偏方差波动率预测模型

论文研究了阈值数量和大小对已实现波动率预测的影响,并提出了偏方差已实现波动率预测模型——HAR-PV(G),该模型进一步提高了已实现波动率的预测效果。考虑到不同大小收益对已实现波动率的影响具有非对称性,以HAR-RS模型为基础,选取不同数量和不同大小的阈值组合对日内收益进行分割,并计算对应的偏方差,从而构建HAR-PV(G)模型。论文以沪深300指数为研究对象,比较了不同HAR-PV(G)模型的样本外预测能力。样本外分析表明,阈值数量为3的平分偏方差模型具有比传统HAR、HAR-RS以及其他阈值组合的偏方差模型更好的预测能力。全样本的参数分析也显示阈值数量为3的平分偏方差模型对数据的拟合效果更出众。

基于下偏方差的机构投资者金融资产配置问题研究

机构投资者对于资本市场理性投资理念的形成具有重要推动作用,但在目前制度安排下,机构投资者出现了非理性投资行为,导致了资产配置失效。为了提高资产配置效率,引入下偏方差理念,并在该分析框架下构建机构投资者的资产配置模型,该模型为机构投资者在风险证券上的资金配置提供理论指导。同时根据下偏方差的资产配置结论提出规范化机构投资者资产配置的政策建议。

一类雨量预报准确性评价方法

给出了一种利用网格点的预报雨量来模拟区域内任一点预报雨量的方法,建立了预报雨量函数,进而得出预报雨量与实测雨量的整体偏方差的数学模型;利用QPF方法建立出准确率、预报效率、空报率、漏报率等评价预报方法优劣指标的数学模型,并对两种预报方法得出的数据进行了计算,得出上述模型中的数值如下:方案方法总体偏方差预报准确率漏报率空报率预报效率方法1 0.99987×10679.431%11.463%25.621%62.256%方法2 1.00518×10657.509%26.976%31.705%58.936%比较这些指标,可得第一种预报结果较好.

回归分析中的影响变量可压缩性条件

通过矩阵的扫除变换 ,获得了回归系数关于偏方差元素的表现形式。由此推导出了一个回归直线方程中 ,某影响变量相对主要影响变量的回归系数是可压缩的充分必要条件。

随机变量投影的一种应用

利用随机变量的投影关系,定义了偏方差矩阵,从而导出了逆方差阵元素的一种形式在随机变量是正态的条件,它为判别条件独立性有方便的操作办法。

Fracture identification based on remote detection acoustic reflection logging

Fracture identification is important for the evaluation of carbonate reservoirs. However, conventional logging equipment has small depth of investigation and cannot detect rock fractures more than three meters away from the borehole. Remote acoustic logging uses phase-controlled array-transmitting and long sound probes that increase the depth of investigation. The interpretation of logging data with respect to fractures is typically guided by practical experience rather than theory and is often ambiguous. We use remote acoustic reflection logging data and high-order finite-difference approximations in the forward modeling and prestack reverse-time migration to image fractures. First, we perform forward modeling of the fracture responses as a function of the fracture-borehole wall distance, aperture, and dip angle. Second, we extract the energy intensity within the imaging area to determine whether the fracture can be identified as the formation velocity is varied. Finally, we evaluate the effect of the fracture-borehole distance, fracture aperture, and dip angle on fracture identification.

Oscillation of Systems of Parabolic Differential Equations with Deviating Arguments

To study a class of boundary value problems of parabolic differential equations with deviating arguments, averaging technique, Green’s formula and symbol function sign(·) are used. The multi dimensional problem was reduced to a one dimensional oscillation problem for ordinary differential equations or inequalities. Two oscillatory criteria of solutions for systems of parabolic differential equations with deviating arguments are obtained.

Phase aberration correction in ultrasonic phased array non-destructive testing systems

Phase aberration correction for medical ultrasound systems has attracted a great deal of attention. Since phased array techniques are now widely employed for industrial non-destructive testing （NDT） applications in various fields, the problem of phase aberrations in the process of NDT testing is considered. The technique of cross-covariance for phase aberration correction is presented. The performance of the technique for phase aberration correction is tested by means of echo signals obtained in practical non-destructive testing experiment. The results show that the technique has the better accuracy of phase correction.

