The polynomial spline model, which belongs to the static term structure model of interest rates, is studied. Every cash flow of the project is discounted relatively accurately by obtaining the discount rate from the s...The polynomial spline model, which belongs to the static term structure model of interest rates, is studied. Every cash flow of the project is discounted relatively accurately by obtaining the discount rate from the static term structure model of interest rates. A simple basic model, which belongs to the dynamic term structure model, is studied, and the option pricing formula under changing risk-free rates is obtained by bringing it into the option pricing formula. Both dynamic and static term structure models are estimated by the use of the data of buy-back rates and the Shanghai Stock Exchange, and an example is given to compare the differences between the traditional method and the method under the changes in the interest rates and the discount rates.展开更多
A new coarse-to-fine strategy was proposed for nonrigid registration of computed tomography(CT) and magnetic resonance(MR) images of a liver.This hierarchical framework consisted of an affine transformation and a B-sp...A new coarse-to-fine strategy was proposed for nonrigid registration of computed tomography(CT) and magnetic resonance(MR) images of a liver.This hierarchical framework consisted of an affine transformation and a B-splines free-form deformation(FFD).The affine transformation performed a rough registration targeting the mismatch between the CT and MR images.The B-splines FFD transformation performed a finer registration by correcting local motion deformation.In the registration algorithm,the normalized mutual information(NMI) was used as similarity measure,and the limited memory Broyden-Fletcher- Goldfarb-Shannon(L-BFGS) optimization method was applied for optimization process.The algorithm was applied to the fully automated registration of liver CT and MR images in three subjects.The results demonstrate that the proposed method not only significantly improves the registration accuracy but also reduces the running time,which is effective and efficient for nonrigid registration.展开更多
Benthic diatoms constitute the primary diet of abalone during their early stages of development. To evaluate the dietary preferences of early post-larval abalone, Haliotis diversicolor supertexta, we analyzed the gut ...Benthic diatoms constitute the primary diet of abalone during their early stages of development. To evaluate the dietary preferences of early post-larval abalone, Haliotis diversicolor supertexta, we analyzed the gut contents of post-larvae that settled on diatom films. We compared the abundance and species diversity of diatom assemblages in the gut to those of the epiphytic diatom assemblages on the attachment films, and identified 40 benthic diatom species in the gut contents of post-larvae 12 to 24 d after settlement. The most abtmdant taxa in the gut contents were Navicula spp., Amphora copulate, and Amphora coffeaeformis. Navicula spp. accounted for 64.0% of the cell density. In the attachment films, we identified 110 diatom species belonging to 38 genera. Pennate diatoms were the dominant members including the species Amphiprora alata, Cocconeis placentula var. euglypta, Cylindrotheca closterium, Navicula sp. 2, and A. coffeaeformis. Nano-diatoms (〈20 pm in length) accounted for a considerable proportion of the total species number and cell density of the diatom assemblages in the gut contents and on the films. This suggests that nano-diatoms are important to the efficient production of abalone seed. The difference of the composition and abundance of diatoms between in the guts and on the biofilms suggests that early post-larval grazing was selective. An early post-larval abalone preferred nano-diatoms and the genera Navicula and Amphora during the month after settlement.展开更多
Enantiomers (R (+) and S(-)), RS-racemate mixture of enantiomers) of malic acid C4H605 have been (double compound) and (R + S) -conglomerate (mechanical investigated by means of X-ray diffractometry and ...Enantiomers (R (+) and S(-)), RS-racemate mixture of enantiomers) of malic acid C4H605 have been (double compound) and (R + S) -conglomerate (mechanical investigated by means of X-ray diffractometry and high tern- perature X-ray diffraction method. The RS-racemate was found to be able to form three polymorphic modifications, which we denominated as M1 (monoclinic, space group P21/c), M2 (monoclinic, space group Cc), and Tc (triclinic, space group P-l ), the latter modification having been unknown before. Modification Tc was also described, and its X- ray diffraction characteristics, including interplanar spacings d, hkl indices, unit cell parameters, were defined. In addi- tion, X-ray diffraction characteristics for both reported earlier M1 and M2 monoclinic polymorphic modifications were measured with higher accuracy. The ability of RS-racemate to form one of the above three modifications (MI, M2, and Tc) or their mixtures containing various proportions and combinations of the components (M1 + M2, M1 + Tc, or M2 + Tc) was found to depend on the type of crystallization medium (a melt, aqueous medium, ethanol or acetone solu- tion), crystallization rate (from 2--3 minutes to 4 months), and crystallization temperature. Heating S-enantiomer and M1 RS-racemate up to their respective melting points (100 ℃ and 124 ℃, correspondingly) only made them undergo thermal deformations, while heating (R + S) -conglomerate in the temperature range of 96--110 ℃ resulted in its homogenization to form M2 RS-racemate, which, near the melting point (118 ℃), namely, in the range of 112-116 ℃, was transformed into MI RS-racemate. Keywords: polvmorDhism; racemic, chiral展开更多
