Estimating rating transition probabilites with missing data

In this article we provide a rigorous treatment of one of the central statistical issues of credit risk management. GivenK-1 rating categories, the rating of a corporate bond over a certain horizon may either stay the same or change to one of the remainingK-2 categories; in addition, it is usually the case that the rating of some bonds is withdrawn during the time interval considered in the analysis. When estimating transition probabilities, we have thus to consider aK-th category, called withdrawal, which contains (partially) missing data. We show how maximum likelihood estimation can be performed in this setup; whereas in discrete time our solution gives rigorous support to a solution often used in applications, in continuous time the maximum likelihood estimator of the transition matrix computed by means of the EM algorithm represents a significant improvement over existing methods.     

均值绝对偏差资产组合选择模型的算法

对均值绝对偏差模型进行了简化,并利用一种旋转算法求解。这种算法比单纯形算法的计算简便,且计算量更小。利用上海和深圳股市1 072支股票70期周末收盘价所作的实验结果表明,对于资产无上界限制的模型,计算20个不同最优投资组合需要1 274次旋转运算,上界为10%时需要1 570次旋转运算,每 次旋转运算约需1 14171次加法和乘法运算。     

基于并行遗传算法的去相关多用户检测器

通过将码分多址通信系统中的最佳多用户检测视为组合优化问题,利用遗传算法能全局寻优的优势,提出了一种基于并行遗传算法的去相关多用户检测器。理论分析和仿真表明:该多用户检测器无论是抗多址干扰的能力还是抗远近效应的能力都明显优于传统的检测器和去相关多用户检测器;由于采用了基于“联姻”策略的并行遗传算法,使这种多用户检测器更易于实时应用和硬件实现。     

基于需求不确定性的供应链库存控制研究

通过建立需求不确定性环境下供应链成员的独立存货成本模型,运用模拟退火法对该模型进行52周的仿真,求解存货最佳订购数量与最佳再订购点,从而比较出不同存货控制策略的供应链存货总成本及订单满足率的差异。     

心律波动信号的1/f噪声特性分析

心律波动信号具有1/f噪声特性,是非平稳的。该文采用平均功率谱密度方法,分析了基于平均功率谱密度和最小二乘拟合法求正常人和心脏充血患者的心律波动信号的谱参数,发现根据谱参数可以定量地区分正常人与心脏充血患者:大部分正常人的心律波动信号的谱参数大于1,而大部分心脏充血患者的心律波动信号的谱参数小于1,该结论可为心脏病的诊断与预诊断提供一种辅助手段。     

EM与农业发展

通过对有效微生物群EM特性分析，说明EM对种植业、养殖业发展及农业环境保护的作用。     

Optimal scaling of Metropolis algorithms: Heading toward general target distributions

The authors provide an overview of optimal scaling results for the Metropolis algorithm with Gaussian proposal distribution. They address in more depth the case of high‐dimensional target distributions formed of independent, but not identically distributed components. They attempt to give an intuitive explanation as to why the well‐known optimal acceptance rate of 0.234 is not always suitable. They show how to find the asymptotically optimal acceptance rate when needed, and they explain why it is sometimes necessary to turn to inhomogeneous proposal distributions. Their results are illustrated with a simple example.     

A bayesian estimator for the dependence function of a bivariate extreme‐value distribution

Any continuous bivariate distribution can be expressed in terms of its margins and a unique copula. In the case of extreme‐value distributions, the copula is characterized by a dependence function while each margin depends on three parameters. The authors propose a Bayesian approach for the simultaneous estimation of the dependence function and the parameters defining the margins. They describe a nonparametric model for the dependence function and a reversible jump Markov chain Monte Carlo algorithm for the computation of the Bayesian estimator. They show through simulations that their estimator has a smaller mean integrated squared error than classical nonparametric estimators, especially in small samples. They illustrate their approach on a hydrological data set.     

一种LOG-MAP算法的改进迭代实现及其结构

对LOG-MAP算法进行了可并发性分析,利用可以完整接收一个N长符号传输帧的条件以及正向迭代和反向迭代中的固有对称性质,提出了LOG-MAP算法的一种修正迭代实现算法,其正向和反向迭代计算次数只需码长N的一半,故比标准LOG-MAP算法提高了一倍的处理速度,且没有空间开销的增加、同时,根据修正的迭代实现算法给出了相应的适于FPGA实现的双总线硬件结构的实现方案。