存在相位噪声和信道估计偏差影响的空相关MIMO-OFDM系统的性能分析

为了进一步了解相位噪声和信道估计偏差在空相关多输入多输出正交频分复用(MIMO-OFDM)系统中的作用,对存在相位噪声和信道估计偏差影响的空相关MIMO-OFDM系统的性能进行了分析.利用模型表达了空相关MIMO-OFDM系统的复包络信号,推导了在相位噪声和信道估计偏差影响下的空相关MIMO-OFDM系统的有效数据符号的信噪比表达式,给出了在相位噪声和信道估计偏差影响下的空相关MIMO-OFDM系统的差错性能指标.研究表明,理论计算和计算机仿真的空相关MIMO-OFDM系统的差错性能结果在各种不同相位噪声和信道估计偏差影响下都比较吻合.     

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.     

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。     

Linex损失下Pareto分布参数的Bayes估计

该文讨论了在Linex非对称损失函数下Pareto分布参数的Bayes估计及多层Bayes估计,并证明了相应的估计是可容许的.     

一种新型的混合模式运动估计搜索策略

基于实时视频图像序列的运动矢量分布特性,本文提出了一种新型的混合模式运动估计搜索(MPS)策略。该算法根据给定的搜索距确定相应的搜索模式,使用中途停止技术快速的给出运动矢量。相比现有各种搜索算法,MPS搜索策略能够同时满足图像序列中的高速运动与慢速运动的搜索。仿真试验表明,本文搜索策略不仅在搜索速度上比现有MPEG-4校验模型的DS算法更加快速,并且具有更小的运动补偿误差以及更加真实的运动矢量场。     

土的地震液化概率评估模型

基于278个土的地震液化或非液化实测数据,运用二元回归方法推导出两个对数模型.这两个模型将液化概率表示成地震荷载和土阻力参数的函数,以修正的标准贯入锤击数来量度土的抗液化能力.文中将所提出的对数模型与确定性液化判别标准进行了比较,并将模型应用于典型场地的分析.结果表明,所提出的两个对数模型能客观地评价数据中的相关信息,可直接量化基于统计数据的条件液化概率.     

基于混合先验分布的贝叶斯因子分析模型

针对现有因子分析模型不能充分融合模型参数信息问题,通过研究因子分析模型的统计结构,构造了参数的混合先验分布;利用贝叶斯定理证明了模型因子载荷阵的条件后验分布为矩阵t分布,协方差阵的条件后验分布为逆Wishart分布.实证研究表明:由于参数先验分布的作用,贝叶斯因子分析结果与传统的因子分析之间存在明显的差异.