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基于厚尾分布多分形模型的上证综指波动率预测 被引量:2
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作者 唐振鹏 黄友珀 +1 位作者 陈尾虹 唐勇 《中国管理科学》 CSSCI 北大核心 2014年第S1期313-317,共5页
通过引入厚尾的、自由度参数范围更广的广义误差分布(GED)扩展标准马尔科夫转换多分形模型(MSM),探讨MSM-GED模型的参数估计和波动率预测问题,并利用上证综指日收益数据进行实证分析。实证结果表明,上证综指确实存在多分形性,MSM模型的... 通过引入厚尾的、自由度参数范围更广的广义误差分布(GED)扩展标准马尔科夫转换多分形模型(MSM),探讨MSM-GED模型的参数估计和波动率预测问题,并利用上证综指日收益数据进行实证分析。实证结果表明,上证综指确实存在多分形性,MSM模型的波动预测能力强于(FI)GARCH模型,尤其是中长期波动率预测,MSM-GED能够提供更准确的波动率预测值。这为资产定价和风险管理提供一种新的波动建模选择。 展开更多
关键词 波动率预测 马尔可夫转换多分形模型 厚尾分布
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MPEG-4流的多分形小波模型仿真及性能分析
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作者 林青家 陈涤 刘允才 《计算机工程与应用》 CSCD 北大核心 2006年第14期16-21,共6页
论文采用多分形小波模型(MWM)对MPEG—4视频流进行仿真,其母小波采用Haar小波,并利用一阶统计、二阶统计和多分形分析的方法,对模型在刻画流量的主要统计特性(如概率密度分布、LRD特性、突发性和多分形特征)方面的性能进行了评估,其结果... 论文采用多分形小波模型(MWM)对MPEG—4视频流进行仿真,其母小波采用Haar小波,并利用一阶统计、二阶统计和多分形分析的方法,对模型在刻画流量的主要统计特性(如概率密度分布、LRD特性、突发性和多分形特征)方面的性能进行了评估,其结果为:MWM模型是一个简单的和有实用价值的MPEG—4视频流的仿真模型,它可以很好地刻画出流量的全局统计特性和多分形特征,但此模型也有缺陷,对于具有高突发性的视频流量的刻画能力较弱,需要我们在以后的研究工作中加以完善。 展开更多
关键词 多分形小波模型 突发性 MPEG-4视频流 QQ图
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城市等级体系的多分维谱:数学模型与实证分析 被引量:6
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作者 陈彦光 刘继生 《自然科学进展》 北大核心 2002年第12期1291-1295,共5页
从广义Beckmann-Davis模型出发,构建了关于城市等级体系的多分形模型,据之可以深入探讨城市地理系统的空间复杂性,以r_f表示城市等级体系的数目比,令p=P(2)/[P(2)+P(3)],则有p^(-τ(q))+(1-p)^(-τ(q))=r_f^q,求导可得Lipschitz-Holder... 从广义Beckmann-Davis模型出发,构建了关于城市等级体系的多分形模型,据之可以深入探讨城市地理系统的空间复杂性,以r_f表示城市等级体系的数目比,令p=P(2)/[P(2)+P(3)],则有p^(-τ(q))+(1-p)^(-τ(q))=r_f^q,求导可得Lipschitz-Holder指数α(q)=-r_f^qlnr_f/[p^(τ(q))lnp+(1-p)^(τ(q))ln(1-p)],然后借助Legendre变换得到多分维D_q和α(q)支集的分维函数f(α).由于上述模型包含超越方程,基于多重Zipf维数模型提出了计算城市等级体系多分维谱的对称转换方法,以美国城市体系为例,对数学模型和分维计算方法进行了实证分析。 展开更多
关键词 城市等级体系 多分维谱 数学模型 实证分析 位序-规模分布 空间复杂性 Zipf定律 多分形模型 分形几何学 城市地理学
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基于多分形的资产组合风险度量建模与实证研究
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作者 唐振鹏 陈尾虹 +1 位作者 卢婷 《系统工程学报》 CSCD 北大核心 2019年第5期644-655,共12页
考虑资产收益率的多分形特征及资产组合收益率间的复杂相依结构,运用Markov switching multifractal(MSM)模型对资产收益建模并结合Copula函数刻画相依结构,构建了资产组合市场风险度量的Copula-MSM模型.以风险价值(VaR)和期望损失(ES)... 考虑资产收益率的多分形特征及资产组合收益率间的复杂相依结构,运用Markov switching multifractal(MSM)模型对资产收益建模并结合Copula函数刻画相依结构,构建了资产组合市场风险度量的Copula-MSM模型.以风险价值(VaR)和期望损失(ES)作为市场风险度量工具,选取上证指数和恒生指数构成的资产组合进行实证分析,并比较Copula-MSM, Copula-GARCH和Copula-FIGARCH模型对VaR和ES风险测度的估计精度差异.实证结果表明,与Copula-GARCH和Copula-FIGARCH模型相比Copula-MSM能更准确的估计VaR和ES值,提高风险度量精度. 展开更多
关键词 多分形 风险度量 马尔可夫转换多分形模型 COPULA函数 风险价值 期望损失
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基于数据预处理的DDoS攻击检测方法研究
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作者 高一为 赖英旭 +1 位作者 吴欢 陈伟桐 《电子技术应用》 北大核心 2013年第1期139-142,共4页
利用小波分解网络流量的方法,提出了一种基于数据预处理的分布式拒绝服务DDoS攻击检测算法。通过对小尺度流量数据进行预处理,使得短相关的网络流量体现出长相关性并保持小尺度模型的时间敏感度,满足了Hurst指数刻画多分形模型的条件,... 利用小波分解网络流量的方法,提出了一种基于数据预处理的分布式拒绝服务DDoS攻击检测算法。通过对小尺度流量数据进行预处理,使得短相关的网络流量体现出长相关性并保持小尺度模型的时间敏感度,满足了Hurst指数刻画多分形模型的条件,解决了现有小尺度网络异常实时检测方法的缺陷,如Holder指数检测算法误报率高、VTP检测法检测率不足等问题。 展开更多
关键词 拒绝服务攻击 自相似指数 多分形模型 小波分解 异常流量监测
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网络冗余流量的柯西-拉普拉斯多分形小波模型 被引量:2
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作者 邢玲 马强 +1 位作者 徐蕾 姜春晓 《北京邮电大学学报》 EI CAS CSCD 北大核心 2015年第5期54-57,共4页
为了刻画网络冗余流量在小时间尺度下的局部特性,提出了基于柯西-拉普拉斯多分形小波模型及其参数估计算法.采用联合分布函数来描述冗余流量的局部表征,即分别用柯西分布和拉普拉斯分布计算冗余流量的重尾和尖峰参数乘法因子;通过概率... 为了刻画网络冗余流量在小时间尺度下的局部特性,提出了基于柯西-拉普拉斯多分形小波模型及其参数估计算法.采用联合分布函数来描述冗余流量的局部表征,即分别用柯西分布和拉普拉斯分布计算冗余流量的重尾和尖峰参数乘法因子;通过概率比较方法获取小波系数和尺度系数的比例参数阈值,以界定两种不同分布的参数范围.实验结果表明,提出的模型能准确且有效地描述网络冗余流量在小时间尺度下的多分形特性. 展开更多
