LEAST SQUARES ESTIMATION FOR ORNSTEIN-UHLENBECK PROCESSES DRIVEN BY THE WEIGHTED FRACTIONAL BROWNIAN MOTION

In this article, we study a least squares estimator （LSE） of θ for the Ornstein- Uhlenbeck process X0=0,dXt=θXtdt＋dBt^ab, t ≥ 0 driven by weighted fractional Brownian motion B^a,b with parameters a, b. We obtain the consistency and the asymptotic distribution of the LSE based on the observation {Xs, s∈[0,t]} as t tends to infinity.

Recursive weighted least squares estimation algorithm based on minimum model error principle

Kalman filter is commonly used in data filtering and parameters estimation of nonlinear system,such as projectile's trajectory estimation and control.While there is a drawback that the prior error covariance matrix and filter parameters are difficult to be determined,which may result in filtering divergence.As to the problem that the accuracy of state estimation for nonlinear ballistic model strongly depends on its mathematical model,we improve the weighted least squares method(WLSM)with minimum model error principle.Invariant embedding method is adopted to solve the cost function including the model error.With the knowledge of measurement data and measurement error covariance matrix,we use gradient descent algorithm to determine the weighting matrix of model error.The uncertainty and linearization error of model are recursively estimated by the proposed method,thus achieving an online filtering estimation of the observations.Simulation results indicate that the proposed recursive estimation algorithm is insensitive to initial conditions and of good robustness.

ERRATUM TO： LEAST SQUARES ESTIMATION FOR ORNSTEIN-UHLENBECK PROCESSES DRIVEN BY THE WEIGHTED FRACTIONAL BROWNIAN MOTION （ACTA MATHEMATICA SCIENTIA 2016,36B （2） ：394-408）

We give a correction of Theorem 2.2 of Shen, Yin and Yan （2016）.

STUDY ON FREQUENCY ESTIMATION BASED ON WEIGHTED LEAST SQUARE METHOD WITH THREE FOURIER COEFFICIENTS

In this paper,a sinusoidal signal frequency estimation algorithm is proposed by weighted least square method.Based on the idea of Provencher,three biggest Fourier coefficients in the maximum periodogram are considered,the Fourier coefficients can be written as three equations about the amplitude,phase,and frequency,and the frequency is estimated by solving equations.Because of the error of measurement,weighted least square method is used to solve the frequency equation and get the signal frequency.It is shown that the proposed estimator can approach the Cramer-Rao Bound(CRB)with a low Signal-to-Noise Ratio(SNR)threshold and has a higher accuracy.

A new method of weighted choice in InSAR Least Squares unwrapping

The decorelation phenomena such as Low-SNR radar signal, shadows and layover caused by topography etc, causes phase data discontinuous and makes the result of unwrapping phase inaccurate or completely wrong. Based on the analysis of influencing factors to the weight selection, this paper develops a new method to choose the weights based on the measurement of confidence in frequency domain. Results show that it is more precise and robust than other methods, and can make up for the defect of sub-estimate to the slope of least squares method.

Visualising data distributions with kernel density estimation and reduced chi-squared statistic

The application of frequency distribution statistics to data provides objective means to assess the nature of the data distribution and viability of numerical models that are used to visualize and interpret data.Two commonly used tools are the kernel density estimation and reduced chi-squared statistic used in combination with a weighted mean.Due to the wide applicability of these tools,we present a Java-based computer application called KDX to facilitate the visualization of data and the utilization of these numerical tools.

A new method of weight choice in InSAR least squares unwrapping

The de-coherence phenomena such as Low-SNR radar signal, shadows and layover caused by topography, etc. , causing phase data discontinuity, makes the result of unwrapping phase inaccuracy or even completely wrong. Based on the analysis of influencing factors to weight choice, this thesis develops a new method to choose the weights based on the measure of the confidence in the frequency domain. Experiments show that it could overcome the defect of sub-estimate to the slope of least squares method very well, which has a better rationale, stability and performance.

Total least-squares EIO model,algorithms and applications

A functional model named EIO(Errors-In-Observations) is proposed for general TLS(total least-squares)adjustment. The EIO model only considers the correction of the observation vector, but doesn't consider to correct all elements in the design matrix as the EIV(Errors-In-Variables) model does, furthermore, the dimension of cofactor matrix is much smaller. Iterative algorithms for the parameter estimation and their precise covariance matrix are derived rigorously, and the computation steps are also presented. The proposed approach considers the correction of the observations in the coefficient matrix, and ensures their agreements in every matrix elements. Parameters and corrections can be solved at the same time.An approximate solution and a precise solution of the covariance matrix can be achieved by corresponding algorithms. Applications of EIO model and the proposed algorithms are demonstrated with several examples. The results and comparative studies show that the proposed EIO model and algorithms are feasible and reliable for general adjustment problems.

