基于O-U模型的AQI模拟及预测
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摘要
大气污染严重制约了我国经济的快速发展,为了加强对环境污染的治理,明确治理途径进而提高治理效率,故对北京市、天津市、石家庄市的空气质量指数(AQI)波动情况进行模拟及预测。首先利用OrnsteinUhlenbeck(O-U)均值回复模型设计AQI的模拟及预测模型;其次以3个城市2013年10月28日至2017年5月31日的AQI为样本,剔除异常值,用O-U模型进行季节性趋势及方差的分析,得到3个城市AQI不同程度季节性、周期性、随机性的变动趋势,并对模型的参数进行估计;最后得到3个城市AQI的预测方程,利用各方程对3个城市2017年6月份的AQI进行预测,其结果较为合理,较好地预测了AQI的变动趋势。利用O-U模型对AQI的模拟及预测可为政府相关部门制定政策提供一定的决策参考。
Air pollution has severely constrained the rapid economic development of our country, in order to strengthen the governance of environmental pollution, clarify the ways of governance and improve the efficiency of governance, the air quality index(AQI) fluctuations in Beijing, Tianjin and Shijiazhuang are simulated and predicted. Firstly, using the Ornstein-Uhlenbeck(O-U) mean recovery model to design the AQI simulation and prediction model. Secondly, taking the AQI from October 28, 2013 to May 31, 2017 in three cities as samples, the outliers were excluded, and the O-U model for seasonal trends and variances was used to obtain the three cities varying degree of AQI in seasonal, periodic, and random changes, and the parameters of the model were estimated. Finally, the prediction equations of the three cities AQI were obtained, and the equations were used to predict the AQI of the three cities in June 2017. The results are reasonable and the change trend of AQI is well predicted. Using O-U model to simulate and forecast AQI can provide some reference for government departments to formulate policies.
Air pollution has severely constrained the rapid economic development of our country, in order to strengthen the governance of environmental pollution, clarify the ways of governance and improve the efficiency of governance, the air quality index(AQI) fluctuations in Beijing, Tianjin and Shijiazhuang are simulated and predicted. Firstly, using the Ornstein-Uhlenbeck(O-U) mean recovery model to design the AQI simulation and prediction model. Secondly, taking the AQI from October 28, 2013 to May 31, 2017 in three cities as samples, the outliers were excluded, and the O-U model for seasonal trends and variances was used to obtain the three cities varying degree of AQI in seasonal, periodic, and random changes, and the parameters of the model were estimated. Finally, the prediction equations of the three cities AQI were obtained, and the equations were used to predict the AQI of the three cities in June 2017. The results are reasonable and the change trend of AQI is well predicted. Using O-U model to simulate and forecast AQI can provide some reference for government departments to formulate policies.
引文
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[21]王明亮,何建敏,曹杰.基于气温指数的我国天气衍生品定价研究[J].数理统计与管理,2015(2):217-227.
[22]Li P.Pricing weather derivatives with partial differential equations of the Ornstein-Uhlenbeck process[J].Computers&Mathematics with Applications,2018,75(3):1044-1059.
[23]李诗云,朱晓武.雾霾指数期权合约设计及蒙特卡罗模拟定价[J].系统工程理论与实践,2016(10):2477-2488.
[24]Mariani M C,Bhuiyan M,Tweneboah O K.Estimation of stochastic volatility by using Ornstein-Uhlenbeck type models[J]Physica A:Statistical Mechanics and its Applications,2017,491:167-176.
[25]左玉辉,孙平,华新,等.人与环境[M].北京:高等教育出版社,2010.
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[27]袁晓玲,李浩,杨万平.机动车限行政策能否有效改善西安市的空气质量?[J].统计与信息论坛,2018(6):107-114.
[28]中央人民政府.环境保护部发布2017年6月和上半年重点区域和74个城市空气质量状况[EB/OL].(2017-07-20).http://www.gov.cn/xinwen/2017-07/20/content_5211921.htm.
[29]Janusz G,Agnieszka W.Time-changed Ornstein-Uhlenbeck process[J].Journal of Physics A:Mathematical and Theoretical2015,48(13):1-18.
[30][法]贝尔图安.Lévy过程[M].北京:世界图书出版公司,2010.
[2]石家庄市人民政府.石家庄市重点工业行业结构调整提升规划(2017-2019年)[EB/OL].(2017-06-13).http://new.sjz.gov.cn/col/1490952412368/2017/06/13/1497344312956.html.
[3]生态环境部.京津冀大气污染防治强化措施(2016-2017年)[EB/OL].(2016-12-13).http://www.cma.gov.cn/root7/auto13139/201612/t20161213_349630.html.