谈谈对总体的估计

本文从理论计算和例子两个方面介绍了几种总体的估计方法。从珠球实验得到估计数据的准确度出发,提出用大样本估计总体标准差然后用小样本在管理图上打点的主张。同时补充论述了管理图上不应出现公差上、下限的理由。

Oscillatory Criteria for a Class of Boundary Value Problem of Nonlinear Hyperbolic Equations *L

Aim To study a class of boundary value problem of hyperbolic partial functional differential equations with continuous deviating arguments. Methods An averaging technique was used. The multi dimensional problem was reduced to a one dimensional oscillation problem for ordinary differential equations or inequalities. Results and Conclusion The known results of oscillation of solutions for a class of boundary value problem of hyperbolic partial functional differential equations with discrete deviating arguments are generalized, and the oscillatory criteria of solutions for such equation with two kinds of boundary value conditions are obtained.

Optimization of Chromatographic Conditions for Detecting Ellagic Acid in Pomegranate Peels Using HPLC Method

[Objective] This study aimed to optimize the chromatographic conditions for detecting ellagic acid in pomegranate peels using HPLC method. [Method] By using 0.2 mg/ml ellagic acid standard solution, on the basis of single-factor experiment and orthogonal experiment, chromatographic conditions （mobile phase ratio, flow rate, col- umn temperature） for detecting ellagic acid using HPLC were optimized. Based on the optimal chromatographic conditions, the ellagic acid content in experimental pomegranate peels was determined. [Resull] The optimal chromatographic conditions for detecting ellagic acid in pomegranate peels using HPLC method are： 1.2% phos- phoric acid：acetonitrile=85：15, column temperature of 35 ℃, and flow rate of 1.0 ml/min. The linear regression equation of ellagic acid is： y=2.9e＋0.6x＋4.4e＋5 （FF=9 999）. Ac- cording to the standard addition recovery test, the average recovery rate of ellagic acid is 98.20%, and RSD is 0.60%. Under above optimized chromatographic condi- tions, ellagic acid can be well separated from other interfering components in pomegranate peels, with shorter peak time and ideal effect, which is convenient for the detection in production practices. [Conclusion] This study laid the foundation for detecting ellagic acid in pomegranate peels using HPLC method.

A New Class of Biased Linear Estimators in Deficient-rank Linear Models

In this paper, we define a new class of biased linear estimators of the vector of unknown parameters in the deficient_rank linear model based on the spectral decomposition expression of the best linear minimun bias estimator. Some important properties are discussed. By appropriate choices of bias parameters, we construct many interested and useful biased linear estimators, which are the extension of ordinary biased linear estimators in the full_rank linear model to the deficient_rank linear model. At last, we give a numerical example in geodetic adjustment.

Influence of process parameters on deep drawing of AA6111 aluminum alloy at elevated temperatures

To gain a deep insight into the hot drawing process of aluminum alloy sheet, simulations of cylindrical cup drawing at elevated temperatures were carried out with experimental validation. The influence of four important process parameters, namely,punch velocity, blank holder force(BHF), friction coefficient and initial forming temperature of blank on drawing characteristics(i.e.minimum thickness and thickness deviation) was investigated with the help of design of experiments(DOE), analysis of variance(ANOVA) and analysis of mean(ANOM). Based on the results of ANOVA, it is shown that the blank holder force has the greatest influence on minimum thickness. The importance of punch velocity for thickness deviation is 44.35% followed by BHF of 24.88%,friction coefficient of 15.77% and initial forming temperature of blank of 14.995%. After determining the significance of each factor on forming characteristics, how the individual parameter affects characteristics was further analyzed by ANOM.

CFD Simulation of Flow and Mass Transfer in Structured Packing Distillation Columns

Detailed investigation of flow behavior in structured packing distillation columns is of great importance in accurate prediction of process efficiency and development of more efficient and optimal equipment internals. In this study, a three-dimensional two-phase flow model based on VOF method for simulating the hydrodynamics and mass-transfer behavior in a typical representative unit of the structured packing is developed. In the proposed model, the c 2 - ε c model is used for the closure of turbulent mass transfer equation. By solving the proposed model, the velocity distribution, phase fraction profile and concentration field are obtained. Using these data, the total liquid holdup, the wetted area and the separation efficiency [height equivalent to a theoretical plate (HETP)] are estimated. For testing the model validation, the simulated HETPs are compared with our previous experimental data obtained in a 150 mm-diameter column containing Mellapak 350Y operating at the pressures of 0.6-1.8 MPa. The compari-son shows that they are in satisfactory agreement, with an average absolute deviation (AAD) of 25.4%.

