地震前后基准站GPS数据异常提取算法

目前对地震前兆异常的研究主要集中在“热”和“电”等方面,很少涉及基准站的GPS数据。然而,已经有学者证明震中附近基准站的GPS时间序列坐标数据中也蕴含着大地震的前兆信息。针对2001~2010年间美国本土发生的具有代表性的三个地震进行了研究,首次将Martingale理论运用于GPS数据处理,提出一种异常提取算法,进而对地震前后,震中附近多个基准站的GPS数据进行分析。实验结果表明算法能够有效的反映大地震前后GPS数据中异常的变化趋势,为使用GPS数据对大地震进行预报提供了更多可能。     

不允许借贷的最优消费及资产决策模型研究

引入遗留财富重视程度因子,在无借贷约束和不允许借贷约束的条件下,建立了有穷时间限的最优消费与资产决策模型.运用随机最优控制理论及鞅最优性原理求出了模型的显式最优解.在此基础上,运用比较静态分析方法考察了在有约束和没有约束两种市场中的消费行为,并对两种市场中的消费和资产决策行为进行了比较研究.     

On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model

We derive the limit theory of the Gaussian stable quasi maximum likelihood estimator for the stationary EGARCH(1,1) model when the squared innovation process has marginals with regularly varying tails. We derive regularly varying rates and limiting stable distributions. We perform Monte Carlo experiments to assess the extent of the parameter space corresponding to the invertibility condition, and the quality of the asymptotic approximation.     

Identification of Hammerstein nonlinear ARMAX systems

Two identification algorithms, an iterative least-squares and a recursive least-squares, are developed for Hammerstein nonlinear systems with memoryless nonlinear blocks and linear dynamical blocks described by ARMAX/CARMA models. The basic idea is to replace unmeasurable noise terms in the information vectors by their estimates, and to compute the noise estimates based on the obtained parameter estimates. Convergence properties of the recursive algorithm in the stochastic framework show that the parameter estimation error consistently converges to zero under the generalized persistent excitation condition. The simulation results validate the algorithms proposed.     

An Outer-Measure Approach for Resource-Bounded Measure

Lutz developed a general theory of resource-bounded measurability and measure on suitable complexity classes C⊆C (see Proceedings of the 13th IEEE Conference on Computational Complexity, pp. 236–248, 1998), where Cantor Space C is the class of all decision problems, and classes C include various exponential time and space complexity classes, the class of all decidable languages, and the Cantor space C itself. In this paper, a different general theory of resource-bounded measurability and measure on those complexity classes is developed. Our approach is parallel to the Carathéodory outer measure approach in classical Lebesgue measure theory. We shall show that many nice properties in the classical Lebesgue measure theory hold in the resource-bounded case also. The Carathéodory approach gives short and easy proofs of theorems in the resource-bounded case as well as in the classical case. The class of measurable sets in our paper is strictly larger than that of Lutz, and the two resource-bounded measures assign the same measure for a set if the set is measurable in the sense of Lutz.     

保费收取次数为负二项随机序列的多险种风险模型

讨论了一个基于进入过程的多险种风险模型,得到了破产概率满足的Lundberg不等式和破产概率的上界.     

ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS

Abstract. This paper discusses the asymptotics of two-stage least squares estimator of the parameters of ARCH models. The estimator is easy to obtain since it involves solving two sets of linear equations. At the same time, the estimator has the same asymptotic efficiency as that of the widely used quasi-maximum likelihood estimator. Simulation results show that, even for small sample size, the performance of our estimator compared to the quasi-maximum likelihood estimator is better.     

人工蜂群算法的几乎必然强收敛性:鞅方法

已有的人工蜂群算法的收敛性分析是基于算法的遍历性分析,在概率收敛意义下考虑的,这种收敛性分析不能确保算法在有限步内收敛到问题的全局最优解。首次尝试运用鞅论研究人工蜂群算法的几乎必然强收敛性,证明了人工蜂群算法确保能以概率1在有限步内达到全局最优解。这一结论为拓宽人工蜂群算法的应用范围奠定了理论基础,并为人工蜂群算法的改进及收敛性研究提供了新的理论工具。     

A Precise Statistical approach for concept change detection in unlabeled data streams

Recently data stream has been extensively explored due to its emergence in a great deal of applications such as sensor networks, web click streams and network flows. One of the most important challenges in data streams is concept change where data underlying distributions change from time to time. A vast majority of researches in the context of data stream mining are devoted to labeled data, whereas, in real word human practice label of data are rarely available to the learning algorithms. Moreover, most of the methods that detect changes in unlabeled data stream merely deal with numerical data sets, and also, they are facing considerable difficulty when dimension of data tends to increase. In this paper, we present a Precise Statistical approach for Concept Change Detection in unlabeled data streams, which, abbreviated as PSCCD, detects changes using an exchangeable test. This hypothesis test is driven from a martingale which is based on Doob’s Maximal Inequality. The advantages of our approach are three fold. First, it does not require a sliding window on the data stream whose size is a well-known challenging issue; second, it works well in multi-dimensional data stream, and last but not the least, it is applicable to different types of data including categorical, numerical and mixed-attribute data streams. To explore the advantages of our approach, quite a lot of experiments with different settings and specifications are conducted. The obtained results are very promising.     

Real-time change detection in data streams with FPGAs

The automatic recognition of changes in data streams is useful in both real-time and off-line data analyses. This article shows several effective change-detecting algorithms (based on martingales) and describes their real-time applicability in the data acquisition systems through the use of Field Programmable Gate Arrays (FPGA). The automatic event recognition system is absolutely general and it does not depend on either the particular event to detect or the specific data representation (waveforms, images or multidimensional signals). The developed approach provides good results for change detection in both the temporal evolution of profiles and the two-dimensional spatial distribution of volume emission intensity. The average computation time in the FPGA is 210 μs per profile.