非线性时间序列建模的混合GARCH方法

在文献[1]的基础上，首次提出混合广义自回归务件异方差（Mixture Generalized Autoregressive Conditional Heteroscedastic Model简记MGARCH）模型；给出并证明了MGARCH模型的一阶平稳性的充分必要条件及二阶平稳性的充分务件；给出该模型参数估计的EM算法：利用BIC定阶准则对MGARCH模型的各成份进行定阶；计算结果表明该模型对金融非线性时间序列中存在的变异率现象具有较强的描述能力，有广阔的应用前景。     

混合自回归滑动平均模型———MARMA

提出一类新的用于非线性时间序列建模的混合自回归滑动平均模型(Mixture autoregressive movingaverage model简记MARMA).该模型条件分布富于变化的特点使得它能够描述非对称、多峰、以及条件异方差等非Gauss特征.研究得到了MARMA模型的平稳性条件和自相关函数.利用BIC(Bayes informationcriterion)准则来选择模型.运用EM(expectation maximization)算法估计模型的参数.将MARMA模型应用于一组金融数据,并和其它模型做比较.结果表明MARMA模型能够更准确地描述该数据的特征.     

Learning Granger causality graphs for multivariate nonlinear time series

An information theory method is proposed to test the. Granger causality and contemporaneous conditional independence in Granger causality graph models. In the graphs, the vertex set denotes the component series of the multivariate time series, and the directed edges denote causal dependence, while the undirected edges reflect the instantaneous dependence. The presence of the edges is measured by a statistics based on conditional mutual information and tested by a permutation procedure. Furthermore, for the existed relations, a statistics based on the difference between general conditional mutual information and linear conditional mutual information is proposed to test the nonlinearity. The significance of the nonlinear test statistics is determined by a bootstrap method based on surrogate data. We investigate the finite sample behavior of the procedure through simulation time series with different dependence structures, including linear and nonlinear relations.     

Latent ancestral graph of structure vector autoregressive models

A class of latent ancestral graph for modelling the dependence structure of structural vector autoregressive (VAR) model affected by latent variables is proposed.The graphs are mixed graphs with possibly two kind of edges,namely directed and bidirected edges.The vertex set denotes random variables at difforent times.In Gaussian case,the latent ancestral graph leads to a simple parameterization model.A modified iterative conditional fitting algorithm is presented to obtain maximum likelihood estimation of the parameters.Furthermore,a log-likelihood criterion is used to select the most appropriate models.Simulations are performed using illustrative examples and results are provided to demonstrate the validity of the methods.     

结构VAR模型辨识的条件互信息图模型

在结构向量自回归(VAR)模型辨识的图模型中引入信息论方法.定义了线性条件互信息图,图中的结点表示时间序列不同时刻的随机变量,结点间的边表示随机变量之间存在的因果相依关系.提出了随机变量之间条件线性联系存在性的信息论检验方法.图中边的存在性用基于线性条件互信息的枢轴量检验,枢轴量的显著性用置换检验决定.用统计分析的方法确定当前变量之间联系的方向,建立了有向非循环图.最后以模拟序列为例,验证了所提出的方法是可行且有效的.     

Direct adaptive control for a class of MIMO nonlinear discrete-time systems

This paper considers the problem of adaptive con-trol for a class of multiple input multiple output （MIMO） nonlinear discrete-time systems based on input-output model with unknown interconnections between subsystems. Based on the Taylor ex-pand technology, an equivalent model in affine-like form is derived for the original nonaffine nonlinear system. Then a direct adap-tive neural network （NN） control er is implemented based on the affine-like model. By finding an orthogonal matrix to tune the NN weights, the closed-loop system is proven to be semiglobal y uni-formly ultimately bounded. The σ-modification technique is used to remove the requirement of persistence excitation during the adaptation. The control performance of the closed-loop system is guaranteed by suitably choosing the design parameters.     

股指期货仿真交易与现货相互引导关系

以沪深300股指期货仿真交易数据及沪深300指数为研究样本,在结合定性分析的同时,运用E-G协整检验、G ranger因果分析法对两个市场之间的长期均衡关系进行了研究,并通过使用向量自回归(VAR)模型、向量误差修正(VEC)模型、脉冲响应分析和方差分解等方法,进一步对变量间的相互引导关系进行了分析。结果表明仿真交易合约与HS300指数之间互为因果引导关系,且期货市场调整到均衡状态的速度要远快于现货市场。同时研究也发现,股指期货虽然在一定程度上对现货市场产生了一定的影响,在定价中也发挥了一定的作用,但是在价格发现方面总体来说受到现货市场的影响还是占相对主导地位,即我国仿真交易中的股指期货还没有达到成熟期货市场的价格发现水平。     

基于高频方差持续的资本资产定价模型研究

对高频金融时间序列的“已实现”波动和“已实现”协方差提出相应的模型并建立“已实现”波动自回归移动平均模型和“已实现”波动向量自回归模型.同时,给出了高频时间序列持续性定义及相关性质.在“已实现”波动自回归移动平均模型基础上,从条件方差持续性的角度,讨论了条件方差的持续性对资产资本定价模型的影响.又进一步讨论了多资产组合条件下,“已实现”波动向量自回归模型持续性对组合投资的影响.给出了基于“已实现”波动自回归移动平均模型的实证分析,指出当模型具有单位根时条件方差对资产定价的影响是持续的.最后讨论了条件方差持续性质在金融分析中的现实意义.     