Robustness of Minimum Norm Quadratic Unbiased Estimator of Variance Under the General Linear Model

Necessary and sufficient conditions for equalities between a 2 y′(I-P Xx)y and minimum norm quadratic unbiased estimator of variance under the general linear model, where a 2 is a known positive number, are derived. Further, when the Gauss? Markov estimators and the ordinary least squares estimator are identical, a relative simply equivalent condition is obtained. At last, this condition is applied to an interesting example.

Evaluation of Total Precipitable Water over East Asia from FY-3A/VIRR Infrared Radiances

Satellite retrieval of atmospheric water vapor is intended to further understand the role played by the energy and water cycle to determine the Earth's weather and climate.The algorithm for operational retrieval of total precipitable water (TPW) from the visible and infrared radiometer (VIRR) onboard Fengyun 3A (FY-3A) employs a split window technique for clear sky radiances over land and oceans during both day and night.The retrieved TPW is compared with that from the moderate resolution imaging spectroradiometer (MODIS) onboard the Terra satellite and data from radiosonde observations (RAOB).During the study period,comparisons show that the FY-3A TPW is in general agreement with the gradients and distributions from the Terra TPW.Their zonal mean difference over East Asia is smaller in the daytime than at night,and the main difference occurs in the complex terrain at mid latitude near 30°N.Compared with RAOB,the zonal FY-3A and the Terra TPW have a moist bias at low latitudes and a dry bias at mid and high latitudes;in addition,the FY-3A TPW performs slightly better in zonal mean biases and the diurnal cycle.The temporal variation of the FY-3A and the Terra TPW generally fits the RAOB TPW with the FY-3A more accurate at night while Terra TPW more accurate during the daytime.Comparisons of correlations,root mean square differences and standard deviations indicate that the FY-3A TPW series is more consistent with the RAOB TPW at selected stations.As a result,the FY-3A TPW has some advantages over East Asia in both spatial and temporal dimensions.

Explicit Solutions for Generalized (2+1)-Dimensional Nonlinear Zakharov-Kuznetsov Equation

The exact solutions of the generalized (2+1)-dimensional nonlinear Zakharov-Kuznetsov (Z-K) equationare explored by the method of the improved generalized auxiliary differential equation.Many explicit analytic solutionsof the Z-K equation are obtained.The methods used to solve the Z-K equation can be employed in further work toestablish new solutions for other nonlinear partial differential equations.

BIASED BEARINGS-ONLY PARAMETER ESTIMATION FOR BISTATIC SYSTEM

According to the biased angles provided by the bistatic sensors, the necessary condition of observability and Cramer-Rao low bounds for the bistatic system are derived and analyzed, respectively. Additionally, a dual Kalman filter method is presented with the purpose of eliminating the effect of biased angles on the state variable estimation. Finally, Monte-Carlo simulations are conducted in the observable scenario. Simulation results show that the proposed theory holds true, and the dual Kalman filter method can estimate state variable and biased angles simultaneously. Furthermore, the estimated results can achieve their Cramer-Rao tow bounds.

Solubility of red palm oil in supercritical carbon dioxide： Measurement and modelling

The solubility of red palm oil （RPO） in supercritical carbon dioxide （scCO2） was determined using a dynamic method at 8.5-25 MPa and, 313.15-333.15 K and at a fixed scCO2 flow rate of 2.9 g. mn -1 using a full factorial design. The solubility was determined under low pressures and temperatures as a preliminary study for RPO par- ticle formation using scCO2. The solubility of RPO was 0.5-11.3 mg. （g CO2） -1 and was significantly affected by the pressure and temperature. RPO solubility increased with pressure and decreased with temperature. The Adachi-Lu model showed the best-fit for RPO solubility data with an average relative deviation of 14% with a high coefficient of determination, R2 of 0.9667, whereas the Peng-Robinson equation of state thermodynamic model recorded deviations of 17%-30%.

The Two Patterns of High Exact Difference in Convection Equation

This paper gives two patterns of high exact d ifference in solving convection equation. The error of cut section is to O(Δ t 2+Δx 4).