A note on maximum autoregressive processes of order one

We consider estimating the coefficient of a maximum autoregressive process of order one. Under a parametric assumption for innovations, the exact distribution of this estimate is calculated using a recursion method while, under the assumption that the distribution for the innovations has a regularly varying tail at infinity, we derive its limiting distribution.     

THE STABILITY OF THE AR(1) PROCESS WITH AN AR(1) COEFFICIENT

Abstract. In this paper we consider a simple time varying coefficient ARMA process:the AR (1) process with an AR (1) coefficient. A basic requirement of the process is that the output has finite variance, and we derive a condition on the parameters for this to be satisfied. The analysis is complicated by the interaction between the equations for the data and the varying coefficient.     

Influence diagnostics for multivariate GARCH processes

This article presents diagnostics for identifying influential observations when estimating multivariate generalized autoregressive conditional heteroscedasticity (GARCH) models. We derive influence diagnostics by introducing minor perturbations to the conditional variances and covariances. The derived diagnostics are applied to a bivariate GARCH model of daily returns of the S&P500 and IBM. We find that univariate diagnostic procedures may be unable to identify the influential observations in a multivariate model. Importantly, the proposed curvature‐based diagnostic identified influential observations where the correlation between the two series had a major change. These observations were not identified as influential using the univariate diagnostics for each asset separately. When estimating the bivariate GARCH model allowing for weights at influential observations, we found that the time‐varying correlations behaved differently from that implied by the model ignoring influential observations. The application therefore highlights the importance of extending univariate diagnostic procedures to multivariate settings.     

Moving Averages of Random Vectors with Regularly Varying Tails

Regular variation is an analytic condition on the tails of a probability distribution which is necessary for an extended central limit theorem to hold, when the tails are too heavy to allow attraction to a normal limit. The limiting distributions which can occur are called operator stable. In this paper we show that moving averages of random vectors with regularly varying tails are in the generalized domain of attraction of an operator stable law. We also prove that the sample autocovariance matrix of these moving averages is in the generalized domain of attraction of an operator stable law on the vector space of symmetric matrices.
AMS 1990 subject classification. Primary 62M10, secondary 62E20, 62F12, 60F05.     

Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models

In this article, we introduce the general setting of a multivariate time series autoregressive model with stochastic time‐varying coefficients and time‐varying conditional variance of the error process. This allows modelling VAR dynamics for non‐stationary time series and estimation of time‐varying parameter processes by the well‐known rolling regression estimation techniques. We establish consistency, convergence rates, and asymptotic normality for kernel estimators of the paths of coefficient processes and provide pointwise valid standard errors. The method is applied to a popular seven‐variable dataset to analyse evidence of time variation in empirical objects of interest for the DSGE (dynamic stochastic general equilibrium) literature.     

胜利发电厂2号机组变工况运行经济性分析

对胜利发电厂2号机组建立了热经济性状态方程,并以扰动顺序解除法为理论基础,完成了该机组变工况运行的经济性分析,得到了各种变工况扰动因素对机组经济性的具体影响大小数值。本工作可以指导机组的实际变工况经济运行,从而为机组实现变工况优化运行提供理论依据。     

变气速气—固流态化流体力学

在φ１００ｍｍ流化床内，使用活性炭，高密度聚乙烯、石英砂３种Ｂ类粒子，测定了当脉冲气流频率在０～７ＨＺ时，变气速流化的床层压降、起始流化速率和空隙率。实验得到了反映变气速流化时起始流化速度降低的ｕ＾０ｍｆ－ｕｐ图。通过测定床底的压力波动，得到了反映变气速流化的强制振动作用与脉冲气速、平稳气速的关系的ｕｅ－ｕｐ图。     

Time‐Varying Transition Probabilities for Markov Regime Switching Models

We propose a new Markov switching model with time‐varying transitions probabilities. The novelty of our model is that the transition probabilities evolve over time by means of an observation driven model. The innovation of the time‐varying probability is generated by the score of the predictive likelihood function. We show how the model dynamics can be readily interpreted. We investigate the performance of the model in a Monte Carlo study and show that the model is successful in estimating a range of different dynamic patterns for unobserved regime switching probabilities. We also illustrate the new methodology in an empirical setting by studying the dynamic mean and variance behaviour of US industrial production growth.     

旋流片支撑缩放管管束传热与流动的数值模拟

通过数值模拟,以水为工质,研究了湍流时旋流片支撑缩放管管束管间的传热综合性能,并与无支撑光滑管管束、无支撑缩放管管束及旋流片支撑光滑管管束的传热性能进行了对比,分析了不同结构参数对其传热综合性能的影响;揭示了旋流片支撑缩放管管间流体速度场与温度场之间的协同性。结果表明:旋流片支撑急扩慢缩型缩放管管束相对急缩慢扩型具有更好的传热综合性能,且都比旋流片支撑光滑管管束的传热综合性能好,但二者都没有对应的无支撑缩放管管束综合性能好;具有小角度跟大扭率结构的旋流片更有利于旋流片支撑管束传热综合性能的提高;相对旋流片支撑光滑管管束与无支撑缩放管管束,旋流片支撑缩放管管束强化传热的原因在于传热场协同的增强作用更为明显。考虑管间支撑物支撑管束与抗振的必要性,旋流片支撑缩放管管束是一种高效的壳程强化传热措施,文中条件下通过优化,最大传热综合性能能达到1.057。     

Sample Cross-correlations for Moving Averages with Regularly Varying Tails

We compute the asymptotics of the sample cross-correlation between two scalar moving averages whose IID innovations have regularly varying probability tails with different tail indices.     