Problems, which are studied in the paper, concern to theoretical aspects of interpolation theory. As is known, interpolation is one of the methods for approximate representation or recovery of functions on the basis o...Problems, which are studied in the paper, concern to theoretical aspects of interpolation theory. As is known, interpolation is one of the methods for approximate representation or recovery of functions on the basis of their given values at points of a grid. Interpolating functions can be chosen by many various ways. In the paper the authors are interested in interpolating functions, for which the Laplace operator, applied to them, has a minimal norm. The authors interpolate infinite bounded sequences at the knots of the square grid in Euclidian space. The considered problem is formulated as an extremal one. The main result of the paper is the theorem, in which certain estimates for the uniform norm of the Laplace operator applied to smooth interpolating functions of two real variables are established for the class of all bounded (in the corresponding discrete norm) interpolated sequences. Also connections of the considered interpolation problem with other problems and with embeddings of the Sobolev classes into the space of continuous functions are discussed. In the final part of the main section of the paper, the authors formulate some open problems in this area and sketch possible approaches to the search of solutions. In order to prove the main results, the authors use methods of classical mathematical analysis and the theory of polynomial splines of one variable with equidistant knots.展开更多
In this paper we use the simplex B-spline representation of polynomials or piecewise polynomials in terms of their polar forms to construct several differential or discrete bivariate quasi interpolants which have an o...In this paper we use the simplex B-spline representation of polynomials or piecewise polynomials in terms of their polar forms to construct several differential or discrete bivariate quasi interpolants which have an optimal approximation order.This method provides an efficient tool for describing many approximation schemes involving values and(or) derivatives of a given function.展开更多
Regression analysis is often formulated as an optimization problem with squared loss functions. Facing the challenge of the selection of the proper function class with polynomial smooth techniques applied to support v...Regression analysis is often formulated as an optimization problem with squared loss functions. Facing the challenge of the selection of the proper function class with polynomial smooth techniques applied to support vector regression models, this study takes cubic spline interpolation to generate a new polynomial smooth function |×|ε^ 2, in g-insensitive support vector regression. Theoretical analysis shows that Sε^2 -function is better than pε^2 -function in properties, and the approximation accuracy of the proposed smoothing function is two order higher than that of classical pε^2 -function. The experimental data shows the efficiency of the new approach.展开更多
In order to study morphological diversity of codling moth, Cydia pomonella (L.) using thin-plate spline analysis, nine geographical populations from four north western provinces of Iran namely East Azarbayjan, West ...In order to study morphological diversity of codling moth, Cydia pomonella (L.) using thin-plate spline analysis, nine geographical populations from four north western provinces of Iran namely East Azarbayjan, West Azarbayjan, Ardebil and Zandjan were collected during 2003 and 2004. 575 and 564 images were prepared from fore and hind wings, respectively. Then 15 and 11 landmarks were determined from fore and hind wings, respectively. With transforming of landmark's two dimensional coordinate data into partial warp scores, 26 and 18 scores were generated for fore and hind wings, respectively. Cluster analysis based on wing shape variables using Ward's algorithm assigned nine geographical populations into two groups. The pattern of grouping based on fore and hind wings was different in both sexes. Principal component analysis revealed discrimination between geographic populations and confirmed the result of cluster analysis. Among environmental parameters, wind speed showed the highest correlation with wing shape variables. Non significant correlation was observed between geographic and morphological distance matrices as revealed by Mantel test.展开更多
