TESTING FOR OUTLIERS IN TIME SERIES USING WAVELETS

One remarkable feature ofwavelet decomposition is that the wavelet coefficients are localized, and any singularity in the input signals can only affect the wavelet coefficients at the point near the singularity. The localized property of the wavelet coefficients allows us to identify the singularities in the input signals by studying the wavelet coefficients at different resolution levels. This paper considers wavelet-based approaches for the detection of outliers in time series. Outliers are high-frequency phenomena which are associated with the wavelet coefficients with large absolute values at different resolution levels. On the basis of the first-level wavelet coefficients, this paper presents a diagnostic to identify outliers in a time series. Under the null hypothesis that there is no outlier, the proposed diagnostic is distributed as a X1^2. Empirical examples are presented to demonstrate the application of the proposed diagnostic.     

CLAIM HEDGING IN AN INCOMPLETE MARKET

In this paper, we compare the performance of the optimal attainable payoffs (of a general claim) derived by the variance-optimal approach and the indifference argument under the mean-variance preference in an incomplete market. Both payoffs are expressed by the signed variance-optimal martingale measure. Our results are applied to the claim hedging under partial information.     

BOTTLENECKS IN PRODUCTION NETWORKS： AN OVERVIEW

1. Introduction Performances of a production system, such as the throughput, the circle time and the average delay, etc., are affected by the capacities of machines and resources available in the system. Some of them may affect the system performances more than others. Usually, the limitation of a system can be traced to the limitation of one or two machines or one or two kinds of resources, commonly called bottlenecks. From system point of view, bottlenecks are the congestion points of the sy…     

R ＆ D STRATEGIC INVESTMENT IN AN ASYMMETRICAL CASE

This article analyzes R ＆ D investment decisions in an asymmetrical case. The investment decisions share three important characteristics. First, the investment is completely irreversible. Second, there are two kinds of uncertainties over the future returns from the investment and over technology in R ＆ D process, respectively. Third, there is strategic competition in the asymmetrical case. This article presents the optimal investment threshold values and the optimal investment rule of high-efficient firm （leader）, and shows that the investment threshold values are reduced by competition of two firms. Finally, the mixed investment strategies for two firms, the probability that each firm separately exercises the option to invest, and the probability that two firms simultaneously exercise the option are given in the paper.     

SOME PROBLEMS OF LYAPUNOV METHOD IN LINEAR CONTINUOUS-TIME SYSTEM

In this paper,some problems of Lyapunov method in linear continuous-time systemare discussed.In part 1,some motivations are given.In part 2,in order to get a good estimate ofthe decaying time in the system,the concept of appropriate Lyapunov function is introduced andthe condition of the system is given to guarantee the existence of the appropriate Lyapunov functionAn application of the appropriate Lyapunov function is introduced to give the bound of time varyingperturbation for the stable system.In part 3,some extensions of the Lyapunov asymptotical stabilitytheorem are given,where the condition of the total derivative of the Lyapunov function along thetrajectory of the system can be reduced from negative definiteness to semi-negative definiteness andcommon quadratic forms with some reasonable conditions,the example shows the extensions areinteresting.     

A MULTI-AGENT SYSTEM FOR MANAGING THE QUALITY OF SERVICE IN TELECOMMUNICATIONS NETWORKS

1. Introduction In this paper we propose X-MAQoS, a novel XML-based multi-agent system for the QoS management in telecommunications networks. The motivations underlying our system and its general characteristics are illustrated in this section. Specifically, the motivations are presented in Section 1.1, whereas the general characteristics are described in Section 1.2. 1.1 Motivations The last few years are witnessing a fast evolution of the telecommunications systems towards the full dep…     

GENERIC POINTS IN ALGEBRAIC GEOMETRY AND LOEB MEASURES

For any irreducible complex projective variety A,we prove that in the nonstandard ex-tension ~*A of A in a polysaturated model,the set of points which are not generic points of A has Loebmeasure zero.This is similar to the Sard theorem asserting that the critical values of a smooth maphave Lebesgue measure zero.     

