Exponential family state space models based on a conjugate latent process

This paper introduces non-linear and non-Gaussian state space models with analytic updating recursions for filtering and prediction. This new class of models involves some well-known results in the theory of exponential models and of exponential dispersion models and the latent process is defined in such a way that both the filtering and the prediction distributions turn out to be conjugate to the observation distribution at each step. The corresponding analytic and inferential properties are investigated and some simple examples are presented.     

数字下变频中抽取技术研究

讨论了软件无线电接收机中数字下变频处理技术中的CIC抽取滤波器结构原理,分析了CIC滤波器级联ISOP滤波器进行抽取滤波的设计技术。验证了ISOP滤波器对CIC滤波器带内衰减补偿的有效性;采用了CIC抽取滤波器的系统,有效地缩减了窄带FIR滤波器阶数。     

The Co-Integrated Vector Autoregression with Errors–in–Variables

The co-integrated vector autoregression is extended to allow variables to be observed with classical measurement errors (ME). For estimation, the model is parametrized as a time invariant state-space form, and an accelerated expectation-maximization algorithm is derived. A simulation study shows that (i) the finite-sample properties of the maximum likelihood (ML) estimates and reduced rank test statistics are excellent (ii) neglected measurement errors will generally distort unit root inference due to a moving average component in the residuals, and (iii) the moving average component may–in principle–be approximated by a long autoregression, but a pure autoregression cannot identify the autoregressive structure of the latent process, and the adjustment coefficients are estimated with a substantial asymptotic bias. An application to the zero-coupon yield-curve is given.     

部分响应形成滤波器的设计

讨论了有最小符号间干扰(ISI)的第一类部分响应滤波器的最佳设计方法。所设计滤波器的选择性和阻带衰减可预先给定并易于控制。以小的频带损失在Nyquist频率附近引入滚降,可使ISI进一步减小。利用这种滤波器还可以获得第四类部分响应信号。给出的设计实例说明这种设计方法很有实用价值。     

Econometric analysis of realized volatility and its use in estimating stochastic volatility models

Summary. The availability of intraday data on the prices of speculative assets means that we can use quadratic variation-like measures of activity in financial markets, called realized volatility, to study the stochastic properties of returns. Here, under the assumption of a rather general stochastic volatility model, we derive the moments and the asymptotic distribution of the realized volatility error—the difference between realized volatility and the discretized integrated volatility (which we call actual volatility). These properties can be used to allow us to estimate the parameters of stochastic volatility models without recourse to the use of simulation-intensive methods.     

基于多结构元广义形态滤波的改进算法

为对采用相同结构元的形态闭-开和形态开-闭这两种滤波器进行改进,采用了不同结构元的广义形态闭-开和形态开-闭滤波器。在此基础上,将一种新的结构元运用到广义形态滤波中,提出了一种滤波新算法。理论分析和图像处理仿真实验表明,该类滤波新算法既能有效地滤除噪声,又可充分保留原图像的细节信息。     

Z平面矩阵变换的数字滤波器设计

说明了用矩阵变换的方法在 Z 平面内把已知低通数字滤波器直接变换成所需要的各种数字滤波器的原理和方法.这种方法原理简单、运算速度快,具有一定的实际应用价值.     

一种新的自适应卡尔曼滤波算法——ALR算法

本文提出一种新的自适应卡尔曼滤波算法——ALR(Adaptive Least Residual)算法.该算法从经典的卡尔曼滤波出发,使残差达到最小,以残差(residual)样本值代替统计值,再用最陡下降法估计算自适应权增益,最后得到一组自适应滤波公式.通过理论分析和计算机模拟,证明该算法具有算法简单、运算量小等优点,适于在自适应系统辨识、自适应谱估计中作实时处理.     

具有低运算噪声的DM数字滤波器硬件设备

本文提出了基于DDA器件原理的增量调制递归数字滤波器的实现方案,并做出了实验设备.实验结果表明DDA-DM递归数字滤波器具有低运算噪声的优点,其性能与理论分析十分一致.     

Smoothing spline estimation in varying-coefficient models

Summary.  Smoothing spline estimators are considered for inference in varying-coefficient models with one effect modifying covariate. Bayesian 'confidence intervals' are developed for the coefficient curves and efficient computational methods are derived for computing the curve estimators, fitted values, posterior variances and data-adaptive methods for selecting the levels of smoothing. The efficacy and utility of the methodology proposed are demonstrated through a small simulation study and the analysis of a real data set.