In this paper, the dimension formulaes of multivariate weak spline are discussed. The dimension formulaes of non-degree multivariate weak spline on a vertex are presented. The dimension formulaes on triangulation are ...In this paper, the dimension formulaes of multivariate weak spline are discussed. The dimension formulaes of non-degree multivariate weak spline on a vertex are presented. The dimension formulaes on triangulation are also discussed. At last, the local supported bases of W31(I1Δ) are presented.展开更多
In this paper , we define the piecewise algebraic sets by using multivariatespline functions and discuss their irreducibility and isomorphism problem. We presenttwo equivalent conditions for the irreducibility of piec...In this paper , we define the piecewise algebraic sets by using multivariatespline functions and discuss their irreducibility and isomorphism problem. We presenttwo equivalent conditions for the irreducibility of piecewise algebraic sets, and turn theisomorphism and classifying problem of piecewise algebraic sets into the isonorphismand classifying problem of commutative algebras.展开更多
We study the properties of the Lasso in the high-dimensional partially linear model where the number of variables in the linear part can be greater than the sample size.We use truncated series expansion based on polyn...We study the properties of the Lasso in the high-dimensional partially linear model where the number of variables in the linear part can be greater than the sample size.We use truncated series expansion based on polynomial splines to approximate the nonparametric component in this model.Under a sparsity assumption on the regression coefficients of the linear component and some regularity conditions,we derive the oracle inequalities for the prediction risk and the estimation error.We also provide sufficient conditions under which the Lasso estimator is selection consistent for the variables in the linear part of the model.In addition,we derive the rate of convergence of the estimator of the nonparametric function.We conduct simulation studies to evaluate the finite sample performance of variable selection and nonparametric function estimation.展开更多
In this study, numerical manifold method(NMM) coupled with non-uniform rational B-splines(NURBS) and T-splines in the context of isogeometric analysis is proposed to allow for the treatments of complex geometries and ...In this study, numerical manifold method(NMM) coupled with non-uniform rational B-splines(NURBS) and T-splines in the context of isogeometric analysis is proposed to allow for the treatments of complex geometries and local refinement. Computational formula for a 9-node NMM based on quadratic B-splines is derived. In order to exactly represent some common free-form shapes such as circles, arcs, and ellipsoids, quadratic non-uniform rational B-splines(NURBS) are introduced into NMM. The coordinate transformation based on the basis function of NURBS is established to enable exact integration for the manifold elements containing those shapes. For the case of crack propagation problems where singular fields around crack tips exist, local refinement technique by the application of T-spline discretizations is incorporated into NMM, which facilitates a truly local refinement without extending the entire row of control points. A local refinement strategy for the 4-node mathematical cover mesh based on T-splines and Lagrange interpolation polynomial is proposed. Results from numerical examples show that the 9-node NMM based on NURBS has higher accuracies. The coordinate transformation based on the NURBS basis function improves the accuracy of NMM by exact integration. The local mesh refinement using T-splines reduces the number of degrees of freedom while maintaining calculation accuracy at the same time.展开更多
This paper provides a survey of local refinable splines,including hierarchical B-splines,T-splines,polynomial splines over T-meshes,etc.,with a view to applications in geometric modeling and iso-geometric analysis.We ...This paper provides a survey of local refinable splines,including hierarchical B-splines,T-splines,polynomial splines over T-meshes,etc.,with a view to applications in geometric modeling and iso-geometric analysis.We will identify the strengths and weaknesses of these methods and also offer suggestions for their using in geometric modeling and iso-geometric analysis.展开更多
This paper is concerned with the estimating problem of seemingly unrelated(SU)nonparametric additive regression models.A polynomial spline based two-stage efficient approach is proposed to estimate the nonparametric c...This paper is concerned with the estimating problem of seemingly unrelated(SU)nonparametric additive regression models.A polynomial spline based two-stage efficient approach is proposed to estimate the nonparametric components,which takes both of the additive structure and correlation between equations into account.The asymptotic normality of the derived estimators are established.The authors also show they own some advantages,including they are asymptotically more efficient than those based on only the individual regression equation and have an oracle property,which is the asymptotic distribution of each additive component is the same as it would be if the other components were known with certainty.Some simulation studies are conducted to illustrate the finite sample performance of the proposed procedure.Applying the proposed procedure to a real data set is also made.展开更多
