial bee colony algorithm and its application were introduced in order to draw efficient frontier portfolios. Computational results show that this algorithm is more successful than the harmony search method and genetic algorithm. In addition, it is more accurate in finding optimal solutions at all levels of risk and return.
文摘In this study,we analyze three portfolio selection strategies for loss-averse investors:semi-variance,conditional value-at-risk,and a combination of both risk measures.Moreover,we propose a novel version of the non-dominated sorting genetic algorithm II and of the strength Pareto evolutionary algorithm 2 to tackle this optimization problem.The effectiveness of these algorithms is compared with two alternatives from the literature from five publicly available datasets.The computational results indicate that the proposed algorithms in this study outperform the others for all the examined performance metrics.Moreover,they are able to approximate the Pareto front even in cases in which all the other approaches fail.
基金partially supported by the National Natural Science Foundation of China(No.41871231)partially supported by the National Key Research and Development Program of China(No.2016YFB0501502)the Special Funds for Major State Basic Research Project(No.2013CB733403)。
文摘Background:Determining the spatial distribution of tree heights at the regional area scale is significant when performing forest above-ground biomass estimates in forest resource management research.The geometric-optical mutual shadowing(GOMS)model can be used to invert the forest canopy structural parameters at the regional scale.However,this method can obtain only the ratios among the horizontal canopy diameter(CD),tree height,clear height,and vertical CD.In this paper,we used a semi-variance model to calculate the CD using high spatial resolution images and expanded this method to the regional scale.We then combined the CD results with the forest canopy structural parameter inversion results from the GOMS model to calculate tree heights at the regional scale.Results:The semi-variance model can be used to calculate the CD at the regional scale that closely matches(mainly with in a range from-1 to 1 m)the CD derived from the canopy height model(CHM)data.The difference between tree heights calculated by the GOMS model and the tree heights derived from the CHM data was small,with a root mean square error(RMSE)of 1.96 for a 500-m area with high fractional vegetation cover(FVC)(i.e.,forest area coverage index values greater than 0.8).Both the inaccuracy of the tree height derived from the CHM data and the unmatched spatial resolution of different datasets will influence the accuracy of the inverted tree height.And the error caused by the unmatched spatial resolution is small in dense forest.Conclusions:The semi-variance model can be used to calculate the CD at the regional scale,together with the canopy structure parameters inverted by the GOMS model,the mean tree height at the regional scale can be obtained.Our study provides a new approach for calculating tree height and provides further directions for the application of the GOMS model.
基金The work was supported by the National Key Research and Development Program of China:High Efficiency Cultivation and Monitoring Technology for Timber Bamboo(Grant No.:2018YFD0600103).
文摘This study investigates the spatial variability of soil organic matter(SOM),soil organic carbon(SOC)and pH in the upper 20-cm layer and 20-40 cm layer in Moso bamboo(Phyllostachys pubescens Pradelle)forests using a geostatistics model.Interpolation maps of SOM,SOC,and pH were developed using ordinary kriging(OK)and inverse distance weighted(IDW)methods.The pH,SOC,and SOM of the two soil layers ranged from 4.6 to 4.7,from 1.5 to 2.7 g kg^(-1)and from 20.3 to 22.4 g kg^(-1),respectively.The coefficient of variation for SOM and SOC was 29.9-43.3%while a weak variability was found for pH.Gaussian and exponential models performed well in describing the spatial variability of SOC contents with R^(2)varying from 0.95 to 0.90.The nugget/sill values of pH are less than 25%,which indicates a strong spatial correlation,while the nugget/sill values of SOC and SOM fall under moderate spatial correlation.Interpolation using ordinary kriging and inverse distance weighted methods revealed that the spatial distribution of SOM,SOC,and pH was inconsistent due to external and internal factors across the plots.Regarding the cross-validation results,the ordinary kriging method performed better than inverse distance weighted method for selected soil properties.This study suggests that the spatial variability of soil chemical properties revealed by geostatistics modeling will help decision-makers improve the management of soil properties.
