It is important to consider the changing states in hedging.The Markov regime-switching dynamic correlation multivariate stochastic volatility( MRS-DC-MSV) model was proposed to solve this issue. DC-MSV model and MRS-D...It is important to consider the changing states in hedging.The Markov regime-switching dynamic correlation multivariate stochastic volatility( MRS-DC-MSV) model was proposed to solve this issue. DC-MSV model and MRS-DC-MSV model were used to calculate the time-varying hedging ratios and compare the hedging performance. The Markov chain Monte Carlo( MCMC) method was used to estimate the parameters. The results showed that,there were obviously two economic states in Chinese financial market. Two models all did well in hedging,but the performance of MRS-DCMSV model was better. It could reduce risk by nearly 90%. Thus,in the hedging period,changing states is a factor that cannot be neglected.展开更多
In this paper, we will illustrate the use and power of Hidden Markov models in analyzing multivariate data over time. The data used in this study was obtained from the Organization for Economic Co-operation and Develo...In this paper, we will illustrate the use and power of Hidden Markov models in analyzing multivariate data over time. The data used in this study was obtained from the Organization for Economic Co-operation and Development (OECD. Stat database url: https://stats.oecd.org/) and encompassed monthly data on the employment rate of males and females in Canada and the United States (aged 15 years and over;seasonally adjusted from January 1995 to July 2018). Two different underlying patterns of trends in employment over the 23 years observation period were uncovered.展开更多
Current univariate approach to predict the probability of well construction time has limited accuracy due to the fact that it ignores key factors affecting the time.In this study,we propose a multivariate probabilisti...Current univariate approach to predict the probability of well construction time has limited accuracy due to the fact that it ignores key factors affecting the time.In this study,we propose a multivariate probabilistic approach to predict the risks of well construction time.It takes advantage of an extended multi-dimensional Bernacchia–Pigolotti kernel density estimation technique and combines probability distributions by means of Monte-Carlo simulations to establish a depth-dependent probabilistic model.This method is applied to predict the durations of drilling phases of 192 wells,most of which are located in the AustraliaAsia region.Despite the challenge of gappy records,our model shows an excellent statistical agreement with the observed data.Our results suggested that the total time is longer than the trouble-free time by at least 4 days,and at most 12 days within the 10%–90% confidence interval.This model allows us to derive the likelihoods of duration for each phase at a certain depth and to generate inputs for training data-driven models,facilitating evaluation and prediction of the risks of an entire drilling operation.展开更多
后验概率变化矢量分析(change vector analysis in posterior probability space,CVAPS)方法没有顾及到遥感影像波段之间和多时相之间的光谱相关性,可能会造成信息丢失而降低影像变化检测的精度。因此,结合多元变化检测(multivariate ch...后验概率变化矢量分析(change vector analysis in posterior probability space,CVAPS)方法没有顾及到遥感影像波段之间和多时相之间的光谱相关性,可能会造成信息丢失而降低影像变化检测的精度。因此,结合多元变化检测(multivariate change detection,MAD)技术与CVAPS方法,提出一种改进的土地利用/覆盖变化(land use/cover change,LUCC)分类自动更新方法。首先,引入MAD技术来降低多光谱影像波段间相关性的影响,从而改善对像元变化检测的精度,增强LUCC分类自动更新过程中训练样本的可靠性,提高LUCC分类自动更新的精度;然后,为减少分类图中"椒盐"噪声的影响,进一步利用迭代马尔科夫随机场(iterative Markov random field,IR-MRF)模型进行分类后空间邻域处理,以提高自动更新的精度。以福建省长汀县2013年获取的Landsat8影像数据以及相应的LUCC分类图为基准,利用2003年获取的Landsat5影像,对长汀县2003年的LUCC进行更新。实验结果表明,该方法的自动更新总体精度能够达到80%,比单独采用CVAPS方法的自动更新精度提高了约3%。展开更多
基金National Natural Science Foundation of China(No.71401144)
文摘It is important to consider the changing states in hedging.The Markov regime-switching dynamic correlation multivariate stochastic volatility( MRS-DC-MSV) model was proposed to solve this issue. DC-MSV model and MRS-DC-MSV model were used to calculate the time-varying hedging ratios and compare the hedging performance. The Markov chain Monte Carlo( MCMC) method was used to estimate the parameters. The results showed that,there were obviously two economic states in Chinese financial market. Two models all did well in hedging,but the performance of MRS-DCMSV model was better. It could reduce risk by nearly 90%. Thus,in the hedging period,changing states is a factor that cannot be neglected.
文摘In this paper, we will illustrate the use and power of Hidden Markov models in analyzing multivariate data over time. The data used in this study was obtained from the Organization for Economic Co-operation and Development (OECD. Stat database url: https://stats.oecd.org/) and encompassed monthly data on the employment rate of males and females in Canada and the United States (aged 15 years and over;seasonally adjusted from January 1995 to July 2018). Two different underlying patterns of trends in employment over the 23 years observation period were uncovered.
文摘Current univariate approach to predict the probability of well construction time has limited accuracy due to the fact that it ignores key factors affecting the time.In this study,we propose a multivariate probabilistic approach to predict the risks of well construction time.It takes advantage of an extended multi-dimensional Bernacchia–Pigolotti kernel density estimation technique and combines probability distributions by means of Monte-Carlo simulations to establish a depth-dependent probabilistic model.This method is applied to predict the durations of drilling phases of 192 wells,most of which are located in the AustraliaAsia region.Despite the challenge of gappy records,our model shows an excellent statistical agreement with the observed data.Our results suggested that the total time is longer than the trouble-free time by at least 4 days,and at most 12 days within the 10%–90% confidence interval.This model allows us to derive the likelihoods of duration for each phase at a certain depth and to generate inputs for training data-driven models,facilitating evaluation and prediction of the risks of an entire drilling operation.
文摘后验概率变化矢量分析(change vector analysis in posterior probability space,CVAPS)方法没有顾及到遥感影像波段之间和多时相之间的光谱相关性,可能会造成信息丢失而降低影像变化检测的精度。因此,结合多元变化检测(multivariate change detection,MAD)技术与CVAPS方法,提出一种改进的土地利用/覆盖变化(land use/cover change,LUCC)分类自动更新方法。首先,引入MAD技术来降低多光谱影像波段间相关性的影响,从而改善对像元变化检测的精度,增强LUCC分类自动更新过程中训练样本的可靠性,提高LUCC分类自动更新的精度;然后,为减少分类图中"椒盐"噪声的影响,进一步利用迭代马尔科夫随机场(iterative Markov random field,IR-MRF)模型进行分类后空间邻域处理,以提高自动更新的精度。以福建省长汀县2013年获取的Landsat8影像数据以及相应的LUCC分类图为基准,利用2003年获取的Landsat5影像,对长汀县2003年的LUCC进行更新。实验结果表明,该方法的自动更新总体精度能够达到80%,比单独采用CVAPS方法的自动更新精度提高了约3%。