This paper proposes an extended model based on ACR nmdel: Functional coefficient autoregressive conditional root model (FCACR). Under some assumptions, the authors show that the process is geometrically ergodic, st...This paper proposes an extended model based on ACR nmdel: Functional coefficient autoregressive conditional root model (FCACR). Under some assumptions, the authors show that the process is geometrically ergodic, stationary and all moments of the process exist. The authors use the polynomial spline function to approximate the functional coefficient, and show that the estimate is consistent with the rate of convergence Op(hv+1 + n-1/3). By simulation study, the authors discover the proposed method can approximate well the real model. Furthermore, the authors apply the model to real exchange rate data analysis.展开更多
基金The Achievements of Young Fund Project of Humanitiesand Social Science of Ministry of Education(No.07JC790028)the NationalNatural Science Foundation of China (No.70671025).
文摘The polynomial spline model, which belongs to the static term structure model of interest rates, is studied. Every cash flow of the project is discounted relatively accurately by obtaining the discount rate from the static term structure model of interest rates. A simple basic model, which belongs to the dynamic term structure model, is studied, and the option pricing formula under changing risk-free rates is obtained by bringing it into the option pricing formula. Both dynamic and static term structure models are estimated by the use of the data of buy-back rates and the Shanghai Stock Exchange, and an example is given to compare the differences between the traditional method and the method under the changes in the interest rates and the discount rates.
基金Project(61240010)supported by the National Natural Science Foundation of ChinaProject(20070007070)supported by Specialized Research Fund for the Doctoral Program of Higher Education of China
文摘A new coarse-to-fine strategy was proposed for nonrigid registration of computed tomography(CT) and magnetic resonance(MR) images of a liver.This hierarchical framework consisted of an affine transformation and a B-splines free-form deformation(FFD).The affine transformation performed a rough registration targeting the mismatch between the CT and MR images.The B-splines FFD transformation performed a finer registration by correcting local motion deformation.In the registration algorithm,the normalized mutual information(NMI) was used as similarity measure,and the limited memory Broyden-Fletcher- Goldfarb-Shannon(L-BFGS) optimization method was applied for optimization process.The algorithm was applied to the fully automated registration of liver CT and MR images in three subjects.The results demonstrate that the proposed method not only significantly improves the registration accuracy but also reduces the running time,which is effective and efficient for nonrigid registration.
基金Supported by Special Project on Basic Research of China,Ministry of Science and Technology (No 2006FY120100)Natural Science Foundation of Fujian Province (No B05100052005YZ1024)
文摘Benthic diatoms constitute the primary diet of abalone during their early stages of development. To evaluate the dietary preferences of early post-larval abalone, Haliotis diversicolor supertexta, we analyzed the gut contents of post-larvae that settled on diatom films. We compared the abundance and species diversity of diatom assemblages in the gut to those of the epiphytic diatom assemblages on the attachment films, and identified 40 benthic diatom species in the gut contents of post-larvae 12 to 24 d after settlement. The most abtmdant taxa in the gut contents were Navicula spp., Amphora copulate, and Amphora coffeaeformis. Navicula spp. accounted for 64.0% of the cell density. In the attachment films, we identified 110 diatom species belonging to 38 genera. Pennate diatoms were the dominant members including the species Amphiprora alata, Cocconeis placentula var. euglypta, Cylindrotheca closterium, Navicula sp. 2, and A. coffeaeformis. Nano-diatoms (〈20 pm in length) accounted for a considerable proportion of the total species number and cell density of the diatom assemblages in the gut contents and on the films. This suggests that nano-diatoms are important to the efficient production of abalone seed. The difference of the composition and abundance of diatoms between in the guts and on the biofilms suggests that early post-larval grazing was selective. An early post-larval abalone preferred nano-diatoms and the genera Navicula and Amphora during the month after settlement.