TESTING FOR LONG MEMORY IN THE ASIAN FOREIGN EXCHANGE RATES

In this paper,we use the plug-in and Whittle methods that are based on spectral regressionanalysis to test for the long memory property in 12 Asian/dollar daily exchange rates.The resultsaccording to the plug-in method show that with the exception of Chinese renminbi all series may havelong memory properties.The results based on the Whittle method,on the other hand,show that onlyJapanese yen and Malaysian ringgit may have long memory properties.It is well known that inference about the differencing parameter,d,in presence of structural breakin a series entails considerable difficulties.Therefore,given the financial crisis of 1997-1998 in Asia,further tests for unravelling of the memory property and presence of structural break in the exchangerate series are required.     

MARSHALLIAN DEVIATION：NEW OBSERVABLE CRITERION TO MEASURE TRANSACTION PATHS IN DOUBLE AUCTION MARKETS

In measuring the trade process in a double auction (DA) market, there is not any observable criterion that is able to describe the matching pairs and their transaction order dynamically. In this paper, we propose a new observable criterion called Marshallian deviation. It can be used to measure the distance of a transaction path deviating from the Marshallian path mathematically, and to answer the question why buyers with high values will trade with sellers with low costs in advance in some types of DA but not in others. Furthermore, three factors influencing the Marshallian deviations both in the CDA and in the PDA are also studied. They are respectively the strategic algorithm, the transaction duration and the number of traders. A few interesting findings are presented.     

A DYNAMIC APPROACH TO CALCULATE SHADOW PRICES OF WATER RESOURCES FOR NINE MAJOR RIVERS IN CHINA

China is experienciug from serious water issues. There are many differences among the Nine Major Rivers basins of China in the construction of dikes, reservoirs, floodgates, flood discharge projects, flood diversion projects, water ecological constructions, water conservancy management, etc. The shadow prices of water resources for Nine Major Rivers can provide suggestions to the Chinese goverument. This article develops a dynamic shadow prices approach based on a multipeziod input-output optimizing model. Unlike previous approaches, the new model is based on the dynamic computable general equilibrium （DCGE） model to solve the problem of marginal long-term prices of water resources. First, definitions and algorithms of DCGE are elaborated. Second, the results of shadow prices of water resources for Nine Major Rivers in 1949-2050 in China using the National Water Conservancy input-holdiug-out in table for Nine Major Rivers in 1999 are listed. A conclusion of this article is that the shadow prices of water resources for Nine Major Rivers are largely based on the extent of scarcity. Selling prices of water resources should be revised via the usage of parameters representing shadow prices.     

DDFS spurious signals due to amplitude quantization in absence of phase-accumulator truncation

Spurious signals in direct digital frequency synthesizers (DDFSs) are partly caused by amplitude quantization and phase truncation, which affect their application to many wireless telecommunication systems. Thee signals are deterministic and periodic in the time domain, so they appear as line spectra in the frequency domain. Two types of spurious signals due to amplitude quantization are exactly formulated and compared in thetime and frequency domains respectively. Then the frequency spectra and power levels of the spurious signals due to amplitude quantization in the absence of phase-accumulator truncation are emphatically analyzed, and the effects of the DDFS parameter variations on the spurious signals are thoroughly studied by computer simulation. And several important conclusions are derived which can provide theoretical support for parameter choice and spurious performance evaluation in the application of DDFSs.     