基金supported by the Natural Science Foundation of CQ CSTC under Grant No.cstc.2018jcyj A2073Chongqing Social Science Plan Project under Grant No.2019WT59+3 种基金Science and Technology Research Program of Chongqing Education Commission under Grant No.KJZD-M202100801Mathematic and Statistics Team from Chongqing Technology and Business University under Grant No.ZDPTTD201906Open Project from Chongqing Key Laboratory of Social Economy and Applied Statistics under Grant No.KFJJ2022056Chongqing Graduate Research Innovation Project under Grant No.CYS23568。
文摘Accurately predicting stock returns is a conundrum in financial market.Solving this conundrum can bring huge economic benefits for investors and also attract the attention of all circles of people.In this paper the authors combine semi-varying coefficient model with technical analysis and statistical learning,and propose semi-varying coefficient panel data model with individual effects to explore the dynamic relations between the stock returns from five companies:CVX,DFS,EMN,LYB,and MET and five technical indicators:CCI,EMV,MOM,ln ATR,ln RSI as well as closing price(ln CP),combine semi-parametric fixed effects estimator,semi-parametric random effects estimator with the testing procedure to distinguish fixed effects(FE) from random effects(RE),and finally apply the estimated dynamic relations and the testing set to predict stock returns in December 2020 for the five companies.The proposed method can accommodate the varying relationship and the interactive relationship between the different technical indicators,and further enhance the prediction accuracy to stock returns.
基金supported by the National Natural Science Foundation of China under Grant Nos.71301017,71731003,71671023,11301050 and 51375067the National Social Science Foundation of China under Grant No.16BTJ017+1 种基金China Postdoctoral Science Foundation Funded Project under Grant No.2016M600207the Doctoral Fund of Liaoning Province under Grant No.20131017
文摘In classical Markowitz＇s Mean-Variance model, parameters such as the mean and covari- ance of the underlying assets＇ future return are assumed to be known exactly. However, this is not always the case. The parameters often correspond to quantities that fall within a range, or can be known ambiguously at the time when investment decision must be made. In such situations, investors determine returns on investment and risks etc. and make portfolio decisions based on experience and economic wisdom. This paper tries to use the concept of interval numbers in the fuzzy set theory to extend the classical mean-variance portfolio selection model to a mean-downside semi-variance model with consideration of liquidity requirements of a bank. The semi-variance constraint is employed to control the downside risk, filling in the existing interval portfolio optimization model based on the linear semi-absolute deviation to depict the downside risk. Simulation results show that the model behaves robustly for risky assets with highest or lowest mean historical rate of return and the optimal investment proportions have good stability. This suggests that for these kinds of assets the model can reduce the risk of high deviation caused by the deviation in the decision maker＇s experience and economic wisdom.
基金supported by the National Natural Science Foundation of China under Grant No.11101452the Natural Science Foundation Project of CQ CSTC under Grant No.2012jjA00035+2 种基金the National Basic Research Program of China under Grant No.2011CB808000the National Social Science Foundation of China under Grant No.12XTJ001the Natural Science Foundation Project of CTBU of China under Grant No.1352001
文摘This paper considers a semi-varying coefficient model for panel data with fixed effects,proposes the profile-likelihood-based estimators for the parametric and nonparametric components,and establishes convergence rates and asymptotic normality properties for both estimators.Simulation results show that the proposed estimators behave well in finite sample cases.
基金Supported by the National Natural Science Foundation of China(No.10871072,11171112 and 11101114)the Scientific Research Fund of Zhejiang Provincial Education Department(Grant No.Y201121276)the Doctoral Fund of Ministry of Education of China(200900076110001)
文摘In this paper, we investigate the estimation of semi-varying coefficient models when the nonlinear covariates are prone to measurement error. With the help of validation sampling, we propose two estimators of the parameter and the coefficient functions by combining dimension reduction and the profile likelihood methods without any error structure equation specification or error distribution assumption. We establish the asymptotic normality of proposed estimators for both the parametric and nonparametric parts and show that the proposed estimators achieves the best convergence rate. Data-driven bandwidth selection methods are also discussed. Simulations are conducted to evaluate the finite sample property of the estimation methods proposed.
基金supported in part by the National Natural Science Foundation of China under Grant No. 10871072Shanxi's Natural Science Foundation of China under Grant No. 2007011014
文摘Semivarying coefficient models are frequently used in statistical models.In this paper,under the condition that the coefficient functions possess different degrees of smoothness,a two-stepmethod is proposed.In the case,one-step method for the smoother coefficient functions cannot beoptimal.This drawback can be repaired by using the two-step estimation procedure.The asymptoticmean-squared error for the two-step procedure is obtained and is shown to achieve the optimal rate ofconvergence.A few simulation studies are conducted to evaluate the proposed estimation methods.