基金Supported by the Russian Fund for Basic Research (RFBR) under Grant No. 10-05-00891 and 12-05-00876
文摘Enantiomers (R (+) and S(-)), RS-racemate mixture of enantiomers) of malic acid C4H605 have been (double compound) and (R + S) -conglomerate (mechanical investigated by means of X-ray diffractometry and high tern- perature X-ray diffraction method. The RS-racemate was found to be able to form three polymorphic modifications, which we denominated as M1 (monoclinic, space group P21/c), M2 (monoclinic, space group Cc), and Tc (triclinic, space group P-l ), the latter modification having been unknown before. Modification Tc was also described, and its X- ray diffraction characteristics, including interplanar spacings d, hkl indices, unit cell parameters, were defined. In addi- tion, X-ray diffraction characteristics for both reported earlier M1 and M2 monoclinic polymorphic modifications were measured with higher accuracy. The ability of RS-racemate to form one of the above three modifications (MI, M2, and Tc) or their mixtures containing various proportions and combinations of the components (M1 + M2, M1 + Tc, or M2 + Tc) was found to depend on the type of crystallization medium (a melt, aqueous medium, ethanol or acetone solu- tion), crystallization rate (from 2--3 minutes to 4 months), and crystallization temperature. Heating S-enantiomer and M1 RS-racemate up to their respective melting points (100 ℃ and 124 ℃, correspondingly) only made them undergo thermal deformations, while heating (R + S) -conglomerate in the temperature range of 96--110 ℃ resulted in its homogenization to form M2 RS-racemate, which, near the melting point (118 ℃), namely, in the range of 112-116 ℃, was transformed into MI RS-racemate. Keywords: polvmorDhism; racemic, chiral
文摘Problems, which are studied in the paper, concern to theoretical aspects of interpolation theory. As is known, interpolation is one of the methods for approximate representation or recovery of functions on the basis of their given values at points of a grid. Interpolating functions can be chosen by many various ways. In the paper the authors are interested in interpolating functions, for which the Laplace operator, applied to them, has a minimal norm. The authors interpolate infinite bounded sequences at the knots of the square grid in Euclidian space. The considered problem is formulated as an extremal one. The main result of the paper is the theorem, in which certain estimates for the uniform norm of the Laplace operator applied to smooth interpolating functions of two real variables are established for the class of all bounded (in the corresponding discrete norm) interpolated sequences. Also connections of the considered interpolation problem with other problems and with embeddings of the Sobolev classes into the space of continuous functions are discussed. In the final part of the main section of the paper, the authors formulate some open problems in this area and sketch possible approaches to the search of solutions. In order to prove the main results, the authors use methods of classical mathematical analysis and the theory of polynomial splines of one variable with equidistant knots.
文摘In this paper we use the simplex B-spline representation of polynomials or piecewise polynomials in terms of their polar forms to construct several differential or discrete bivariate quasi interpolants which have an optimal approximation order.This method provides an efficient tool for describing many approximation schemes involving values and(or) derivatives of a given function.
