分支结构电路的可测性设计优化

在硬件设计的初期可以对硬件测试中条件分支结构引起的测试向量冗余问题加以解决.以ALU为例,提出了两种分支结构电路的可测性优化设计,通过调整分支电路的选择条件来控制测试向量的施加,在保证错误覆盖率的同时可以明显减少不必要的测试向量.     

条件独立及其性质

独立是概率论中特有的概念,有着十分重要的意义.本文应用条件概率给出了条件独立的概念,得到了条件独立的相关性质.     

一种基于动作条件互斥的处理动作条件效果的算法

在给出动作无条件互斥、动作半条件互斥和动作全条件互斥等概念的基础上,提出一种新的算法,在规划图的扩张阶段建立各种互斥关系,在规划解的搜索过程中利用这些互斥关系,判断是否需要进行条件冲突检测,从而加快了有效规划的搜索,提高了系统的效率.     

A comparison of conditional predictive ability of implied volatility and realized measures in forecasting volatility

In a conditional predictive ability test framework, we investigate whether market factors influence the relative conditional predictive ability of realized measures (RMs) and implied volatility (IV), which is able to examine the asynchronism in their forecasting accuracy, and further analyze their unconditional forecasting performance for volatility forecast. Our results show that the asynchronism can be detected significantly and is strongly related to certain market factors, and the comparison between RMs and IV on average forecast performance is more efficient than previous studies. Finally, we use the factors to extend the empirical similarity (ES) approach for combination of forecasts derived from RMs and IV.     

Optimal sampling frequency for volatility forecast models for the Indian stock markets

This paper evaluates the performance of conditional variance models using high‐frequency data of the National Stock Index (S&P CNX NIFTY) and attempts to determine the optimal sampling frequency for the best daily volatility forecast. A linear combination of the realized volatilities calculated at two different frequencies is used as benchmark to evaluate the volatility forecasting ability of the conditional variance models (GARCH (1, 1)) at different sampling frequencies. From the analysis, it is found that sampling at 30 minutes gives the best forecast for daily volatility. The forecasting ability of these models is deteriorated, however, by the non‐normal property of mean adjusted returns, which is an assumption in conditional variance models. Nevertheless, the optimum frequency remained the same even in the case of different models (EGARCH and PARCH) and different error distribution (generalized error distribution, GED) where the error is reduced to a certain extent by incorporating the asymmetric effect on volatility. Our analysis also suggests that GARCH models with GED innovations or EGRACH and PARCH models would give better estimates of volatility with lower forecast error estimates. Copyright © 2008 John Wiley & Sons, Ltd.     

基于条件蒙特卡罗方法的信用违约互换合约定价

多标的资产违约相关性结构的度量及其联合违约时间的模拟是信用违约互换合约定价的关键.Copula函数和蒙特卡罗模拟是解决此关键问题的有力工具,被广泛应用于信用衍生品定价.本文基于因子t-copula模型,结合条件蒙特卡罗模拟,构建了计算第7n次信用违约互换合约的条件蒙特卡罗算法.该算法能够捕捉多标的资产违约的尾部相关性,更准确地度量标的资产组合的违约风险及提高违约事件的模拟效率.数值结果表明,在考虑尾部相关性的情形下,采用重要抽样技术的JK算法和改进的JK算法是不稳定的,不能达到减方差的目的;而本文新构建的定价算法更稳定,在高斯copula和t-copula模型下,都能够有效减小估计量的方差,提高信用违约互换合约的定价精度和可靠性.     

不同理性预期下Stackelberg模型的动态复杂性

构建双寡头参与人分别采取有限理性和天真理性预期的Stackelberg博弈模型,研究市场均衡的稳定性条件及动态复杂性特征.通过理论求解和数值模拟得出结论:参与人在不完全信息和不同理性情况下,Stackelberg模型的参数取值范围决定了动态系统的稳定性、产量分岔、利润分岔、奇怪吸引子、吸引子维数和混沌等;如果参数取值满足一定条件,静态Stackelberg推测变差均衡能够实现;否则,Stackelberg推测变差均衡不稳定,非线性动态经济系统可能会出现周期变化或混沌的现象.     

一种分层加密在数字电视条件接收系统中的应用

条件接收系统(CAS)为数字电视的运营提供了必要的技术手段. 条件接收系统为了防止信息被窃,密钥应及时更新,使得加密算法不能轻易被破译;同时还要节省带宽,减少算法的计算时间. 针对以上的特点,结合条件接收系统中多层加密体系,提出了一种分层加密方法,提高了整个系统的安全性和效率,降低了带宽.     

近程反导舰炮武器系统射击效率评估

近程舰炮武器系统担负着舰艇末端防空反导任务。提出了一种评估反导射击效率的方法,该方法选取了单目标毁伤概率、毁伤目标数学期望、服务概率作为射击效率指标。在确定舰炮武器系统有效射击区域的基础上,分析了反导可射击条件,研究了对单目标沿其航路射击的可射击时间、点射次数、受到各次点射的概率,利用经验公式得到单目标毁伤概率。然后,研究了多座舰炮对群目标射击时毁伤目标数学期望、服务概率两项评估指标的计算方法。实例计算分析表明该方法有效可行。     

基于状态信息的条件剩余寿命建模研究

根据监测到的设备状态信息预测其条件剩余寿命一直是基于状态维修中的关键问题。利用滤波理论,建立了基于状态信息的剩余寿命预测通用模型,并推导出采用极大似然估计法下参数估计的通式,使得在已知寿命服从其他任何分布形式时直接代入通式便可快速地得出其模型,从而预测其剩余寿命,省去了复杂繁琐的迭代过程。通过案例发现模型能够根据状态信息很好地预测其剩余寿命,并在不断更新状态信息的条件下越来越精确地预测其剩余寿命。