NEW RESULTS ABOUT THE RELATIONSHIP BETWEEN OPTIMALLY WEIGHTED LEAST SQUARES ESTIMATE AND LINEAR MINIMUM VARIANCE ESTIMATE

The optimally weighted least squares estimate and the linear minimum variance estimateare two of the most popular estimation methods for a linear model.In this paper,the authors makea comprehensive discussion about the relationship between the two estimates.Firstly,the authorsconsider the classical linear model in which the coefficient matrix of the linear model is deterministic,and the necessary and sufficient condition for equivalence of the two estimates is derived.Moreover,under certain conditions on variance matrix invertibility,the two estimates can be identical providedthat they use the same a priori information of the parameter being estimated.Secondly,the authorsconsider the linear model with random coefficient matrix which is called the extended linear model;under certain conditions on variance matrix invertibility,it is proved that the former outperforms thelatter when using the same a priori information of the parameter.

事件触发机制下配电网三相动态状态估计

随着高级量测体系的发展和智能电表的广泛应用,为配电网三相状态估计提供了丰富的终端量测信息。与此同时,大量的智能电表数据给配电网通信系统提出了更高的通信带宽和实时存储要求。为了缓解量测拥堵和时延现象,文中引入事件触发机制代替传统量测数据的周期性采样,在保证有效量测信息及时上传的同时减少通信成本和投资。在此基础上,针对配电网实时状态感知问题,提出了基于鲁棒集合卡尔曼滤波的配电网三相动态状态估计方法,在正常运行场景下,能够保持与无偏估计加权最小二乘法相近的估计精度;当含有坏数据时,该方法也拥有较强的鲁棒性。

基于WRLS-ARMAX系统辨识的新能源电力系统惯量评估

随着高比例新能源机组并入电网,电力系统低惯量特性愈加显著,严重影响了系统运行稳定性。为了准确估计新能源电网实际运行状态下的惯量大小,提出了一种基于加权递推最小二乘(WRLS)-受控自回归滑动平均(ARMAX)系统辨识的新能源电力系统等效惯量评估方法。首先,以发电机为对象,建立不同扰动情况下发电机功频响应特性的通用惯量解析模型;其次,以发电机并网母线有功功率和频率扰动作为输入和输出,建立ARMAX模型,考虑到实际电网运行过程中受大、小扰动共同影响,实际测量数据具有异方差性,采用WRLS求解模型中的待辨识参数;然后,提取辨识模型中包含惯量响应的传递函数模型,利用阶跃响应计算惯量源的惯性时间常数,进而计算得到系统等效惯量大小;最后,通过Matlab/Simulink仿真算例验证了所提方法的准确性和实用性。

Iterative weighted partial spline least squares estimation in semiparametric modeling of longitudinal data

In this paper we consider the estimating problem of a semiparametric regression modelling whenthe data are longitudinal. An iterative weighted partial spline least squares estimator (IWPSLSE) for the para-metric component is proposed which is more efficient than the weighted partial spline least squares estimator(WPSLSE) with weights constructed by using the within-group partial spline least squares residuals in the senseof asymptotic variance. The asymptotic normality of this IWPSLSE is established. An adaptive procedure ispresented which ensures that the iterative process stops after a finite number of iterations and produces anestimator asymptotically equivalent to the best estimator that can be obtained by using the iterative proce-dure. These results are generalizations of those in heteroscedastic linear model to the case of semiparametric regression.

Approximation to the Distribution of the Least Squares Estimators in Two Dimensional Cosine Models by Randomly Weighted Bootstrap

Recently, Kundu and Gupta （Metrika, 48：83 C 97, 1998） established the asymptotic normality of the least squares estimators in the two dimensional cosine model. In this paper, we give the approximation to the general least squares estimators by using random weights which is called the Bayesian bootstrap or the random weighting method by Rubin （Annals of Statistics, 9：130 C 134, 1981） and Zheng （Acta Math. Appl. Sinica （in Chinese）, 10（2）： 247 C 253, 1987）. A simulation study shows that this approximation works very well.

