20 1
2 1987 WTO
2 3 4 5 ( )1998 6 5 1 1 2 2 3 15% 4 3
10 5. 1 1. 10% 1:00 1 10% 1:001:30 10% 1:30 20% 12:00 2 20% 1:00 30% µ ± 3σ 3 1000 µ ± 3σ µ 3σ µ 3σ 4
1 α α 0.01 005 α P( x > c) α c c 1 2 1992 2001 10 2 µ ± 3σ µ ± 3. 2σ µ ± 3. 346σ µ ± 3. 89σ µ ± 4σ µ ± 5σ 0.23 0. 14 0.08 0. 01 0. 008 0 1.4 1.1 0.99 0.5 0.4 0.1 2 A 5
2 B 3 6
( ) R, t = 1,2... n t R t = t ln( Pt / P 1) Rt u σ α R t + 1 ( u kσ, u + kσ ) 1 α R t k = 3α 1 99.7%R t+ 1 ( u 3σ, u + 3σ ) 99.7% R t+ 1 ( u 3σ, u + 3σ ) t +1 0.3% α k k k 3 3 k α 1.4% 1% 0.5% 0.1% k 3 3.35 3.89 5 7
5 20 60 Ri i = 1,2... n a j = R i j i= j N + 1 N = 5,20, 60 j = N, N +1,..., n a j = N, N +1,..., n a j 60 5 120 20 60 240 j 5% 5% 1998 1 5 2001 12 31 10 1996 12 16 8
1997 2001.12 1997 1998 1 CSMAR www.my0578.com 000018 (600642) 5 20 60 4 4 5 2060 1 19980113 97 2 19980812-19980828 1 Y Y 8 3 19990510 4 19990519-19990628 Y Y 519 5 19990701-19990706 Y Y 7.1 6 20000107-20000110 1 Y Y 7 20000214-20000216 8 20000831-20000906 9
9 20001124 Y 9 236 10 20010115 11 20010730-20010903 -1 Y Y Y Y 12 20010801 1 13 20011019-20011022 Y 14 20011023-20011029 1 Y Y 1 / 1 1 2152060 1 5 20 60 Y 1 5 20 60 1998 1 2001 12 14 10 4 4 3 1999 5.19 2001 7 10 10 1998 8 10 7 11 1 2 9 1998 2001 4 1993 4 16 2001 A 16.3 A 2.5 19.54% 31.82%22.92% 0.510.93 0.71 10
5 5 600642 1 A B C A B 1998 1 2001 12 10 4 A 4 B 11
0000081992 5 7 7360 A 3500 1998 8 5.6 2001 2 126.31 21.5 1998 10 5 627 3 1998 10 5 53 1.52% 2000 1 12 3001 85% 2001 2 5 627 3 4.49 77 6 000008 12
1998 1 2001 12 12 2 A 5 B A B 5 4 1998~2001 10 10 2001 10 10 PT PT 7 7 600641 600642 600672 600709 600727 600729 600736 600739 600779 600854 600603 600610 600633 600670 600786 600683 600743 600763 600813 600837 600635 600652 600654 600664 600688 600718 600737 600811 600832 600868 600613 600614 600617 600822 600837 600841 600843 600619 600711 600817 13
1 5 20 60 5 2000 11 12 20 2000 11 13 2000 11 14 3 3 A A B 0 B- B+ C C 1 1 5 14
20 60 S; L LS i l i l i = 2 i c 3 i C c i = i b i b + i = B B 4 40 1998 2001 15
16
17
6 c 18
1 5 20 60 0.273 0.278 0.256 0.173 0.167 0.355 0.297 0.325 0.508 0.263 t -0.082 (-1.28) -0.018 (-0.30) -0.068 (-0.97) -0.335 (-2.69)*** -0.096 (-0.84) (-1.28) (-0.30) (-0.97) (-2.69)*** (-0.84) 0.275 0.283 0.191 0.133 0.133 0.388 0.364 0.318 0.453 0.422 t -0.113 (-1.69)* (-1.69)* -0.081 (-0.58) (-0.60) -0.127 (-1.21) (-1.23) -0.32 (-2.15)** (-2.23)** -0.289 (-3.19)*** (-3.19)*** 19
1 5 20 60 0.378 0.475 0.158 0.000 0.050 0.328 0.242 0.275 0.083 0.117 t 0.05 (0.37) (0.37) 0.2333 (1.48)** (1.48)** -0.117 (-0.84) (-0.84) -0.083 (-1.50)* (-1.41)* -0.067 (-0.84) (-0.84) 0.138 0.116 0.083 0.100 0.020 0.096 0.079 0.025 0.065 0.128 t 0.042 (1.23) (1.18) 0.037 (1.10) (1.07) 0.058 (1.66)* (1.62)* 0.035 (0.14) (0.14) -0.108 (-1.65)* (-1.72)* 20
21 1 5 20 60 15.3 11.6 75.82% 7.2 47.06% 3.0 19.61% 4.0 26.14% 13.1 6.1 46.56% 6.8 51.91% 2.9 22.14% 4.1 31.30% t 2.2 1.62* 1.62* 5.5 4.06*** 4.06*** 0.4 (0.49) (0.49) 0.1 (0.18) (0.18) -0.1 (-0.18) (-0.18) 15.6 12.2 78.21% 8.5 54.49% 2.9 18.59% 3.0 19.23% 13.5 8.9 65.93% 5.8 42.96% 2.6 19.26% 3.8 28.15% 2.1 (2.16)** (2.16)** 3.3 (3.06)*** (3.06)*** 2.7 (3.69)*** (3.69)*** 0.3 (0.62) (0.62) -0.8 (1.56)* (1.56)*
1 10 22
1 10 23
1 2 3 20 4 5 [1] Beckman R J, Cook R D. Outliers, Technometrics 25 (2), 1983.,119-149. [2] Barnett V, Lewis T, Outliers in Statistical Data, seconded. John Wiley, New York, 1984 [3] Hadi A S.Identifying multiple outliers in multivariate data,journal of the Royal Statistical Socieity,Series B,1992,54,761-771 [4] Hadi A S.A modification of a method for the detection of outliers in multivariate samples,journal of the Royal Statistical Socieity,Series B,forthcoming [5] Wichern D W, Miller R B, Hsu D A. Changes of variance in first-order autoregressive time series models-with an application,journal of the Royal Statistical Socieity,Series C (Applied Statistics),1976,25,248-256 [6]Fox A J. Outliers in time series. Journal of the Royal Statistical Society, Series B, 1972,34, 24
350-363 [7] Tsay R S. Outliers, level shifts, and variance changes. Journal of Forecasting, 1988, 7,1-20 [8] Chen C, Liu L M. Joint estimation of model parameters and outlier effects in time series. Journal of the American Statistical Association, 1993, 88,284-97 [9] Balke N S, Fomby T B. Large shocks, small shocks, and economic fluctuations: Outliers in macroeconomic time series. Journal of Applied Econometrics, 1994., 9 (2): 181-200 [9] [10] 200005 [11], 200004 [12] 2000 [13] 1997 [14] 199902 25