Long Memory of Financial Time Series and Hidden Markov Models with Time‐Varying Parameters

Hidden Markov models are often used to model daily returns and to infer the hidden state of financial markets. Previous studies have found that the estimated models change over time, but the implications of the time‐varying behavior have not been thoroughly examined. This paper presents an adaptive estimation approach that allows for the parameters of the estimated models to be time varying. It is shown that a two‐state Gaussian hidden Markov model with time‐varying parameters is able to reproduce the long memory of squared daily returns that was previously believed to be the most difficult fact to reproduce with a hidden Markov model. Capturing the time‐varying behavior of the parameters also leads to improved one‐step density forecasts. Finally, it is shown that the forecasting performance of the estimated models can be further improved using local smoothing to forecast the parameter variations. Copyright © 2016 John Wiley & Sons, Ltd.     

并联式混合动力发动机神经网络法转矩预测与闭环控制

利用实际发动机的标定数据搭建了GT-Suite及Matlab/Simulink联合仿真模型，建立了基于进气和发动机状态参数的预测转矩反馈协同控制模块。对比了ANN法和现有发动机的标定脉谱插值预测（MAP）法2种方法下发动机稳态及瞬态转矩变化、升降挡等工况预测的结果误差，结果表明：稳态工况下MAP法较为可靠，低、中、高3种发动机转速下转矩预测波动小，误差比ANN法低1.31%、1.09%和1.52%；实际瞬态转矩跃变及阶跃工况下，ANN法较MAP法误差低5.62%和1.32%，升降挡工况下低1.93%和0.84%。     

静止状态下直线感应电机的参数辨识方法

直线感应电机气隙较大,并且次级一般是由整块的铝板和次级铁轭压制而成.由于此种次级没有类似于旋转感应电机的鼠笼导条和短路环,导致次级漏感远远小于初级漏感.传统的测量电机参数的空载和堵转试验假设初、次级漏感相等,在直线感应电机中难以实施,因此测量直线感应电机的参数难度较大.本文提出了一种静止状态下直线感应电机的参数辨识方法,无须做空载和堵转试验,通过控制PWM逆变器就可以实现对直线感应电机的初级电阻R1、初级漏感L1、次级电阻R2、次级漏感L2和互感Lm的测量.在参数计算过程中引入了β参数,实验验证了该方法的准确性并且分析了β参数对该方法的影响.     

Revisiting Targeted Factors

This paper proposes new methods for ‘targeting’ factors estimated from a big dataset. We suggest that forecasts of economic variables can be improved by tuning factor estimates: (i) so that they are both more relevant for a specific target variable; and (ii) so that variables with considerable idiosyncratic noise are down‐weighted prior to factor estimation. Existing targeted factor methodologies are limited to estimating the factors with only one of these two objectives in mind. We therefore combine these ideas by providing new weighted principal components analysis (PCA) procedures and a targeted generalized PCA (TGPCA) procedure. These methods offer a flexible combination of both types of targeting that is new to the literature. We illustrate this empirically by forecasting a range of US macroeconomic variables, finding that our combined approach yields important improvements over competing methods, consistently surviving elimination in the model confidence set procedure. Copyright © 2016 John Wiley & Sons, Ltd.     

An effective estimation of distribution algorithm for parallel litho machine scheduling with reticle constraints

In order to improve the scheduling efficiency of photolithography, bottleneck process of wafer fabrications in the semiconductor industry, an effective estimation of distribution algorithm is pro-posed for scheduling problems of parallel litho machines with reticle constraints, where multiple reti-cles are available for each reticle type.First, the scheduling problem domain of parallel litho ma-chines is described with reticle constraints and mathematical programming formulations are put for-ward with the objective of minimizing total weighted completion time.Second, estimation of distribu-tion algorithm is developed with a decoding scheme specially designed to deal with the reticle con-straints.Third, an insert-based local search with the first move strategy is introduced to enhance the local exploitation ability of the algorithm.Finally, simulation experiments and analysis demonstrate the effectiveness of the proposed algorithm.     

New Robust Global Motion Estimation Approach Used in MPEG-4

The Global Motion Estimation ( GME)technique is importantfor‘sprites’ generation andobject segmentation tasks involved in MPEG- 4.This paper presents a new robust GME approachusing the novel idea to pre- analyze scene contentbefore motion estimation. The pre- analysis isbased on Spatial Temporal Gradient Scale ( STGS)images derived from the original image sequences.As a result,outliers can be removed from thedominant motion estimate at the initial estimationstep. Compared with class…     

基于市场法的软件价值类比估计评估模型研究

随着软件行业的高速发展,计算机软件的价值评估受到广泛重视.基于市场法的软件价值类比估计评估模型及其应用,从评估理论出发,联系软件实际特点,构建了类比估计中的具体步骤和相似性度量的具体计算方法.研究表明,构建的计算方法克服了学术论文偏重理论的缺陷,在评估实务中的可操作性、评估结果的客观性方面得到明显改进.因此,本方法为市场法在软件评估中广泛应用奠定了基础.     

对数正态总体的容忍限和容忍区间估计

对数正态总体在数理统计中占有重要的地位。本文从容忍限和容忍区间的定义出发，给出了对数正态总体的水平为（1-β，1-γ）的容忍限和容忍区间的估计。     

基于无线局域网定位的误差关键因素分析与仿真

在基于无线局域网定位问题中,采样点间距、接入点的个数以及环境的干扰是影响定位平均误差的重要因素,但是对于这些参数的选取目前还没有系统的指导,主要根据经验来确定.提出了一个表示定位平均误差的数学模型,形式化地全面概括了定位问题中的关键因素.基于该模型,分析了采样点间距,接入点个数和环境与定位平均误差之间的关系.仿真结果表明采样点间距取1米即可满足定位的要求,选择多于3个接入点的定位对于弥补环境干扰,减小定位误差有显著的作用.     

基于导频的FBMC/OQAM系统的信道估计方法

与正交频分复用(OFDM)技术相比,滤波器组多载波技术(FBMC)拥有更高的频谱利用率以及更容易实现的脉冲整形,被看成潜在的替代OFDM作为未来5G物理层的备选技术方案.然而,在实际应用中,由于FBMC/OQAM系统中滤波器仅仅在实数域满足正交,在虚数域存在固有干扰,所以经典的OFDM信道估计的方法不能直接应用于FBMC/OQAM系统的信道估计中.针对这个问题,给出了一种新的基于离散导频的信道估计方法,该方法将对导频造成干扰的数据块进行分区域处理,在不同区域分别使用不同的干扰消除方案,分步消除固有干扰.通过仿真表明,所提出的方法使得信道估计性能得到了明显改善,提高了FBMC/OQAM系统的性能.