Investment communities: Behavioral attitudes and economic dynamics

Using a real-world data set encompassing the daily portfolio holdings and exposures of complex investment funds, we derive a set of quantitative attributes to capture essential behavioral features of fund managers. We find the existence and stability of three investment attitudes, namely the conservative, the reactive, and the pro-active profiles, defining communities that respond differently when facing external shocks. The conservative community has behavioral similarities that tend to decrease due to external shocks, the reactive community members greatly increase their activity level especially during turmoil phases, while delegated investors in the pro-active community are more resilient to turbulence and counterbalance the impact of the events by adjusting their portfolio exposures in advance. We show that exogenous shocks only temporarily perturb the behavioral traits of the communities which then go back to their original states once the distress is embedded.     

适于DSP的模拟信号调制方式自动识别方法研究

提出一种适用于DSP的基于Bessel插值结构的正交数字下变频方案，可实现已调信号调制方式的自动识别。该方案能够实现提取信号的正交分量和同相分量，并且能够提取出较高精度的信号的基本参数，由此得到的特征参数可以准确地识别出信号的调制模式。最后，通过计算机和DSP仿真，证明了它的可行性。     

Resource Distribution in Multiple Attacks with Imperfect Detection of the Attack Outcome

This article extends the previous research of consecutive attacks strategy by assuming that an attacker observes the outcome of each attack imperfectly. With given probabilities it may wrongly identify a destroyed target as undestroyed, and wrongly identify an undestroyed target as destroyed. The outcome of each attack is determined by a contest success function that depends on the amount of resources allocated by the defender and the attacker to each attack. The article suggests a probabilistic model of the multiple attacks and analyzes how the target destruction probability and the attacker's relative resource expenditure are impacted by the two probabilities of incorrect observation, the attacker's and defender's resource ratio, the contest intensity, the number of attacks, and the resource distribution across attacks. We analyze how the attacker chooses the number of attacks, the attack stopping rule, and the optimal resource distribution across attacks to maximize its utility.     

Mean shift and influence measures in linear measurement error models with stochastic linear restrictions

We present influence diagnostics for linear measurement error models with stochastic linear restrictions using the corrected likelihood of Nakamura in 1990. The case deletion and mean shift outlier models are developed to identify outlying and influential observations. We derive a corrected score test statistic for outlier detection based on mean shift outlier models. The analogs of Cook's distance and likelihood distance are proposed to determine influential observations based on case deletion models. A parametric bootstrap procedure is used to obtain empirical distributions of the test statistics and a simulation study has been used to evaluate the performance of the proposed estimators based on the mean squares error criterion and the score test statistic. Finally, a numerical example is given to illustrate the theoretical results.     

Composite Estimation for Single‐Index Models with Responses Subject to Detection Limits

We propose a semiparametric estimator for single‐index models with censored responses due to detection limits. In the presence of left censoring, the mean function cannot be identified without any parametric distributional assumptions, but the quantile function is still identifiable at upper quantile levels. To avoid parametric distributional assumption, we propose to fit censored quantile regression and combine information across quantile levels to estimate the unknown smooth link function and the index parameter. Under some regularity conditions, we show that the estimated link function achieves the non‐parametric optimal convergence rate, and the estimated index parameter is asymptotically normal. The simulation study shows that the proposed estimator is competitive with the omniscient least squares estimator based on the latent uncensored responses for data with normal errors but much more efficient for heavy‐tailed data under light and moderate censoring. The practical value of the proposed method is demonstrated through the analysis of a human immunodeficiency virus antibody data set.     

基于模糊理论的城市快速路交通状态检测算法

通过分析流量、速度、占有率与城市快速路交通状态的关系,提出了一种基于模糊理论的城市快速路交通状态检测算法。通过在深圳市某快速路上的实际验证表明,该算法在能保证一定的检测率情况下,具有较低的误报率和较少的检测时间,表明此方法在实际应用中是切实可行的。     

基于共振解调模拟电路的滚动轴承早期故障检测性能研究

共振解调模拟电路是滚动轴承故障诊断中最常用的技术之一,但是其故障检测性能的定量评价研究尚未见报导。因此,分别以正弦调制和脉冲调制所构造的故障轴承振动加速度信号为电路输入,定量分析了共振解调电路在不同信噪比条件下的故障检测性能,并研究了电路中的关键设计参数——[WTBX]带通滤波器品质因数Q[WT]的调制规律,为共振解调模拟电路在轴承早期故障检测的实际工程应用提供了可靠的科学依据。     

基于环境传感器和穿戴式传感器的行为异常检测

针对独居老人频繁出现行为异常的情况,提出了基于热释电红外传感器和穿戴式传感器的老人行为异常检测系 统。设计了行为异常检测的硬件环境,介绍了红外传感器和穿戴式传感器的工作原理,提出了依据重力加速度所在轴向 检测老人躺下位置是否发生异常的方法,并融合了红外传感器和穿戴式传感器的信息对躺下位置异常进行检测。在1 居室的家庭环境中对位置异常检测的方法进行验证,通过实验的方法验证了算法的可行性,并确定了检测躺下状态的阈 值。系统能有效实现对独居老人是否发生躺下位置异常进行检测。     

立体标签自动贴标机结构设计

为了减少在产品包装环节中的人员参与,提高包装环节的自动化程度,研制了一种用于立体标签的自动贴标机。 根据产品贴标的流程,采用Pro/E软件进行三维建模和零部件的优化设计,包括传送机构、标签推进机构和折弯机构。 折弯机构中采用了折弯翻板实现对标签的折弯控制;自动贴标机各机构均采用了独立的电机控制,控制系统采用PLC 技术和变频器调速控制,设计了电动机正反转的控制电路图。通过对机械结构和电气控制系统优化设计,得到了满足设 计要求的自动贴标机机构设计参数,实现了对厚度为0.5 mm纸质标签纸的2次折弯并实现贴标过程。该自动标签机的 使用实现了包装过程的自动化,提高产品的包装效率。     

Evaluating Probabilistic Forecasts with Bayesian Signal Detection Models

We propose the use of signal detection theory (SDT) to evaluate the performance of both probabilistic forecasting systems and individual forecasters. The main advantage of SDT is that it provides a principled way to distinguish the response from system diagnosticity, which is defined as the ability to distinguish events that occur from those that do not. There are two challenges in applying SDT to probabilistic forecasts. First, the SDT model must handle judged probabilities rather than the conventional binary decisions. Second, the model must be able to operate in the presence of sparse data generated within the context of human forecasting systems. Our approach is to specify a model of how individual forecasts are generated from underlying representations and use Bayesian inference to estimate the underlying latent parameters. Given our estimate of the underlying representations, features of the classic SDT model, such as the receiver operating characteristic (ROC) curve and the area under the ROC curve (AUC), follow immediately. We show how our approach allows ROC curves and AUCs to be applied to individuals within a group of forecasters, estimated as a function of time, and extended to measure differences in forecastability across different domains. Among the advantages of this method is that it depends only on the ordinal properties of the probabilistic forecasts. We conclude with a brief discussion of how this approach might facilitate decision making.