Long Memory of Financial Time Series and Hidden Markov Models with Time‐Varying Parameters

Hidden Markov models are often used to model daily returns and to infer the hidden state of financial markets. Previous studies have found that the estimated models change over time, but the implications of the time‐varying behavior have not been thoroughly examined. This paper presents an adaptive estimation approach that allows for the parameters of the estimated models to be time varying. It is shown that a two‐state Gaussian hidden Markov model with time‐varying parameters is able to reproduce the long memory of squared daily returns that was previously believed to be the most difficult fact to reproduce with a hidden Markov model. Capturing the time‐varying behavior of the parameters also leads to improved one‐step density forecasts. Finally, it is shown that the forecasting performance of the estimated models can be further improved using local smoothing to forecast the parameter variations. Copyright © 2016 John Wiley & Sons, Ltd.     

非下采样Contourlet HMT模型

非下采样Contourlet变换（NSCT）不仅具有类似传统小波变换和Contourlet变换的多尺度和多方向特性,而且还具有良好的平移不变特性．文中对NSCT变换系数进行研究,获得NSCT变换的方向子带系数同样具有持续性和聚集性的结论;在此基础上结合隐Markov树模型,建立了一种新的基于NSCT域的隐Markov树模型NSCT—HMT,并且给出了该模型的参数结构以及模型参数的训练方法;最后将所提出的模型应用于图像去噪中取得了很好的仿真效果．     

基于点造型的简单阴影生成方法

研究基于点表示的物体的真实感图形阴影生成方法, 提出了Z缓冲器的改进算法. 在此算法中取光源方向为视线方向, 对景物点进行坐标变换, 按Z值大小得到距离光源最近的点, 这些点即为产生阴影的点. 该算法避免了大量的求交运算. 试验结果表明, 该基于点的造型表示方法和阴影生成算法可以较准确、 真实地反映实际场景中的阴影现象.     

川东北宋家洞石笋氧碳同位素周期分析

对采自川东北宋家洞的石笋SJ3的氧碳同位素值进行了小波分析和REDFIT分析,得到以下结果:(1)氧同位素值在18.3～17.5 ka有显著的174 a的周期,碳同位素值在16.2～15.4ka、18.3～17.8ka有显著的174 a的周期;(2)氧碳同位素值的周期与太阳活动周期有关。这些表明石笋记录在短时间尺度上与太阳活动存在显著关联。     

浅析确保高危客户安全用电的措施

分析了煤矿高危客户安全用电方面存在的问题,并提出了相应的解决办法。     

On the Equivalent Keys in Multivariate Cryptosystems

The number of equivalent keys in multivariate cryptosystem is closely related to the scheme security. This study analyzes the structure of the private key space in some multivariate schemes.The result gives the lower bounds on the number of equivalent keys of some variants of the hidden field equation (HFE) scheme including plus, minus-plus, embedding, and internal perturbation. This method estimates the number of invertible transformations which maintain the form of the central map invariant. Furthermore,a formal proof shows that the two modifications of fixing and embedding are equivalent in security analyses of multivariate schemes. Also this paper corrects previous proofs in Wolf’s work on the number of equivalent keys in HFEv,the unbalanced oil and vinegar (UOV) scheme, and the stepwise triangular systems (STS).     

BP算法应用中的关键问题

分析了学习方法的选择、隐层数和隐层单元、学习步长的选择、避免局部最小的方法、学习样本的选择、激活函数的选择等使用BP算法时应考虑的问题，并将BP网络应用于化学反应催化模型。     

偏置渐开线蜗杆单向点啮合传动凸齿面接触状况分析

讨论了单向点啮合传动蜗轮凸齿面工作时分析齿面接触状况的数值计算方法,用此方法计算所得数据,可以用来评估传动参数对实际重合度、承载能力等的影响,为选择传动参数、优化传动提供依据。     

Amplitudes, rates, periodicities and causes of temperature variations in the past 2485 years and future trends over the central-eastern Tibetan Plateau

Amplitudes, rates, periodicities, causes and future trends of temperature variations based on tree rings for the past 2485 years on the central-eastern Tibetan Plateau were analyzed. The results showed that extreme climatic events on the Plateau, such as the Medieval Warm Period, Little Ice Age and 20th Century Warming appeared synchronously with those in other places worldwide. The largest amplitude and rate of temperature change occurred during the Eastern Jin Event (343-425 AD), and not in the late 20th century. There were significant cycles of 1324 a, 800 a, 199 a, 110 a and 2-3 a in the 2485-year temperature series. The 1324 a, 800 a, 199 a and 110 a cycles are associated with solar activity, which greatly affects the Earth surface temperature. The long-term trends (>1000 a) of temperature were controlled by the millennium-scale cycle, and amplitudes were dominated by multi-century cycles. Moreover, cold intervals corresponded to sunspot minimums. The prediction indicated that the temperature will decrease in the future until to 2068 AD and then increase again.     

各向异性弹性长条具相对位移的周期混合问题

利用Ｆｏｕｒｉｅｒ级数法，研究各向异性弹性位条具相对位移的周期混合问题，得到其封闭形式的解。所用方法直观，简单，因而易用于工程中。