一种稳健的多主瓣干扰抑制方法

当训练数据含有期望信号时,传统的基于特征投影预处理的主瓣干扰抑制算法会产生严重退化。这是因为在期望信号的扰动下主瓣干扰对应的特征波束易产生峰值偏移,导致主瓣干扰难以完全去除,当多个主瓣干扰存在时尤为突出。通过估计信号与噪声功率并将期望信号功率置零重构干扰加噪声协方差矩阵,排除了期望信号的影响,使得主瓣干扰能够充分去除。进一步将主瓣干扰功率置零重构旁瓣干扰加噪声协方差矩阵进行波束形成,方向图较协方差重构法在旁瓣干扰方向上能够形成更深的零陷。仿真实验表明,提出的方法能够有效抑制多个主瓣干扰并具有良好的稳健性。     

基于自适应背景模型的动态场景目标检测

背景建模一直是运动目标检测中的一个重要课题。该文提出一个适用于动态背景的基于非参数估计的前景背景对比模型。模型通过核函数估计的方法模拟了像素点五维特征向量的概率分布,并在图像序列中滚动更新。实验证明,上述算法能够在一般目标检测,特别是动态场景(摇动树枝等)的检测中取得较好的效果。     

基于抵消技术的邻道干扰抑制

针对无线设备间的邻道干扰,提出了一种干扰抑制方法。在接收机中设计邻道干扰重建支路,利用记忆多项式估计信道的非线性参数,构建邻道干扰信号模型并重建干扰信号,最终从接收信号中消除邻道干扰信号。所提方法能够有效减小邻道干扰影响,提升期望信号接收信噪比,使有限带宽内容纳更多通信设备。计算机仿真与软件无线电平台实验结果表明,在实验室视距环境中,甚高频频段,信号带宽25 kHz,所提方法能够抑制18 dB的邻道干扰,为有限空间内无线电设备间邻道干扰抑制提供了新的研究思路。     

Revisiting Targeted Factors

This paper proposes new methods for ‘targeting’ factors estimated from a big dataset. We suggest that forecasts of economic variables can be improved by tuning factor estimates: (i) so that they are both more relevant for a specific target variable; and (ii) so that variables with considerable idiosyncratic noise are down‐weighted prior to factor estimation. Existing targeted factor methodologies are limited to estimating the factors with only one of these two objectives in mind. We therefore combine these ideas by providing new weighted principal components analysis (PCA) procedures and a targeted generalized PCA (TGPCA) procedure. These methods offer a flexible combination of both types of targeting that is new to the literature. We illustrate this empirically by forecasting a range of US macroeconomic variables, finding that our combined approach yields important improvements over competing methods, consistently surviving elimination in the model confidence set procedure. Copyright © 2016 John Wiley & Sons, Ltd.     

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.     

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.     

基于最小二乘法的电力系统状态估计算法研究

针对现行电力系统状态估计算法中存在的各种发展潮流,重点剖析了被广泛应用的基于最小二乘法的状态估计的基本原理和改进后的几种状态估计方法,阐明了各算法的应用优势和存在的不足。对于存在不良信息系统进一步提高算法的精度和估算速度的发展方向提出了新的思想。     

考虑多因素扰动的项目关键链缓冲区间设置及控制模型

项目规划及执行过程中极易出现不确定性,故需对项目关键链缓冲区间进行动态调整以适应项目任务关系变化.针对项目计划关键链缓冲区间设置及调整控制问题,本文提出了一种考虑多因素扰动的缓冲设置及调整控制联动模型.项目初始缓冲设置充分考虑项目工序安全工期、网络复杂程度及资源紧张程度等因素影响,项目执行过程中将缓冲/资源绩效指数与Bayes估计相结合,通过对Weibull分布参数估计实现缓冲信息的递阶转换,提升对缓冲使用的控制能力,最后通过实例验证所提方法与控制模型的有效性.     

一类奇摄动初值问题解的渐近展开

用边界函数法研究了一类奇摄动初值问题解的渐近展开问题,证明了解的存在惟一性,并给出该解的渐近分析.     

一类非均匀采样系统最小二乘迭代辨识

阐述了非均匀多率采样方案,利用提升技术推导出非均匀多率采样系统的提升状态空间模型,进一步获得了对应的输入输出表达.针对辨识模型信息向量中存在未知中间变量的困难,基于交互估计理论与迭代搜索原理,提出了非均匀多率系统的最小二乘迭代辨识方法.最后进了仿真比较研究,以说明提出算法的优点.