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中国股市特质风险的实证研究 被引量:1
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作者 刘立立 陈才泉 《统计与决策》 CSSCI 北大核心 2009年第11期131-134,共4页
文章利用1998~2008年我国股市中全部股票的日收益数据来计算我国股市的特质风险,发现自1998年以来,我国流通市值加总的大盘、行业以及公司特质风险出现先降后升的趋势。我国证券市场中个股收益率的波动主要来自于整体股市以及个股所在... 文章利用1998~2008年我国股市中全部股票的日收益数据来计算我国股市的特质风险,发现自1998年以来,我国流通市值加总的大盘、行业以及公司特质风险出现先降后升的趋势。我国证券市场中个股收益率的波动主要来自于整体股市以及个股所在行业的特质波动,个股的特质风险对其本身收益率的波动影响很小。同时,我国股市的特质风险不具备对GDP增长的预测作用。 展开更多
关键词 特质风险 均值方差分解 格兰杰因果检验 GDP增长
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A New Multi-sensor Data Fusion Algorithm Based on EMD-MMSE 被引量:2
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作者 张琦 阙沛文 +1 位作者 陈天璐 黄晶 《Journal of Shanghai Jiaotong university(Science)》 EI 2007年第2期153-158,共6页
A new multi-sensor data fusion algorithm based on EMD-MMSE was proposed.Empirical mode decomposition(EMD)is used to extract the noise of every time series for estimating the variance of the noise.Then minimum mean squ... A new multi-sensor data fusion algorithm based on EMD-MMSE was proposed.Empirical mode decomposition(EMD)is used to extract the noise of every time series for estimating the variance of the noise.Then minimum mean square error(MMSE)estimator is used to calculate the weights of the corresponding series.Finally,the fused signal is the weighted addition of all these series.The experiments in lab testified the efficiency of this method.In addition,the comparison in fusion time and fusion results with existing fusion method based on wavelet and average technique shows the advantage of this method greatly. 展开更多
关键词 data fusion empirical mode decomposition (EMD) minimum mean square error (MMSE) multisensor system
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Joint semiparametric mean-covariance model in longitudinal study 被引量:3
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作者 MAO Jie ZHU ZhongYi 《Science China Mathematics》 SCIE 2011年第1期145-164,共20页
Semiparametric regression models and estimating covariance functions are very useful for longitudinal study. To heed the positive-definiteness constraint, we adopt the modified Cholesky decomposition approach to decom... Semiparametric regression models and estimating covariance functions are very useful for longitudinal study. To heed the positive-definiteness constraint, we adopt the modified Cholesky decomposition approach to decompose the covariance structure. Then the covariance structure is fitted by a semiparametric model by imposing parametric within-subject correlation while allowing the nonparametric variation function. We estimate regression functions by using the local linear technique and propose generalized estimating equations for the mean and correlation parameter. Kernel estimators are developed for the estimation of the nonparametric variation function. Asymptotic normality of the the resulting estimators is established. Finally, the simulation study and the real data analysis are used to illustrate the proposed approach. 展开更多
关键词 generalized estimating equation kernel estimation local linear regression modified Cholesky decomposition semiparametric varying-coefficient partially linear model
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Science Letters:A simplified MMSE-based iterative receiver for MIMO systems
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作者 Yuan YANG Hai-lin ZHANG 《Journal of Zhejiang University-Science A(Applied Physics & Engineering)》 SCIE EI CAS CSCD 2009年第10期1389-1394,共6页
A simplified minimum mean square error(MMSE) detector is proposed for joint detection and decoding of multi-ple-input multiple-output(MIMO) systems.The matrix inversion lemma and the singular value decomposition(SVD) ... A simplified minimum mean square error(MMSE) detector is proposed for joint detection and decoding of multi-ple-input multiple-output(MIMO) systems.The matrix inversion lemma and the singular value decomposition(SVD) of the channel matrix are used to simplify the computation of the coefficient of the MMSE filter.Compared to the original MMSE detector,the proposed detector has a much lower computational complexity with only a marginal performance loss.The proposed detector can also be applied to MIMO systems with high order modulations. 展开更多
关键词 Multiple-input multiple-output (MIMO) Minimum mean square error (MMSE) Matrix inversion lemma Singular value decomposition (SVD)
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