Conditional Estimation of Wind Velocity Based on VAR Model

The vector autoregressive （VAR） model is established with the wind velocity data from four wind observations, which are established on the Sutong Bridge reach of the Changjiang River and in Changshu, Haimen and Nantong meteorological observation stations. Based on the VAR model, the result of Granger causality test indicated that there is Granger causality between most of the variables. Consequently the missing wind velocity values of Sutong bridge are estimated with the condition of the wind velocity data from the other three observatories, and the result of the conditional estimation is comparatively perfect.     

Consensus algorithm for multiple quadrotor systems under fixed and switching topologies

The distributed leadless consensus problem for multiple quadrotor systems under fixed and switching topologies is investigated. The objective is to design protocols achieving consensus for networked quadrotors＇ positions and attitudes. Because the model of a quadrotor is a strong high-order nonlinear coupling system, the approach of feedback linearization is employed to transform the model into a group of four linear subsystems among which there is no coupling. Then, a consensus algorithm is proposed which consists of a local feedback controller and interactions from the finite neighbors under fixed undirected topologies. Especially, the problem of choosing the parameters in the consensus algo-rithm is also addressed, enlightened by the results of the robust control theory. Furthermore, it is proved that the proposed algo-rithm also guarantees the consensus under undirected switching topologies. Simulation results show the effectiveness of the pro- posed algorithm.     

Nonlinear autopilot design for interceptors with tail fins and pulse thrusters via θ-D approach

The missile autopilot for an interceptor with tail fins and pulse thrusters is designed via the θ-D approach. The nonlin- ear dynamic model of the pitch and yaw motion of the missile is transformed into a linear-like structure with state-dependent coef- ficient （SDC） matrices. Based on the linear-like structure, a θ-D feedback controller is designed to steer the missile to track refer- ence acceleration commands. A sufficient condition that ensures the asymptotic stability of the tracking system is given based on Lyapunov＇s theorem. Numerical results show that the proposed autopilot achieves good tracking performance and the closed-loop tracking system is asymptotically stable.     

Frequency domain polarization weighted ESPRIT method for bearing angle

The signal to noise ratio （SNR） of seismic waves is usually very low after long distance transmission. For this condition, to improve the bearing estimation capability in the low SNR, a frequency domain polarization weighted ESPRIT method using a single vector device is proposed. The frequency domain polari- zation parameters extracted from the signals are used to design the weighted function which is applied to the received signals. The bearing angle and the target frequency are estimated through ESPRIT using the weighted signals. The simulation and experiment results show that the presented method can obtain accurate estimation values under the low SNR with little prior information.     

中国证券市场波动与收益的非线性相关

考察我国沪深两市指数收益的序列独立性.表明证券市场收益序列尽管线性自相关现象不显著,却存在着明显的非线性相关关系.而且这种非线性相关关系一般可由“ARCH效应”来加以解释,即波动聚类性是形成非线性相关的主要原因.应用BDS统计方法对收益残差的检验显示,GARCH(1,1)形式能够很好地刻画上证综合指数的非线性和波动性特征,ARCH(3)形式则能够很好地刻画深证综合指数的生成过程.     

新型小波支持向量机在波动率预测中的实证研究

运用支持向量机进行广义自回归条件异方差(GARCH)模型预测所面临的一个主要问题就是普通核函数难以准确捕捉股指波动率的聚集特征.然而小波函数却具备以任意时间粒度在任意位置刻画任一时间序列的能力.因此,本文基于小波分析与核函数理论,构造了一个满足mercer条件的多尺度小波核来解决这一问题.通过真实股指数据分析,小波支持向量机在波动率预测中的有效性获得了证实.     

Interactive multigraph visualization and exploration with a two-phase strategy

While it is very reasonable to use a multigraph consisting of multiple edges between vertices to represent various relationships, the multigraph has not drawn much attention in research. To visualize such a multigraph, a clear layout representing a global structure is of great importance, and interactive visual analysis which allows the multiple edges to be adjusted in appropriate ways for detailed presentation is also essential. A novel interactive two-phase approach to visualizing and exploring multigraph is proposed. The approach consists of two phases： the first phase improves the previous popular works on force-directed methods to produce a brief drawing for the aggregation graph of the input multigraph, while the second phase proposes two interactive strategies, the magnifier model and the thematic-oriented subgraph model. The former highlights the internal details of an aggregation edge which is selected interactively by user, and draws the details in a magnifying view by cubic Bezier curves; the latter highlights only the thematic subgraph consisting of the selected multiple edges that the user concerns. The efficiency of the proposed approach is demonstrated with a real-world multigraph dataset and how it is used effectively is discussed for various potential applications.     

