Semantic weak signal tracing

The weak signal concept according to Ansoff has the aim to advance strategic early warning. It enables to predict the appearance of events in advance that are relevant for an organization. An example is to predict the appearance of a new and relevant technology for a research organization. Existing approaches detect weak signals based on an environmental scanning procedure that considers textual information from the internet. This is because about 80% of all data in the internet are textual information. The texts are processed by a specific clustering approach where clusters that represent weak signals are identified. In contrast to these related approaches, we propose a new methodology that investigates a sequence of clusters measured at successive points in time. This enables to trace the development of weak signals over time and thus, it enables to identify relevant weak signal developments for organization’s decision making in strategic early warning environment.     

FREQUENCY DOMAIN TESTS OF MULTIVARIATE GAUSSIANITY AND LINEARITY

A stationary multivariate time series { X _t } is defined as linear if it can be written in the form X _t = ∑^∞ _{j =−∞} A _j e _{t − j} where A _j are square matrices and e _t are independent and identically distributed random vectors. If the e _t } are normally distributed, then { X _t is a multivariate Gaussian linear process. This paper is concerned with the testing of departures of a vector stationary process from multivariate Gaussianity and linearity using the bispectral approach. First the definition and properties of cumulants of random matrices are used to obtain the expressions for the higher-order cumulant and spectral vectors of a linear vector process as defined above. Then it is shown that linearity of a vector process implies constancy of the modulus square of its normalized higher-order spectra whereas the component of such a vector process does not necessarily have a linear representation. Finally, statistics for the testing of multivariate Gaussianity and linearity are proposed.     

Parameter Estimation for Periodically Stationary Time Series

Abstract. The innovations algorithm can be used to obtain parameter estimates for periodically stationary time series models. In this paper, we compute the asymptotic distribution for these estimates in the case, where the innovations have a finite fourth moment. These asymptotic results are useful to determine which model parameters are significant. In the process, we also develop asymptotics for the Yule–Walker estimates.     

Nonlinear time series forecasting with Bayesian neural networks

The Bayesian learning provides a natural way to model the nonlinear structure as the artificial neural networks due to their capability to cope with the model complexity. In this paper, an evolutionary Monte Carlo (MC) algorithm is proposed to train the Bayesian neural networks (BNNs) for the time series forecasting. This approach called as Genetic MC is based on Gaussian approximation with recursive hyperparameter. Genetic MC integrates MC simulations with the genetic algorithms and the fuzzy membership functions. In the implementations, Genetic MC is compared with the traditional neural networks and time series techniques in terms of their forecasting performances over the weekly sales of a Finance Magazine.     

PLC上位机监控软件的开发

为提高硫化机控制水平，采用电阻式触摸平板电脑为上位机与PLC相结合。系统设计主要包括各监控画面的设计和上位机与PLC之间的通信设计，监控主画面设计成包含所有操作员需要了解的数据。实时曲线画面为圆盘型和直线型两种，上位机与PLC之间的通信采用VB6.0编程，实际运行证明状态良好。     

基于分层动态时间弯曲的序列相似性度量方法研究

为了更好地体现时间序列的形态特征,并探索更适合于较长时间序列之间相似性度量的方法,在动态时间弯曲算法的基础上进行改进,提出了基于分层动态时间弯曲的序列相似性度量方法。对时间序列进行多层次分段,并从分段中均匀抽取相对应的层次分段子序列,然后将层次分段子序列抽象为三维空间的点（反映了分段子序列的均值、长度和趋势）进行相似性度量,最后综合各个层次的相似性度量作为结果。实验表明,在参数设置合理的情况下,此方法能获得较高的序列相似性度量准确度和效率。     

宽带功率放大器PGSC建模方法及预失真研究

针对宽带功率放大器的强记忆效应特性,提出一种功放建模和数字预失真方法——PGSC模型。利用广义记忆多项式(GMP)、特定交叉项(SCT)及记忆时刻信号交叉项(CIMT)3个基函数来构造功放行为模型及数字预失真器,并搭建实际测试平台对模型的精度及线性化效果进行验证。测试结果表明,与PMEC方法相比,PGSC方法建模时的归一化均方误差减少了2.1 dB,数字预失真时输出信号的三阶邻信道功率比降低了4.94/2.03 dB;与GMP方法相比,PGSC方法仅利用73%的系数即可得到更高的模型精度和更好的线性化效果。     

FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS

Abstract. Three linear methods for estimating parameter values of vector auto-regressive moving-average (VARMA) models which are in general at least an order of magnitude faster than maximum likelihood estimation are developed in this paper. Simulation results for different model structures with varying numbers of component series and observations suggest that the accuracy of these procedures is in most cases comparable with maximum likelihood estimation. Procedures for estimating parameter standard error are also discussed and used for identification of nonzero elements in the VARMA polynomial structures. These methods can also be used to establish the order of the VARMA structure. We note, however, that the primary purpose of these estimates is to generate initial estimates for the nonzero parameters in order to reduce subsequent computational time of more efficient estimation procedures such as exact maximum likelihood.     

一种关于模糊时间序列模型论域划分的多尺度比率算法

针对模糊时间序列研究中比率划分论域方法存在对非均匀数据划分效果不理想的缺陷, 提出一种基于模糊C 均值聚类(FCM) 算法的多尺度比率划分论域的方法. 首先利用FCM算法对样本数据进行分类; 然后计算各类数据的平均相对误差, 并基于各类的平均误差划分论域, 产生非等间隔的多尺度论域划分方法; 最后, 通过算例表明了多尺度比率论域划分方法的有效性.     

REVERSED RESIDUALS IN AUTOREGRESSIVE TIME SERIES ANALYSIS

Abstract. Both linear and non-linear time series can have directional features which can be used to enhance the modelling and investigation of linear or non-linear autoregressive statistical models. For this purpose, reversed p th-order residuals are introduced. Cross-correlations of residuals and squared reversed residuals allow extensions of current model identification ideas. Quadratic types of partial autocorrelation functions are introduced to assess dependence associated with non-linear models which nevertheless have linear autoregressive correlation structures. The use of these residuals and their cross-correlation functions is exemplified empirically on some deseasonalized river flow data for which a first-order autoregressive model is a satisfactory second-order fit. Parallel theoretical computations are undertaken for the non-linear first-order random coefficient autoregressive model and comparisons are made. While the data are shown to be strongly non-linear, their correlational signatures are found to be convincingly different from those of a first-order autoregressive model with random coefficients.