The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models

We study the effect of parameter and model uncertainty on the left‐tail of predictive densities and in particular on VaR forecasts. To this end, we evaluate the predictive performance of several GARCH‐type models estimated via Bayesian and maximum likelihood techniques. In addition to individual models, several combination methods are considered, such as Bayesian model averaging and (censored) optimal pooling for linear, log or beta linear pools. Daily returns for a set of stock market indexes are predicted over about 13 years from the early 2000s. We find that Bayesian predictive densities improve the VaR backtest at the 1% risk level for single models and for linear and log pools. We also find that the robust VaR backtest exhibited by linear and log pools is better than the backtest of single models at the 5% risk level. Finally, the equally weighted linear pool of Bayesian predictives tends to be the best VaR forecaster in a set of 42 forecasting techniques.     

基于改进 HAF的线性调频雷达信号参数估计

针对多项式相位信号(PPS)中的线性调频(LFM)雷达信号参数估计,通过提出频谱方差极大值准则对PPS次优参数估计方法高阶模糊度函数(HAF)进行了改进,提出了适于单分量LFM参数估计的改进HAF。首先讨论了HAF对LFM参数的估计方法及其局限性,然后提出了分段频谱方差极大值法则下LFM调频斜率估计的方法,将其与HAF相结合提出了单分量LFM参数估计的改进HAF,克服了接收信号与实际信号起点不一致性对HAF带来的影响,降低了由于HAF局限性带来的调频斜率估计误差,改善了HAF的累积误差效应。MATLAB仿真验证了改进方法较HAF的优越性。     

数据包络分析(DEA)模型及其在绩效评价中的应用综述

近年出现很多新的生产绩效评价方法,大多考虑到评估系统的整体性,从而克服了单纯依靠财务指标评价的很多弱点.然而,随之而来的是评价过程和指标系统的复杂化,以及实施成本大大增加.数据包络分析(Data Envelopment Analysis,DEA)是一种基于线性规划理论的模型,它将多输入指标和多输出指标综合成为单个评价指标.同时,该模型形成一个优化的效率前沿面,为评价者提供了提高绩效的目标,旨在综述数据包络分析模型的发展及其在绩效评价中的应用案例,以此作为论证,将DEA有效地引入制造企业生产管理过程中的可行性的理论准备,用以指导数据包络分析方法在制造生产领域的实际实施.     

Stability analysis of BAM neural networks with time-varying delays

Some new criteria for the global asymptotic stability of the equilibrium point for the bi-directional associative memory neural networks with time varying delays are presented. The obtained results present the structure of linear matrix inequality which can be solved efficiently. The comparison with some previously reported results in the literature demonstrates that the results in this paper provide one more set of criteria for determining the stability of the bi-directional associative memory neural networks with delays.     

有机低维单晶生长炉的设计

对区域熔融法生长有机低维单晶的炉体结构做了新的设计和实验，同时成功地生长出有机材料ＡＢＰ纤维和薄膜两种形态的低维单晶。     

蓝光对水稻幼苗生长及干物质积累的影响

研究蓝光对水稻幼苗生长及干物质重量的影响。结果表明，与白光及黑暗处理幼苗相比，蓝光处理的水稻幼苗较矮，第２叶鞘较短，第１叶片开张角度增大，叶片平展加快。     

一类广义离散系统的有限时间控制

讨论一类具有时变、有限能量外部扰动的广义离散系统的有限时间控制问题,给出非强迫广义离散系统有限时间有界的充分条件,并在此基础上利用非严格线性矩阵不等式方法,提出实现相应的闭环系统有限时间有界的状态反馈控制器与输出反馈控制器的设计方法.     

线性哈密尔顿系统的块方法(英文)

对于哈密尔顿系统的数值求解,辛算法被认为是最合适的选择.主要研究一类具有至少k+1阶收敛性的k维块方法求解线性哈密尔顿系统的适用性,证明了当维数k不超过8时该类方法具有保持辛结构和二次型的性质.数值例子验证了理论结果.     

矩阵思想在《线性代数》教学中的应用

用矩阵的思想去解释n维向量及其相关概念,以帮助学生对n维向量及其相关性质加深理解.     

局部扭曲立方体在一维阵列光网络中的路由与波长分配

探讨局部扭曲立方体LTQ_n通信模式在一维阵列波分复用光网络中的路由与波长分配问题.首先通过LTQ_n的最大导出子图得到拥塞,即所需要的最少波长数;其次给出一个路由与波长分配策略,从而证明了最优波长数为2~(n+1)/3.