Ripple-effect analysis for operational architecture of air defense systems with supernetwork modeling

In order to solve the problem that the ripple-effect analy- sis for the operational architecture of air defense systems （OAADS） is hardly described in quantity with previous modeling approaches, a supernetwork modeling approach for the OAADS is put for- ward by extending granular computing. Based on that operational units and links are equal to different information granularities, the supernetwork framework of the OAADS is constructed as a “four- network within two-layer” structure by forming dynamic operating coalitions, and measuring indexes of the ripple-effect analysis for the OAADS are given combining with Laplace spectral radius. In this framework, via analyzing multidimensional attributes which inherit relations between operational units in different granular scales, an extended granular computing is put forward integrating with a topological structure. Then the operation process within the supernetwork framework, including transformation relations be- tween two layers in the vertical view and mapping relations among functional networks in the horizontal view, is studied in quantity. As the application case shows, comparing with previous modeling approaches, the supernetwork model can validate and analyze the operation mechanism in the air defense architecture, and the ripple-effect analysis can be used to confirm the key operational unit with micro and macro viewpoints.     

投资者情绪影响香港股票市场吗?

本文选取香港股票市场的封闭式基金折价率,initial public offering(IPO)首日收益率,IPO数量,市场成交量和换手率等五个原始情绪指标,利用主成分分析法构造了综合投资者情绪指数,然后应用autoregressive moving average-generalized autoregressive conditional heteroskedasticity(ARMA-GARCH)族模型分别剔除了综合投资者情绪指数与香港恒生指数中的趋势因素和季节因素等外在影响,对ARMA-GARCH模型的残差作相关性分析和Granger因果关系检验.研究表明,ARMA-GARCH族模型能有效处理投资者情绪指数和香港恒生指数的自相关性和异方差性.Granger因果检验发现在短期内恒生指数收益率是投资者情绪的Granger原因,即当香港股市处于上升阶段时,投资者情绪会更加乐观,而当股市处于下降阶段时,投资者情绪则会变的更加悲观.     

VARIABLE SELECTION FOR COVARIATE ADJUSTED REGRESSION MODEL

This paper employs the SCAD-penalized least squares method to simultaneously select variables and estimate the coefficients for high-dimensional covariate adjusted linear regression models. The distorted variables are assumed to be contaminated with a multiplicative factor that is determined by the value of an unknown function of an observable covariate. The authors show that under some appropriate conditions, the SCAD-penalized least squares estimator has the so called ＂oracle property＂. In addition, the authors also suggest a BIC criterion to select the tuning parameter, and show that BIC criterion is able to identify the true model consistently for the covariate adjusted linear regression models. Simulation studies and a real data are used to illustrate the efficiency of the proposed estimation algorithm.     

Web software reliability modeling with random impulsive shocks

As the web-server based business is rapidly developed and popularized, how to evaluate and improve the reliability of web-servers has been extremely important. Although a large num- ber of software reliability growth models （SRGMs）, including those combined with multiple change-points （CPs）, have been available, these conventional SRGMs cannot be directly applied to web soft- ware reliability analysis because of the complex web operational profile. To characterize the web operational profile precisely, it should be realized that the workload of a web server is normally non-homogeneous and often observed with the pattern of random impulsive shocks. A web software reliability model with random im- pulsive shocks and its statistical analysis method are developed. In the proposed model, the web server workload is characterized by a geometric Brownian motion process. Based on a real data set from IIS server logs of ICRMS website （www.icrms.cn）, the proposed model is demonstrated to be powerful for estimating impulsive shocks and web software reliability.     

Expansion modelling of discrete grey model based on multi-factor information aggregation

This paper aims to study a novel expansion discrete grey forecasting model, which could aggregate input information more effectively. In general, existing multi-factor grey forecasting models, such as one order and h variables grey forecasting model （GM （1, h））, always aggregate the main system variable and independent variables in a linear form rather than a nonlinear form, while a nonlinear form could be used in more cases than the linear form. And the nonlinear form could aggregate collinear independent factors, which widely lie in many multi-factor forecasting problems. To overcome this problem, a new approach, named as the Solow residual method, is proposed to aggregate independent factors. And a new expansion model, feedback multi-factor discrete grey forecasting model based on the Solow residual method （abbreviated as FDGM （1, h））, is proposed accordingly. Then the feedback control equation and the parameters＇ solution of the FDGM （1, h） model are given. Finally, a real application is used to test the modelling accuracy of the FDGM （1, h） model. Results show that the FDGM （1, h） model is much better than the nonhomogeneous discrete grey forecasting model （NDGM） and the GM （1, h） model.