一氧化碳变换工序节能改造

阐述了全低变工艺改造的理论依据,介绍了山东滕州鲁南化肥厂全低变工艺改造的必要性,以及改造的内容和节能效果。     

Dynamic modelling and predictive control for the sequential collaborative reactors of cobalt removal process under time‐varying conditions

The accuracy of the process model directly affects the performance of the model‐based controller. In zinc hydrometallurgy, the overall dynamics of the cobalt removal process can hardly be described by a fixed model since there are a series of interconnected reactors working together under time‐varying inlet and reaction conditions. In this study, an interacting continuously stirred tank reactors (ICSTR) model is developed to describe the cooperative relationship of these cascaded reactors. Considering the time‐varying inlet and reaction conditions, the reaction surface conversion coefficient is defined and incorporated into the ICSTR model, and the kernel partial least squares (KPLS) is employed to update the dynamic model online. The effectiveness of the time‐varying ICSTR model is validated using industrial data. Based on the proposed time‐varying ICSTR model, a predictive controller is designed to realize the optimal operation of the cobalt removal process. Simulation results indicate that compared with conventional predictive control and manual manipulation, the time‐varying ICSTR model‐based predictive control method can not only maintain the outlet cobalt ion concentration but also reduce the zinc dust dosage.     

Refinery scheduling with varying crude: A deep belief network classification and multimodel approach

In model‐based refinery scheduling, the varying composition of the crude being refined is a major challenge, especially for those reaction processes. A classification based, multimodel approach is proposed to handle the frequently varying crude. The idea is to build a scheduling model for each type of feed crude, and the type can be determined using an online classifier. The recently emerged deep belief network is introduced to develop the classifier, which provides more accurate classification than the traditional neural network. The proposed method is demonstrated through modeling a fluidized catalytic cracking unit (the mostly affected by varying crude), and then the scheduling of a refinery that was carefully simulated to mimic the actual operation of a refinery in northern China. The results reveal that the multimodel approach is effective in handling varying crude. © 2014 American Institute of Chemical Engineers AIChE J, 60: 2525–2532, 2014     

固定床电解槽变电流电解乙二醛合成乙醛酸

研究了支持电解质、阳极类型和变电流电解方式等因素对电解乙二醛合成乙醛酸过程的电流效率和乙醛酸选择性的影响。在选用的支持电解质中盐酸是最合适的支持电解质 ;固定床阳极电解效果优于平板型阳极电解效果 ;变电流电解效果好于恒电流电解效果。当阳极电解液初始组成为w(乙二醛 ) =7.0 %、w(盐酸 ) =8.0 % ,阴极电解液组成为w(硫酸 ) =2 0 %的水溶液 ,变电流电解的平均电流密度为 15 35A/m2 时 ,电流效率为 85 .0 %、乙醛酸选择性为 94.3% ,阳极初产品中m(乙醛酸 )∶m(乙二醛 )≥ 40∶3。     

Consistency of the Hill Estimator for Time Series Observed with Measurement Errors

We investigate the asymptotic and finite sample behavior of the Hill estimator applied to time series contaminated by measurement or other errors. We show that for all discrete time models used in practice, whose non-contaminated marginal distributions are regularly varying, the Hill estimator is consistent. Essentially, the only assumption on the errors is that they have lighter tails than the underlying unobservable process. The asymptotic justification however depends on the specific class of models assumed for the underlying unobservable process. We show by means of a simulation study that the asymptotic robustness of the Hill estimator is clearly manifested in finite samples. We further illustrate this robustness by a numerical study of the interarrival times of anomalies in a backbone internet network, the Internet2 in the United States; the anomalies arrival times are computed with a roundoff error.     

A similarity‐based approach to time‐varying coefficient non‐stationary autoregression

We suggest in this article a similarity‐based approach to time‐varying coefficient non‐stationary autoregression. In a given sample, the model can display characteristics consistent with stationary, unit root and explosive behaviour, depending on the similarity between the dependent variable and its past values. We establish consistency of the quasi‐maximum likelihood estimator of the model, with a general norming factor. Asymptotic score‐based hypothesis tests are derived. The model is applied to a data set comprised of dual stocks traded in NASDAQ and the Tokyo Stock Exchange.     

利用EXCEL2000中的图表工具绘制硫化橡胶的老化动力学变化曲线

通过经验公式对硫化橡胶老化试验数据进行拟合,然后根据经验公式的拟合值,用EXCEL中的图表工具作出硫化橡胶的老化动力学变化曲线,以期反映硫化橡胶的动力学变化规律。     

全回流-全馏出与变塔压联合的间歇精馏过程

A novel operation of batch distillation-combination of varying colum pressure and total reflux-total efflux is studied experimentally. In the operation, the product is accumulated at the top of the column under total reflux and then drained off completely, and the column pressure is varying in the whole process. This process has been industrialized successfully with large profits. The conventional mode of batch distillation is improved by this method effectively: the separation eficiency and the yield of product are increased greatly, the operation time is shortened and the production cost is cut down. Moreover, the amount of condensation water is decreased and the over-high reboiler temperature is lowered.     

甲醇裂解——变压吸附联合制氢技术的应用

根据国内制氢技术的发展趋势，结合我国国情着重介绍了甲醇裂解－变压吸附联合制氢技术的生产过程。