关键词 网络冗余流量 尖峰特性 重尾特性 柯西-拉普拉斯多分形小波模型
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POLYNOMIAL MODEL BASED FAST FRACTIONAL PIXEL SEARCH ALGORITHM FOR H.264/AVC 被引量:3
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作者 Xi Yinglai Hao Chongyang Lai Changcai 《Journal of Electronics(China)》 2006年第6期873-876,共4页
This paper proposed a novel fast fractional pixel search algorithm based on polynomial model. With the analysis of distribution characteristics of motion compensation error surface inside tractional pixel searching wi... This paper proposed a novel fast fractional pixel search algorithm based on polynomial model. With the analysis of distribution characteristics of motion compensation error surface inside tractional pixel searching window, the matching error is fitted with parabola along horizontal and vertical direction respectively. The proposcd searching strategy needs to check only 6 points rather than 16 or 24 points, which are used in the l lierarchical Fractional Pel Search algorithm (HFPS) for 1/4-pel and 1/8-pel Motion Estimation (ME). The experimental results show that the proposed algorithm shows very good capability in keeping the rate distortion performance while reduces computation load to a large extent compared with HFPS algorithm. 展开更多
关键词 Motion Estimation (ME) Fractional pixel Polynomial model
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Analyses of Multiplicity and Stability Patterns of Agglomeration Controlled Precipitation with Both Primary and Secondary Nucleations 被引量:2
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作者 尹秋响 张美景 王静康 《Chinese Journal of Chemical Engineering》 SCIE EI CAS CSCD 2002年第2期202-207,共6页
The possibility of multiplicity in an isothermal continuous mixed suspension-mixed product removalcrystallizer is explored using the bifurcation theory. A process involving agglomeration controlled precipitationis con... The possibility of multiplicity in an isothermal continuous mixed suspension-mixed product removalcrystallizer is explored using the bifurcation theory. A process involving agglomeration controlled precipitationis considered in which secondary nucleation occurs simultaneously with primary nucleation. The determinantequations for the existence of multiple steady states are developed and the multiplicity boundaries dependent on thephysical and kinetic properties and operational parameters of the process are obtained by resolving these determinantequations. The number of steady states in the precipitator for various multiplicity regions is determined and thelinear stability of these steady states is analyzed by using the Routh criterion. 展开更多
关键词 PRECIPITATION mixed suspension-mixed product removal crystallizer AGGLOMERATION MULTIPLICITY sta- bility
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Analytical modeling and multi-objective optimization(MOO) of slippage for wheeled mobile robot(WMR) in rough terrain 被引量:6
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作者 O.A.Ani 徐贺 +2 位作者 薛开 刘少刚 张振宇 《Journal of Central South University》 SCIE EI CAS 2012年第9期2458-2467,共10页
