Vasicek状态空间模型与上交所国债利率期限结构实证

在分析现有多因子V asicek利率模型基础上,通过改进模型状态因子非相关性假定,推导出新的单、双因子V asicek状态空间利率模型及相应参数估计方法。最后利用上交所国债隐含的收益率数据估计了单因子及双因子V asicek状态空间利率模型。实证表明改进的双因子V asicek利率模型,比较准确地描述了利率期限结构的动态变化特征。     

Beating the random walk in Central and Eastern Europe

We compare the accuracy of vector autoregressive (VAR), restricted vector autoregressive (RVAR), Bayesian vector autoregressive (BVAR), vector error correction (VEC) and Bayesian error correction (BVEC) models in forecasting the exchange rates of five Central and Eastern European currencies (Czech Koruna, Hungarian Forint, Slovak Koruna, Slovenian Tolar and Polish Zloty) against the US Dollar and the Euro. Although these models tend to outperform the random walk model for long‐term predictions (6 months ahead and beyond), even the best models in terms of average prediction error fail to reject the test of equality of forecasting accuracy against the random walk model in short‐term predictions. Copyright © 2005 John Wiley & Sons, Ltd.     

网络数据包到达速率的混沌特性分析及其短期预测

本文利用关联维法分析了以太网数据包到达速率数据的混沌特性，在此基础上，结合相空间重构技术，利用混沌时间序列的局域一阶预测法对其进行了预测，预测结果表明该混沌预测方法能够对网络数据包到达速率取得很好的预测效果．这为进一步研究网络流量提供了基础，也为网络数据包到达速率具有混沌特性提供了新的依据．     

论灌浆锚杆在黏性土质边坡加固设计中的应用

介绍了大禹渡沉沙池工程概况，提出了灌浆锚杆加固沙堤的设计思路，详细阐述了锚杆加固设计的各个环节，包括沙堤边坡的稳定计算、需要锚杆提供的抗滑力矩的计算、锚杆的布置、锚杆的设计抗拔力的计算以及锚杆抗滑力矩的计算，并对大禹渡沉沙池锚杆加固的设计结果进行了介绍。     

The input／removal rates of size-fractionated ^210Po in the Jiulongjiang estuary and its implications

O, S, Se, Te and Po are the elements of the VIB.210Po (T1/2=138.4 d, Ea=5.3044 MeV) has strong affinities to particles, especially particulate organic matter (POM), thus 210Po in seawater can be transported into the sediment by scavenging and removal, and the disequilibria between 210Po and 210Pb become a methodological base for the study of the particle dynamic processes in marine envi-ronments with the time scale of years to a centenary. The concentration, inventory and geochemical be…     

森林冠层上湍流尺度、耗散率和湍流结构参数

利用新型三维超声风速／温度仪，在中国东北长白山原始森林冠层以上观测的湍流资料，计算并分析了森林冠层上的湍涡特征长度尺度、湍流动量和热量耗散率、湍流动量和热量结构参数的特征。结果表明：湍流动量湍涡特征长度尺度与稳定度参数Z／L成正相关；湍流热量特征长度尺度与稳定度参数Z／L在不稳定层结时，成正相关，在稳定层结时近似成负相关；在不稳定和稳定层结大气中，利用湍流谱方法和利用风速垂直分量方差、温度脉动方差和Richardson数计算湍流动量、热量耗散率和湍流动量、热量结构参数有较好的一致性；无量纲湍流结构参数Cv^2z^2/3σω^-2和CT^2z^2/3σT^-2是Richardson数的函数；湍流热力结构参数CT^2与感热通量——↑ω′T′具有较好的线性关系。     

基于MATLAB的Nakagami衰落信道仿真与分析

由于Nakagami衰落能够表示实际中所遇到的大多数衰落环境，因而对基于MATLAB的Nakagami衰落信道进行了分析，并对它的统计特性进行了仿真，包括接收信号的复包络模拟和在具有最大比合并分集下的电平通过率及平均衰落持续时间的性能分析。重点在于理解和建立采用MATLAB进行信道仿真的方法及对Nakagami衰落信道本身统计特性的理解。     

Postembryonic development and population parameters of Alpaida veniliae (Araneae,Araneidae), reared in the laboratory

We studied the postembryonic development from hatching to the adult stage and determined population parameters of Alpaida veniliae. It is one of the most abundant species of the orb-weaving guild of the spider community of soybean crops in Buenos Aires province, Argentina. The first three instars occurred inside the egg sac, and instar IV (spiderlings) started the dispersion from it. The female of Alpaida veniliae achieved greater adult size and adult longevity than the male. Mean fecundity, mean number of egg sacs per female, mean number of eggs per egg sac, as well as the net reproductive rate, the intrinsic rate of increase (r), the generation time (T), and the reproductive values (V _x) of three cohorts were determined under laboratory conditions, indicating a high capacity for growth. Their biological and ecological attributes indicate the importance of conservation of this predator as a natural enemy of soybean crop pests.     

受控随机利率及变额赔付下的责任准备金

将随机利率限制在[a,b]区间水平内,其中a≥0.在死亡率服从De MOIVRE假设,并考虑死亡保险金为连续递增情形下,利用精算数学中的准备金相关理论构建了完全连续险种下的责任准备金模型,给出了责任准备金的具体表达式并结合生命表进行了实例分析.结果表明,采用这种模型可以提取最合理的准备金,使得保险公司不因提取少而出现偿付问题或提取多而使部分资金滞留的不利局面.     

TM210A钢冶炼工艺对其组织和性能的影响

针对TM210A马氏体时效钢在生产过程中出现的组织和性能不能满足标准要求的实际情况，研究了钢的化学成分、真空自耗重熔速度对TM210A钢棒材的低倍组织和力学性能的影响，在透射电镜下观察了固溶态和时效态的显微组织.结果表明，强化元素含量的合理控制能提高棒材的强度，适当的真空自耗重熔速度能有效改善棒材低倍组织，提高棒材强度.在此基础上确立了该钢的冶炼工艺.