含未知输入非线性系统的扩展平方根容积卡尔曼滤波算法

针对工程实际应用中存在的未知输入会导致经典的非线性滤波器状态估计精度下降甚至滤波发散的问题,提出了一种基于最小方差无偏估计(minimum variance unbiased estimation,MVUE)准则的扩展平方根容积卡尔曼滤波(extended square-root cubature Kalman filter,ESRCKF)算法。首先,结合上一时刻未知输入估计值对状态一步预测值进行修正,得到含未知输入条件下的状态预测值。其次,设计新息并采用加权最小二乘(weighted least squares,WLS)法获取当前时刻未知输入的无偏估计。最后,通过最小化协方差矩阵的迹,同时采用拉格朗日乘子法和舒尔补引理得到系统状态的最小方差无偏估计。仿真结果表明,相比于现有的非线性滤波算法,ESRCKF算法提高了在处理含未知输入非线性系统时的状态估计精度,并能同时实现系统状态和未知输入的最优估计,验证了该算法的有效性。

基于时变稳健加权最小二乘法的股市收益率预测

提出一类时变参数稳健加权最小二乘法(TRWLS),并将其用于预测标准普尔500指数收益率.该方法将时间相关权重与稳健估计权重相结合,既能捕捉参数时变性,又能降低数据噪声的影响.TRWLS模型组合揭示了经济和统计意义上均显著的收益率可预测性,而且预测能力明显高于普通最小二乘法.TRWLS模型的预测表现也好于传统时变参数模型和稳健回归模型.其预测能力主要来源于时间权重和稳健性权重的互补性以及超参数的学习能力.预测结果在调整多元信息组合方法、权重核函数和验证集长度的情况下均具有稳健性.

未知信号传播速度的TDOA定位方法研究

研究了未知信号传播速度时的到达时间差(Time-Difference-Of-Arrival,TDOA)定位问题,提出两种联合估计信号传播速度和目标位置的定位方法。第一种方法为两步加权最小二乘方法。在该方法中,首先不考虑变量之间关系,得到一个关于未知变量的初始加权最小二乘估计。为改进第一步估计的性能,第二步考虑第一步估计中变量之间的关系,将其转换为一个标准的广义信赖域子问题,最终获得更高精度的估计性能。第二种方法为半正定松弛方法,通过构建非线性非凸加权最小二乘问题,然后利用半正定松弛技术将其松弛为凸的半正定规划问题,容易求解。仿真结果表明,所提两种方法均能够在高斯噪声下,且噪声不太大时达到克拉美-罗界。

基于SDW-MMSE的广义特征值稳健波束形成方法

最大输出信噪比(Signal-to-noise ratio,SNR)准则下,广义特征值(Generalized eigenvalue,GEV)波束形成存在复系数难以控制的问题,在复杂的声学环境中容易导致输出信号严重失真。针对复系数估计问题,本文提出一种基于最小均方误差(Minimum mean square error,MMSE)的复系数估计方法,并通过引入语音失真权重因子(Speech distortion weight,SDW),调节降噪效果和语音失真之间的权重关系,进而提出了基于SDW-MMSE的广义特征值稳健波束形成方法。通过最大似然法估计目标信号和噪音信号的功率谱,进而求解主广义特征向量。进一步基于SDW-MMSE估计复系数,将复系数与主广义特征向量相结合,从而得到基于SDW-MMSE的广义特征值稳健波束形成滤波向量。仿真实验结果表明,本文提出的波束形成方法可有效消除相干噪声和非相干噪声,具有输出信噪比高、语音失真少等稳健性能。

考虑地震事件内空间相关性的区域概率地震危险性分析

一次地震事件不同地点的地震动强度参数与结构响应参数之间是空间相关的,相关的地震效应将导致地震损失急剧集中与积累,从而造成灾难性事件,但是现有的区域尺度地震风险评估并没有考虑地震动的空间相关性。该文采用地统计学方法表征地震事件内地震动强度参数的空间相关性,提出了理论半变异函数的几何稳健估计方法,并采用加权最小二乘法实现对短距离空间相关性的准确高效评估。以新潟越冲地震为例,基于指数半变异函数模型,采用加权最小二乘法对几何稳健估计半变异函数值进行拟合,得到了PGA、PGV和0 s~10 s谱加速度的空间相关性函数,提出了变程b值的预测模型,结果表明:相比于短周期谱加速度,长周期谱加速度的空间相关性衰减速率更小,且在T=0.45 s处存在拐点。将所开发的空间相关性模型应用于区域概率地震危险性分析,采用Monte Carlo方法实现了空间相关随机场的区域地震动强度参数的模拟,改进了传统区域地震危险性分析的方法,发现绝大多数情况下考虑空间相关性的年超越概率大于未考虑空间相关性的年超越概率,表明考虑空间相关性对于建筑群落及基础设施风险评估、韧性城市建设等具有重要的指导意义。