Good understanding of relationship between parameters of vehicle, terrain and interaction at the interface is required to develop effective navigation and motion control algorithms for autonomous wheeled mobile robots... Good understanding of relationship between parameters of vehicle, terrain and interaction at the interface is required to develop effective navigation and motion control algorithms for autonomous wheeled mobile robots (AWMR) in rough terrain. A model and analysis of relationship among wheel slippage (S), rotation angle (0), sinkage (z) and wheel radius (r) are presented. It is found that wheel rotation angle, sinkage and radius have some influence on wheel slippage. A multi-objective optimization problem with slippage as utility function was formulated and solved in MATLAB. The results reveal the optimal values of wheel-terrain parameters required to achieve optimum slippage on dry sandy terrain. A method of slippage estimation for a five-wheeled mobile robot was presented through comparing the odometric measurements of the powered wheels with those of the fifth non-powered wheel. The experimental result shows that this method is feasible and can be used for online slippage estimation in a sandy terrain. 展开更多
关键词 autonomous wheeled mobile robot terramechanics TRACTION motion control soil shear failure drawbar pull
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Multifractal methods for rapeseed nitrogen nutrition qualitative diagnosis modeling
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作者 Jian-Hui Li Fang Wang +2 位作者 Jin-Wei Li Rui-Biao Zou Gui-Ping Liao 《International Journal of Biomathematics》 2016年第4期285-297,共13页
Nutrition diagnosis plays a key role in the crop's growth, which has mainly been car- ried out in the field by agricultural workers. Currently, automatic nutrition recognition technologies have been widely used in th... Nutrition diagnosis plays a key role in the crop's growth, which has mainly been car- ried out in the field by agricultural workers. Currently, automatic nutrition recognition technologies have been widely used in this field. A procedure is proposed in this paper to diagnose nitrogen nutrition non-destructively for rapeseed qualitatively based on the multifractal theory. Twelve texture parameters are given by the method of multifractal detrended fluctuation (MF-DFA), which contains six generalized Hurst exponents and six relative multifractal parameters that are used as features of the rapeseed leaf images for identifying the two nitrogen levels, namely, the N-mezzo and the N-wane. For the base leaves, central leaves and top leaves of the rapeseed plant and the three-section mixed samples, three parameters combinations are selected to conduct the work. Five classifiers of Fisher's linear discriminant algorithm (LDA), extreme learning machine (ELM), support vector machine and kernel method (SVMKM), random decision forests (RF) and K-nearest neighbor algorithm (KNN) are employed to calculate the diagno- sis accuracy. An interesting finding is that the best diagnose accuracy is from the base leaves of the rapeseed plant. It is explained that the base leaf is the most sensitive to the nitrogen deficiency. The diagnose effect by the base leaves samples is outshining the existing result significantly for the same leaves samples. For the mixed samples, the aver- aged discriminant accuracy reaches 97.12% and 97.56% by SVMKM and RF methods with the 10-fold cross-validation respectively. The resulting high accuracy on N-levels identification shows the feasibility and efficiency of our method. 展开更多
关键词 Rapeseed leaf image nitrogen diagnosis multifractal detrended fluctuationanalysis classifiers.
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