共查询到7条相似文献，搜索用时 46 毫秒
1.
针对人民币汇率收益率时间序列数据存在的跳变特征,采用跳扩散模型对其时间序列数据进行描述.为识别跳变规律并解决模型的参数估计问题,提出了基于跳辨识-MCMC的组合算法:即结合Lee-Mykland的跳辨识方法与MCMC(蒙特卡罗马尔可夫链)方法形成组合算法,利用仿真实验,通过误差分析得出组合算法在跳扩散模型参数估计方面效果明显优于单一MCMC方法.以人民币/美元日汇率数据为样本进行实证分析,结果表明组合算法不但能较为准确地识别出汇率收益率的跳变时刻及规律,而且其模型参数估计的有效性大大提高. 相似文献
2.
基于跳扩散模型的石油价格长期趋势分析 总被引：1，自引：0，他引：1
分析了国际石油市场1986至2012年周价格形成机制的长期演变趋势.在讨论均衡理论基础上,以长期市场供求关系解释了国际油价长期波动现象.基于跳扩散模型拟合石油价格动态过程,利用结构变点检验和累积量估计方法进行了实证研究.历史数据分析表明石油价格具有高波动性、高强度跳跃性和上升漂移特征.此外,模型预测即使当前大幅增加石油投资,未来几年内石油价格变化仍会处于一种高频跳跃的上行阶段. 相似文献
3.
Xiangdong LIU;Zeyu MI;Huida CHEN 《系统科学与信息学报》2020,8(1):17-32
Our article discusses a class of Jump-diffusion stochastic differential system under Markovian switching(JD-SDS-MS). This model is generated by introducing Poisson process and Markovian switching based on a normal stochastic differential equation. Our work dedicates to analytical properties of solutions to this model. First, we give some properties of the solution, including existence,uniqueness, non-negative and global nature. Next, boundedness of first moment of the solution to this model is considered. Third, properties about coefficients of JD-SDS-MS is proved by using a right continuous markov chain. Last, we study the convergence of Euler-Maruyama numerical solutions and apply it to pricing bonds. 相似文献
4.
CUI Jin''''an CHEN Lansun Department of Mathematics Xinjiang University Urumuqi .China Institute of Mothemotics Academia Sinica Beijing China 《系统科学与复杂性》1993,(1)
In this papert we consider the asymptotic behavior of a nonautonomous co-operative system. A sufficient condition is obtained for the existence of a unique globallyasymptotically stable strictly positive periodic solution for the nonautonomous systemwhen it is ω-periodic (ω>0). 相似文献
5.
ZHANG Quande 《系统科学与复杂性》1998,(3)
ThisresearchissupportedbytheNationalNaturalScienceFOundationofChinaandtheStateMajorKeyProjectofBasicResearch.1.IntroductionGierer,A.andMeinhardtll]proposedageneralactivator-inhibitormodeltodescribleatheoryofbiologicalpatternformation,wherefigRisanopenboundedregionwithsmoothboundaryafl;uandvaretheconcentrationsoftwosubstances,activatorandinhibitor;d,D,pand7arepositiveconstants;andaisanon-negativeconstant;furthermore,P>1,qtr>0,s20and(p--1)/q相似文献
6.
SHI Peide 《系统科学与复杂性》1994,(3)
ＯＮＢ－ＳＰＬＩＮＥＭ－ＥＳＴＩＭＡＴＯＲＳＩＮＡＳＥＭＩＰＡＲＡＭＥＴＲＩＣＲＥＧＲＥＳＳＩＯＮＭＯＤＥＬ￥ＳＨＩＰｅｉｄｅ（ＤｅｐａｒｔｍｅｎｔｏｆＰｒｏｂａｂｉｌｉｔｙａｎｄＳｔａｔｉｓｔｉｃｓ，ＰｅｋｉｎｇＵｎｉｖｅｒｓｉｔｙ，Ｂｅｉｊｎｇ１... 相似文献
7.
ＡＳＹＭＰＴＯＴＩＣＳＯＦＴＨＥ“ＭＩＮＩＭＵＭＬ＿１－ＮＯＲＭ”ＥＳＴＩＭＡＴＥＳＩＮＡＰＡＲＴＬＹＬＩＮＥＡＲＭＯＤＥＬ￥ＳＨＩＰｅｉｄｅ；ＬＩＧｕｏｙｉｎｇ（ＩｎｓｔｉｔｕｔｅｏｆＳｙｓｔｅｍｓＳｃｉｅｎｃｅ，ＡｃａｄｅｍｉａＳｉｎｉｃａ，Ｂｅ... 相似文献