In this paper, we propose a novel seismic blind deconvolution approach based on the Spearman’s rho in the case of band-limited seismic data with a low dominant frequency and short data records. The Spearman’s rho is...In this paper, we propose a novel seismic blind deconvolution approach based on the Spearman’s rho in the case of band-limited seismic data with a low dominant frequency and short data records. The Spearman’s rho is a measure of the dependence between two continuous random variables without the influence of the marginal distributions, by which a new criterion for blind deconvolution is constructed. The optimization program for new criterion of blind deconvolution is performed by applying Neidell’s wavelet model to the inverse filter. The noise-free and noisy synthetic data, onshore seismic trace in the Ordos Basin, and offshore stacked section in the Bohai Bay Basin examples show good results of the method.展开更多
This paper is concerned with the statistical modeling of the dependence structure of multivariate financial data using the copula, and the application of copula functions in VaR valuation. After the introduction of th...This paper is concerned with the statistical modeling of the dependence structure of multivariate financial data using the copula, and the application of copula functions in VaR valuation. After the introduction of the pure copula method and the maximum and minimum mixture copula method, authors present a new algorithm based on the more generalized mixture copula functions and the dependence measure, and apply the method to the portfolio of Shanghai stock composite index and Shenzhen stock component index. Comparing with the results from various methods, one can find that the mixture copula method is better than the pure Gaussian copula method and the maximum and minimum mixture copula method on different VaR level.展开更多
文摘In this paper, we propose a novel seismic blind deconvolution approach based on the Spearman’s rho in the case of band-limited seismic data with a low dominant frequency and short data records. The Spearman’s rho is a measure of the dependence between two continuous random variables without the influence of the marginal distributions, by which a new criterion for blind deconvolution is constructed. The optimization program for new criterion of blind deconvolution is performed by applying Neidell’s wavelet model to the inverse filter. The noise-free and noisy synthetic data, onshore seismic trace in the Ordos Basin, and offshore stacked section in the Bohai Bay Basin examples show good results of the method.
基金Supported by Research Projects of Humanities and Social Sciences Foundation of Ministry of Education
文摘This paper is concerned with the statistical modeling of the dependence structure of multivariate financial data using the copula, and the application of copula functions in VaR valuation. After the introduction of the pure copula method and the maximum and minimum mixture copula method, authors present a new algorithm based on the more generalized mixture copula functions and the dependence measure, and apply the method to the portfolio of Shanghai stock composite index and Shenzhen stock component index. Comparing with the results from various methods, one can find that the mixture copula method is better than the pure Gaussian copula method and the maximum and minimum mixture copula method on different VaR level.
