Dynamic harmonic regression

This paper describes in detail a flexible approach to nonstationary time series analysis based on a Dynamic Harmonic Regression (DHR) model of the Unobserved Components (UC) type, formulated within a stochastic state space setting. The model is particularly useful for adaptive seasonal adjustment, signal extraction and interpolation over gaps, as well as forecasting or backcasting. The Kalman Filter and Fixed Interval Smoothing algorithms are exploited for estimating the various components, with the Noise Variance Ratio and other hyperparameters in the stochastic state space model estimated by a novel optimization method in the frequency domain. Unlike other approaches of this general type, which normally exploit Maximum Likelihood methods, this optimization procedure is based on a cost function defined in terms of the difference between the logarithmic pseudo‐spectrum of the DHR model and the logarithmic autoregressive spectrum of the time series. The cost function not only seems to yield improved convergence characteristics when compared with the alternative ML cost function, but it also has much reduced numerical requirements. Copyright © 1999 John Wiley & Sons, Ltd.     

Forecasting with latent structure time series models: an application to nominal interest rates

In this paper we develop a latent structure extension of a commonly used structural time series model and use the model as a basis for forecasting. Each unobserved regime has its own unique slope and variances to describe the process generating the data, and at any given time period the model predicts a priori which regime best characterizes the data. This is accomplished by using a multinomial logit model in which the primary explanatory variable is a measure of how consistent each regime has been with recent observations. The model is especially well suited to forecasting series which are subject to frequent and/or major shocks. An application to nominal interest rates shows that the behaviour of the three‐month US Treasury bill rate is adequately explained by three regimes. The forecasting accuracy is superior to that produced by a traditional single‐regime model and a standard ARIMA model with a conditionally heteroscedastic error. Copyright © 1999 John Wiley & Sons, Ltd.     

JPEG文件隐形信息检测算法

隐秘信息分析的目的是正确分辨出文件中是否带有隐藏的信息．自然图像和含密图像的DCT系数经过差分之后,它们的直方图会呈现不同的规律,作者以此为特征向量,来检测JPEG图像是否带有隐藏信息．通过对原特征向量进行分析,提取了二次特征,用来估算在JPEG文件中大致所埋的信息量．实验结果表明,这一算法有效．     

高光谱遥感信息智能处理的若干理论与技术问题

高光谱遥感信息处理自动化与智能化具有重要的理论意义和实用价值。作为有效的机器学习算法,支持向量机具有适用高维特征、小样本与不确定性问题的优越性,是一种极具潜力的高光谱遥感分类方法,但需要解决多类问题分类策略、核函数选择与优化、不确定性控制等问题。对高光谱遥感数据挖掘的若干基本问题进行了分析,在构建其框架体系与处理流程的基础上,探讨了可以发现的知识类型、典型的挖掘模式,并分析了一些主要挖掘算法和关键技术。     

一种基于离散小波变换和支持向量机的人脸识别新方法

为提高人脸识别系统的性能,提出了一种基于离散小波变换DWT（discrete wavelet transform）特征提取和支持向量机（SVM）分类的人脸识别方法。首先,采用DWT对人脸图像进行降维和去噪,然后,对小波低频子图像进行核辨别分析（KDA）提取人脸特征,最后,结合SVM进行分类识别。基于该方法,对ORL人脸库进行分类识别,采用39个特征识别率达到98．2％。仿真结果表明,该方法明显减少了高频干扰对人脸特征的影响,增强了特征的辨别能力。而且,SVM有效地提高了分类器的分类和推广能力。     

Forecasting realized volatility of oil futures market: A new insight

In this study we propose several new variables, such as continuous realized semi‐variance and signed jump variations including jump tests, and construct a new heterogeneous autoregressive model for realized volatility models to investigate the impacts that those new variables have on forecasting oil price volatility. In‐sample results indicate that past negative returns have greater effects on future volatility than that of positive returns, and our new signed jump variations have a significantly negative influence on the future volatility. Out‐of‐sample empirical results with several robust checks demonstrate that our proposed models can not only obtain better performance in forecasting volatility but also garner larger economic values than can the existing models discussed in this paper.     

一种改进的基因表达数据分类方法

从分类算法和特征基因选择两个方面研究基因表达数据的分类,将传统的Support Vector Machines(SVM)算法和K-nearest neighbor(KNN)算法两者结合成为一种应用于基因表达数据分类的算法,并针对基因表达数据分类数据集“样本少,维数高”的特点,提出了一种改进的基于相关性的递归特征消除算法(简称为C-RFE),消除了数据冗余．实验结果表明,新方法可有效提高分类准确率和特征选取的效率．     

基于PSO-LSSVM算法的隧道掘进机掘进参数预测方法

为了规避隧道掘进机(tunnel boring machine, TBM)掘进参数人为设定的主观性,提出了一种基于粒子群-最小二乘支持向量机算法(PSO-LSSVM)的TBM掘进参数预测方法。通过从海量TBM工程掘进数据中探寻参数变化规律,降低了TBM主司机设定掘进参数的主观性,辅助其合理选择掘进参数,有利于提高掘进效率、规避工程风险,经实验和工程数据验证,PSO-LSSVM算法通过对样本粒子全局迭代寻优来优化参数,提升了预测算法泛化能力和预测精度,对推力、扭矩和推进速度参数预测数值偏差满足要求,可辅助指导主司机设定掘进参数。     

基于电弧声信号的CO2焊接状态模式识别

CO2气体保护焊接电弧声信号与焊接参数和电弧状态密切相关,但由于存在高度的复杂性和非线性性,难以直接用于焊接过程监控.在对不同保护气流量和焊炬高度下电弧声信号频谱分析的基础上,采用线性预测编码(LPC)方法建立其参数化模型,利用LPC预测系数和反射系数构造特征向量,通过样本训练分别建立了RBF神经网络和支持向量机(SVM)模型,进行CO2气体保护焊接下气流量和焊炬高度识别和分类.测试结果表明,电弧声LPC预测系数和反射系数作为输入向量训练的RBF网络或SVM模型均能一定程度上实现保护气流量和焊炬高度的正确识别。其中采用LPC反射系数时结果优于预测系数;SVM模型的分类能力明显优于RBF网络,且不随训练样本的减少急剧下降.     

基于PCA和KPCA特征抽取的SVM网络入侵检测方法

提出一种新颖的基于特征抽取的异常检测方法,应用主分量分析(PCA)和核主分量分析(KPCA)抽取入侵特征,再应用支持向量机(SVM)检测入侵。其中PCA对输入特征做线性变换,而KPCA通过核函数进行非线性变换。利用KDD 99数据集,将PCA-SVM、KPCA-SVM与SVM、PCR、KPCR进行比较,结果显示:在不降低分类器性能的情况下,特征抽取方法能对输入数据有效降维。在各种方法中,KPCA与SVM的结合能得到最优入侵检测性能。