A novel adaptive image zooming scheme via weighted least-squares estimation

A critical issue in image interpolation is preserving edge detail and texture information in images when zooming. In this paper, we propose a novel adaptive image zooming algorithm using weighted least-square estimation that can achieve arbitrary integer-ratio zoom （WLS-AIZ） For a given zooming ratio n, every pixel in a low-resolution （LR） image is associated with an n x n block of high-resolution （HR） pixels in the HR image. In WLS-AIZ, the LR image is interpolated using the bilinear method in advance. Model parameters of every n×n block are worked out through weighted least-square estimation. Subsequently, each pixel in the n × n block is substituted by a combination of its eight neighboring HR pixels using estimated parameters. Finally, a refinement strategy is adopted to obtain the ultimate HR pixel values. The proposed algorithm has significant adaptability to local image structure. Extensive experiments comparing WLS-AIZ with other state of the art image zooming methods demonstrate the superiority of WLS-AIZ. In terms of peak signal to noise ratio （PSNR）, structural similarity index （SSIM） and feature similarity index （FSIM）, WLS-AIZ produces better results than all other image integer-ratio zoom algorithms.

IDEAL-IQ序列在乳腺肿块良恶性鉴别诊断中的应用价值探究

目的 探讨非对称回波最小二乘估算法迭代水脂分离序列(iterative decomposition of water and fat with echo asymmetrical and least-squares estimation quantitation sequence, IDEAL-IQ)来源的R2^(*)值在乳腺良恶性肿瘤鉴别诊断中的价值,并与传统多回波T2^(*)梯度回波(gradient recalled echo, GRE)序列来源的R2^(*)值进行比较。材料与方法 回顾性分析2021年9月至2023年10月在中国医科大学附属第一医院连续收治的42名患者的50个良性肿瘤病灶,在本院影像归档和通信系统(picture archiving and communication systems, PACS)中使用倾向性评分匹配方法匹配肿瘤所在最大层面的最长径,按1∶3的比例纳入150名患者的150个恶性肿瘤病灶。将恶性肿瘤根据预后因子[雌激素受体(estrogen receptor, ER)、孕激素受体(progesterone receptor, PR)以及人表皮生长因子受体2(human epidermal growth factor receptor 2, HER-2)]的阳性/阴性表达情况进行分组。所有患者均接受包含IDEAL-IQ和多回波T2*GRE序列的多参数MRI,测量以下定量参数:IDEAL-IQ序列R2^(*)值(R2^(*)IDEAL)、多回波T2*GRE序列R2^(*)值(R2^(*)GRE)、表观扩散系数(apparent diffusion coefficient, ADC)及肿瘤长径。根据原始资料类型的不同,分别利用单因素分析(独立样本t检验、Mann-Whitney U检验等方法)对比分析各参数的差异。采用Spearman相关性分析R2^(*)IDEAL与R2^(*)GRE及二者与ADC的相关性。采用配对样本t检验比较R2^(*)IDEAL与R2^(*)GRE的差异。采用logistic回归分析建立联合诊断模型,并使用受试者工作特征(receiver operating characteristic, ROC)曲线及曲线下面积(area under the curve,AUC)分析单独及联合参数鉴别乳腺肿瘤良恶性的效能。结果 相关性分析显示乳腺肿瘤患者的R2^(*)IDEAL与R2^(*)GRE呈中度相关(r=0.763,P<0.001),二者与ADC值均呈负性弱相关[r=-0.300(R2^(*)IDEAL),-0.306(R2^(*)GRE),P<0.001]。良性组与恶性组中,R2^(*)IDEAL与R2^(*)GRE均呈中度相关(r=0.745、0.680,P<0.001),二者与ADC均无相关性。两种序列所得的R2^(*)值差异有统计学意义(P<0.001)。R2^(*)IDEAL在良恶性组间差异有统计学意义(P<0.001),管腔HER-2阴性型R2^(*)值最高。对于单一参数,ADC值鉴别良恶性的AUC最高(0.857);对于联合参数,R2^(*)IDEAL+ADC鉴别良性组与管腔阴性组的AUC最高(0.927);差异均有统计学意义(P<0.05)。结论 IDEAL-IQ序列生成的R2^(*)值可用于区分良恶性乳腺肿块,可能成为除ADC外辅助乳腺肿瘤良恶性鉴别的又一无需对比剂参数。