[4]生态环境部.京津冀及周边地区2017年大气污染防治工作方案[EB/OL].(2017-03-29).http://huanbao.bjx.com.cn/news/20170329/817320.shtml.
[5]陈娟,李巍,程红光,等.北京市大气污染减排潜力及居民健康效益评估[J].环境科学研究,2017(7):1114-1121.
[6]蔺丰奇,吴卓然.京津冀生态环境治理:从“碎片化”到整体性[J].河北经贸大学学报,2017(3):96-103.
[7]李云燕,王立华,马靖宇,等.京津冀地区大气污染联防联控协同机制研究[J].环境保护,2017(25):45-50.
[8]王星.雾霾与经济发展--基于脱钩与EKC理论的实证分析[J].兰州学刊,2015(12):157-164.
[9]董战峰,高晶蕾,严小东,等.重点区域大气污染防治行动计划实施的社会经济影响对比[J].环境科学研究,2017(3):380-388.
[10]Wang L,Zhang F,Pilot E,et al.Taking action on air pollution control in the Beijing-Tianjin-Hebei(BTH)Region:Progress,challenges and opportunities[J].International Journal of Environmental Research and Public Health,2018,15(2):1-27.
[11]Sun X H.The Beijing-Tianjin-Hebei Region’s analysis of air quality assessment[C]//Proceedings of the 6th international c o n f e r e n c e o n e l e c t r o n i c,m e c h a n i c a l,i n f o r m a t i o n a n d management society.Paris:Atlantis Press,2016.
[12]佟林杰,孟卫东.基于PSR-PCA模型的京津冀区域大气环境治理绩效评级实证研究[J].数学的实践与认识,2017(11):16-25.
[13]Wang H B,Zhao L J.A joint prevention and control mechanism for air pollution in the Beijing-Tianjin-Hebei Region in China based on long-term and massive data mining of pollutant concentration[J].Atmospheric Environment,2018,174:25-42.
[14]Wu D,Xu Y,Zhang S Q.Will joint regional air pollution control be more cost-effective?An empirical study of China’s BeijingTianjin-Hebei Region[J].Journal of Environmental Management2015,149:27-36.
[15]薛俭,谢婉林,李常敏.京津冀大气污染治理省际合作博弈模型[J].系统工程理论与实践,2014(3):810-816.
[16]Dischel B.At last:A model for weather risk[J].Energy and Power Risk Management,1998,11(3):20-21.
[17]Alaton P,Djehiche B,Stillberger D.On modelling and pricing weather derivatives[J].Applied Mathematical Finance,2002,9(1):1-20.
[18]Benth F E,Benth J?.The volatility of temperature and pricing of weather derivatives[J].Quantitative Finance,2007,7(5):553-561.
[19]Zapranis A,Alexandridis A.Weather derivatives pricing:Modeling the seasonal residual variance of an Ornstein-Uhlenbeck temperature process with neural networks[J].Neurocomputing,2009,73(1):37-48.
[20]李永,吴丹,崔习刚.基于拓展O-U模型的天气衍生品定价拟合优化分析[J].统计与决策,2013(18):51-53.
[21]王明亮,何建敏,曹杰.基于气温指数的我国天气衍生品定价研究[J].数理统计与管理,2015(2):217-227.
[22]Li P.Pricing weather derivatives with partial differential equations of the Ornstein-Uhlenbeck process[J].Computers&Mathematics with Applications,2018,75(3):1044-1059.
[23]李诗云,朱晓武.雾霾指数期权合约设计及蒙特卡罗模拟定价[J].系统工程理论与实践,2016(10):2477-2488.
[24]Mariani M C,Bhuiyan M,Tweneboah O K.Estimation of stochastic volatility by using Ornstein-Uhlenbeck type models[J]Physica A:Statistical Mechanics and its Applications,2017,491:167-176.
[25]左玉辉,孙平,华新,等.人与环境[M].北京:高等教育出版社,2010.
[26]HJ 663-2013,环境空气质量评价技术规范(试行)[S].
[27]袁晓玲,李浩,杨万平.机动车限行政策能否有效改善西安市的空气质量?[J].统计与信息论坛,2018(6):107-114.
[28]中央人民政府.环境保护部发布2017年6月和上半年重点区域和74个城市空气质量状况[EB/OL].(2017-07-20).http://www.gov.cn/xinwen/2017-07/20/content_5211921.htm.
[29]Janusz G,Agnieszka W.Time-changed Ornstein-Uhlenbeck process[J].Journal of Physics A:Mathematical and Theoretical2015,48(13):1-18.
[30][法]贝尔图安.Lévy过程[M].北京:世界图书出版公司,2010.
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