基于重抽样分布的一类模糊累积和控制图

过程变量在代表产品或服务过程信息时并非完美，而使用模糊数可能是另一较好途径。文章进一步完善模糊累积和控制图，其中使用中心和扩展具有重抽样分布的模糊随机变量，并给出模拟例证。     

A neural network versus Black–Scholes: a comparison of pricing and hedging performances

An Erratum has been published for this article in Journal of Forecasting 22(6‐7) 2003, 551 The Black–Scholes formula is a well‐known model for pricing and hedging derivative securities. It relies, however, on several highly questionable assumptions. This paper examines whether a neural network (MLP) can be used to find a call option pricing formula better corresponding to market prices and the properties of the underlying asset than the Black–Scholes formula. The neural network method is applied to the out‐of‐sample pricing and delta‐hedging of daily Swedish stock index call options from 1997 to 1999. The relevance of a hedge‐analysis is stressed further in this paper. As benchmarks, the Black–Scholes model with historical and implied volatility estimates are used. Comparisons reveal that the neural network models outperform the benchmarks both in pricing and hedging performances. A moving block bootstrap is used to test the statistical significance of the results. Although the neural networks are superior, the results are sometimes insignificant at the 5% level. Copyright © 2003 John Wiley & Sons, Ltd.     

知识发现中一种变化趋势模型的算法研究

在时序数据库中,有许多成熟的技术和方法用来对布尔型属性之间的关系进行挖掘,但对于数值型属性变化趋势关联关系的研究却不是很多.本文提出了一种数值型属性变化趋势的研究模型QMP(QuantityMovementPattern),依据该模型可利用数据挖掘算法发现不同数值型属性之间变化趋势之间的关系.文中分析了该模型的几种实现算法,并给出了一种快速实现算法及实验数据.     

A Dynamic Forecasting System with Applications in Production Logistics

Production logistics involve the co-ordination of ac tivities such as production and materials control (PMC), inventory management, p roduct life cycle management, etc. Those activities demand for an accurate forec asting model. However, the conventional methods of making sell and buy decision based on human forecast or conventional moving average and exponential smoothing methods is no longer be sufficient to meet the future need. Furthermore, the un derlying statistics of the market information change ...     

采用自举技术的不完全绝热电路

为了大规模集成电路的低能耗应用,提出了一种不完全绝热电路——自举能量回收逻辑电路(bootstrapenergyrecoverylogic,BERL)。该电路采用二相无交叠功率时钟。由于采用自举技术,使负载的冲放电过程不会产生非绝热损失,并且输出开关的导通电阻变小,使绝热损失降低。为了比较BERL电路与静态CMOS电路及PAL-2n绝热电路的能耗,设计了反相器链电路。Hspice软件仿真结果表明,BERL电路的工作频率可以超过400MHz。在10～100MHz下,BERL能耗只有静态CMOS电路的25%～33%。相对于PAL-2n电路,BERL也有较低的能耗。在200MHz下,BERL能耗只有PAL-2n的50%。负载越重,BERL电路的低能耗优势越明显。     

Time‐simultaneous prediction band for a time series

I propose principles and methods for the construction of a time‐simultaneous prediction band for a univariate time series. The methods are entirely based on a learning sample of time trajectories, and make no parametric assumption about its distribution. Hence, the methods are general and widely applicable. The expected coverage probability of a band can be estimated by a bootstrap procedure. The estimate is likely to be less than the nominal level. Expected lack of coverage can be compensated for by increasing the coverage in the learning sample. Applications to simulated and empirical data illustrate the methods. Copyright © 2007 John Wiley & Sons, Ltd.     

基于水光电力系统时序生产模拟模型的水光优化配比研究

基于考虑系统负荷、新能源发电出力等时序变化特性的时序生产模拟法,建立了水光电力系统时序生产模拟模型;从系统结构性、经济性、灵活性与可靠性方面综合确定最佳水光容量配比,并通过金沙江上游川藏段水光系统验证了模型的合理性。金沙江上游川藏段光伏电站与水电站出力具有较好的年内、日内互补特性;对于2030年水平年,考虑枯期水电留存,913.6万kW水电配套400万kW光伏的方案综合性能更优,其新增非水可再生电量约60亿kW·h。     

On some tests-based projection pursuit for elliptical symmetry of a high-dimensional distribution

Some test statistics of Kolmogorov type and Cramér-von Mises type based on projection pursuit technique are proposed for the testing problem of sphericity of a high-dimensional distribution. The limiting distributions of the test statistics are derived under the null hypothesis and under any fixed alternative. The asymptotic properties of bootstrap approximation are investigated. Furthermore, for computational reasons, an approximation for the statistics, based on the number theoretic method, is suggested. An erratum to this article is available at .     

Tokamak等离子体不同运行模式下产生的自举电流

在给定等离子体密度分布下，从电子、离子的能量方程出发，根据不同运行模式下等离子体的热传导率，分别求出了常规剪切L模式和H模式下，以及中心负剪切模式下等离子体电子、离子的温度分布；再根据自举电流产生机制，分别求出了这些运行模式下的自举电流分布，结果表明：在常规剪切模式下，产生自举电流比较小，特别是在L模式下的自举电流更小；在中心负剪切模式下，产生了较大的自举电流，特别在等离子体边缘区域，自举电流大于所要求的电流分布；由于等离子体中心区域自举电流比较小，为了满足等离子体平衡要求，非感应电流驱动是必不可少的。     

尾部指标估计中的阈值选择

本文研究如何用较好的方法选择一个适当的阈值，计算尾部指标的Hill估计，然后加以比较，并以美元对日元的汇率为例，说明方法的使用．