ARFIMA approximation and forecasting of the limiting aggregate structure of long‐memory process

This article studies Man and Tiao's (2006) low‐order autoregressive fractionally integrated moving‐average (ARFIMA) approximation to Tsai and Chan's (2005b) limiting aggregate structure of the long‐memory process. In matching the autocorrelations, we demonstrate that the approximation works well, especially for larger d values. In computing autocorrelations over long lags for larger d value, using the exact formula one might encounter numerical problems. The use of the ARFIMA(0, d, d?₁) model provides a useful alternative to compute the autocorrelations as a really close approximation. In forecasting future aggregates, we demonstrate the close performance of using the ARFIMA(0, d, d?₁) model and the exact aggregate structure. In practice, this provides a justification for the use of a low‐order ARFIMA model in predicting future aggregates of long‐memory process. Copyright © 2008 John Wiley & Sons, Ltd.     

Dynamic density forecasts for multivariate asset returns

We propose a simple and flexible framework for forecasting the joint density of asset returns. The multinormal distribution is augmented with a polynomial in (time‐varying) non‐central co‐moments of assets. We estimate the coefficients of the polynomial via the method of moments for a carefully selected set of co‐moments. In an extensive empirical study, we compare the proposed model with a range of other models widely used in the literature. Employing a recently proposed as well as standard techniques to evaluate multivariate forecasts, we conclude that the augmented joint density provides highly accurate forecasts of the ‘negative tail’ of the joint distribution. Copyright © 2010 John Wiley & Sons, Ltd.     

基于车辆动力学的轨迹跟踪器设计

轨迹跟踪是移动机器人导航中的核心问题之一。针对非完整运动约束车辆,利用反馈线性化方法设计了轨迹跟踪器,仿真研究了跟踪算法的鲁棒性。最后,介绍了工程实现中参数观测器设计等相关问题。     

基于PSO参数辨识SVM的中长期径流预测研究

以径向基函数作为核函数,利用微粒群(PSO)算法的全局寻优特性进行支持向量机(SVM)的参数辩识.在微粒群搜索参数前,先对参数进行指数变换,使[0,1]和[1,∞]有着相同的搜索概率.微粒群算法的适应值函数是以支持向量机模型的推广能力为标准的,讨论了测试样本的最小误差和留一法对支持向量机学习方法推广能力的两种估计.最后...     

香格里拉区域大气本底站环境特征初探

介绍了香格里拉大气本底站的站址地理分布特征,分析和总结了近年来的基本气象要素特征,通过轨迹-聚类方法分析了影响该站的气流来源.轨迹分析结果表明:香格里拉区域大气本底观测站对于探讨南亚地区的大气成分远距离输送对我国西南地区的环境影响具有独特的作用.     

基于空间分集和轨迹连续的实时Fingerprint定位算法

在室外复杂环境下,接收信号强度的浮动是制约Fingerprint定位精度的一个主要问题。传统的方法利用时间分集和平均滤波器来减小信号的浮动,这增加了定位的延迟,无法满足室外实时定位的需求。为了解决信号浮动和定位延迟问题,在分析接收信号强度空间相关性的基础上,提出了一种实时的Fingerprint定位算法,利用空间分集减小信号的浮动和定位延迟,同时根据运动物体轨迹的连续性提高定位精度。室外环境下的实验结果表明了所提算法能显著提高Fingerprint定位系统的性能。     

加恒定轴向磁场螺旋型波荡器中的单电子轨道分析

研究了在包含恒定轴向磁场的螺旋型波荡器中运动的电子动力学行为.采用Mathematica数值模拟考察一般条件下的电子轨道及其在横向平面内的投影形状.在电子入射偏离理想螺旋型轨道的情况下,电子在波荡器中的运动轨道在横向平面内的投影曲线可能是周期或者准周期的,对此作了讨论并给出了相应的判据.     

用准经典轨线方法研究O(1D)+DBr→OD+Br反应的极化分布

运用准经典轨线法结合Peterson 从头计算势能面, 在碰撞能为0.22 eV 时对O(¹D) +DBr(v=0, j=0) → OD+Br 反应进行了细致的立体动力学性质研究. 极化微分反应截面(PDDCSs)给出了反应产物的散射方向. 反映k 与j′ 两矢量相关的函数P(θ_r)的分布表明产物分子的转动角动量j′在垂直于反应物相对速度矢量k 的方向上有强烈的取向分布; 反映k, k′与j′三矢量相关的函数P(ø_r)的分布表明产物转动角动量j′不仅有沿着y 轴的取向效应,还有沿着y 轴负方向的定向效应; 描述产物转动角动量j′的空间分布函数P(θ_r,ø_r)说明反应垂直于散射平面极化. 质量因子的不同, 使得O(¹D)+DBr 反应的极化与O(¹D)+HBr 反应的极化有明显的差异, 说明同位素效应比较明显.     

灰色预测模型特性的研究

对 GM(1 ,1 )模型特性进行了研究 ,证明了 GM(1 ,1 )模型是有偏差的指数模型 ,分析了模型偏差的特性 ,进而从理论上阐明了 GM(1 ,1 )模型误差的实质 .     

A Neuro‐wavelet Model for the Short‐Term Forecasting of High‐Frequency Time Series of Stock Returns

We propose a wavelet neural network (neuro‐wavelet) model for the short‐term forecast of stock returns from high‐frequency financial data. The proposed hybrid model combines the capability of wavelets and neural networks to capture non‐stationary nonlinear attributes embedded in financial time series. A comparison study was performed on the predictive power of two econometric models and four recurrent neural network topologies. Several statistical measures were applied to the predictions and standard errors to evaluate the performance of all models. A Jordan net that used as input the coefficients resulting from a non‐decimated wavelet‐based multi‐resolution decomposition of an exogenous signal showed a consistent superior forecasting performance. Reasonable forecasting accuracy for the one‐, three‐ and five step‐ahead horizons was achieved by the proposed model. The procedure used to build the neuro‐wavelet model is reusable and can be applied to any high‐frequency financial series to specify the model characteristics associated with that particular series. Copyright © 2013 John Wiley & Sons, Ltd.