多维修类型下汽车的可用性仿真

分析了影响可有性的多种因素，研究了汽车的多维修类型问题。建立了可用度仿真分析模型，并以某轻型汽车为实例进行分析，得到了汽车整个寿命周期中不同截面的可用度，并研究了可用度随行驶里程变化的关系。控制有显著影响的因素进行了仿试验，研究了汽车的最佳运行环境温度和最佳的保养间隔里程，对维修决策提供了有力支持。     

大规模虚拟环境中兴趣管理的研究

简要叙述了在大规模虚拟环境中兴趣管理存在的必要性和重要性，介绍了兴趣管理的不同的分类方法，分析了过去已实现的系统和有关协议框架结构中兴趣管理所采用的方法，最后讨论了现代兴趣管理系统发展的一般趋势。     

基于三元联系数的不确定多属性决策方法

利用集对分析理论对不确定多属性决策方法进行了研究。给出了三元联系数的广义同一度以及候选方案与理想解之间的联系数距离的定义,提出了两种属性权重确知、且属性值为三元联系数的不确定多属性决策方法:广义同一度法和距离法。这两种方法均简洁直观,计算量小,易于在计算机上实现。最后,通过与已有方法的比较和实例分析,阐明了提出方法的有效性和优越性。     

THE SAMPLE SURVEY SCHEME AND ITS EFFECTEVALUATION FOR THE STUDY ON WOMEN'SSTATUS IN CONTEMPORARY CHINA

1.SamplingScheme1.1SUInmaryofSamplingMethodsThesamplepOPulationofthesurveyonwomen'sstatusisthetotalpopulationinrelatedprovinces(municipalitiesorautonomousregions),excludingsmallpartsofmountainousareasinoutlyingdistrictsandthoseareashavingasparsepopulation.Aschemeofstratifiedfourstagesamplingwithunequalprobabilitiesisadopted.Andatwo--phasesamplingtechniqueisalsoused.Weregardurbanareasandruralareasasrelatedtotwosubpopulationsforwhcihweshallestimatethetaxgetvaxiables.Soeveryprovince(municipal…     

On Fixed Points of Linguistic Dynamic Systems

1 Introduction1 Humans employ mostly words in computing and reasoning arriving at conclusions expressed as words from premises expressed in a natural language. When we deal with a special type of dynamic system that modeled by 搘ords? we use the theory of linguistic dynamic systems (LDS) by Wang[17, 18]. This is true especially when we deal with social or economic, rather than engineering or physical systems. For many large complex systems, however, due to the complexity involved and the in…     

数据包络分析方法的研究进展

首先对近年来DEA方法研究的主要成果进行了系统的分析和归纳 ,阐述了它的若干重要问题的主要研究进展。同时 ,在DEA应用方面 ,针对实际问题复杂多样、范围广泛以及DEA模型本身种类较多等特点 ,给出了DEA方法的具体工作步骤 ,并明确了在每个步骤上应该完成的任务。最后 ,提出了DEA方法研究中值得关注的几个问题     

Topological Conditions for Unique Solvability of RLC OP Amp Networks

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中国产业集群结构研究

根据三角形化方法及相关原则,对中国产业集群的类型进行识别.利用结构模型法,绘制中国产业集群递阶层次结构图,在分析中国产业集群产业关联中推动行业部门和带动行业部门基础上,阐述中国产业集群的主要产业关联特征.在计算出结构拓扑图指数基础上,定量分析中国产业集群结构和功能之间的关系,给出了与产业集群功能相关性最好的产业集群拓扑指数.指出了本研究对于未来中国产业结构调整和经济增长方式的转变都具有重要的指导意义.     

摩擦非线性环节的特性、建模与控制补偿综述

首先介绍了机械伺服系统中摩擦非线性环节的动态、静态特性的研究成果和目前常用的几种摩擦模型 ,讨论了摩擦非线性环节对伺服系统的动态性能和静态性能的影响 ,以及摩擦非线性环节导致的极限环振荡、低速爬行等现象。然后对有关摩擦补偿方法方面的研究成果进行了总结 ,介绍了传统的摩擦补偿方法和基于智能控制理论的摩擦补偿方法方面的研究成果。最后 ,展望了该领域今后的发展方向。