基金Supported by Guangdong Natural Science Foundation Project(No.S2011010002144)Province and Ministry Production and Research Projects(No.2012B091100497,2012B091100191,2012B091100383)+1 种基金Guangdong Province Enterprise Laboratory Project(No.2011A091000046)Guangdong Province Science and Technology Major Project(No.2012A080103010)
文摘Regression analysis is often formulated as an optimization problem with squared loss functions. Facing the challenge of the selection of the proper function class with polynomial smooth techniques applied to support vector regression models, this study takes cubic spline interpolation to generate a new polynomial smooth function |×|ε^ 2, in g-insensitive support vector regression. Theoretical analysis shows that Sε^2 -function is better than pε^2 -function in properties, and the approximation accuracy of the proposed smoothing function is two order higher than that of classical pε^2 -function. The experimental data shows the efficiency of the new approach.
文摘In order to study morphological diversity of codling moth, Cydia pomonella (L.) using thin-plate spline analysis, nine geographical populations from four north western provinces of Iran namely East Azarbayjan, West Azarbayjan, Ardebil and Zandjan were collected during 2003 and 2004. 575 and 564 images were prepared from fore and hind wings, respectively. Then 15 and 11 landmarks were determined from fore and hind wings, respectively. With transforming of landmark's two dimensional coordinate data into partial warp scores, 26 and 18 scores were generated for fore and hind wings, respectively. Cluster analysis based on wing shape variables using Ward's algorithm assigned nine geographical populations into two groups. The pattern of grouping based on fore and hind wings was different in both sexes. Principal component analysis revealed discrimination between geographic populations and confirmed the result of cluster analysis. Among environmental parameters, wind speed showed the highest correlation with wing shape variables. Non significant correlation was observed between geographic and morphological distance matrices as revealed by Mantel test.
基金Project supported by the National Natural Science Foundation of China (19871010, 69973010)
文摘In this paper, the dimension formulaes of multivariate weak spline are discussed. The dimension formulaes of non-degree multivariate weak spline on a vertex are presented. The dimension formulaes on triangulation are also discussed. At last, the local supported bases of W31(I1Δ) are presented.
文摘In this paper , we define the piecewise algebraic sets by using multivariatespline functions and discuss their irreducibility and isomorphism problem. We presenttwo equivalent conditions for the irreducibility of piecewise algebraic sets, and turn theisomorphism and classifying problem of piecewise algebraic sets into the isonorphismand classifying problem of commutative algebras.
文摘We study the properties of the Lasso in the high-dimensional partially linear model where the number of variables in the linear part can be greater than the sample size.We use truncated series expansion based on polynomial splines to approximate the nonparametric component in this model.Under a sparsity assumption on the regression coefficients of the linear component and some regularity conditions,we derive the oracle inequalities for the prediction risk and the estimation error.We also provide sufficient conditions under which the Lasso estimator is selection consistent for the variables in the linear part of the model.In addition,we derive the rate of convergence of the estimator of the nonparametric function.We conduct simulation studies to evaluate the finite sample performance of variable selection and nonparametric function estimation.
基金supported by the National Basic Research Program of China("973"Project)(Grant No.2014CB047100)the National Natural Science Foundation of China(Grant No.41372316)
文摘In this study, numerical manifold method(NMM) coupled with non-uniform rational B-splines(NURBS) and T-splines in the context of isogeometric analysis is proposed to allow for the treatments of complex geometries and local refinement. Computational formula for a 9-node NMM based on quadratic B-splines is derived. In order to exactly represent some common free-form shapes such as circles, arcs, and ellipsoids, quadratic non-uniform rational B-splines(NURBS) are introduced into NMM. The coordinate transformation based on the basis function of NURBS is established to enable exact integration for the manifold elements containing those shapes. For the case of crack propagation problems where singular fields around crack tips exist, local refinement technique by the application of T-spline discretizations is incorporated into NMM, which facilitates a truly local refinement without extending the entire row of control points. A local refinement strategy for the 4-node mathematical cover mesh based on T-splines and Lagrange interpolation polynomial is proposed. Results from numerical examples show that the 9-node NMM based on NURBS has higher accuracies. The coordinate transformation based on the NURBS basis function improves the accuracy of NMM by exact integration. The local mesh refinement using T-splines reduces the number of degrees of freedom while maintaining calculation accuracy at the same time.
基金supported by National Natural Science Foundation of China(Grant Nos.11031007 and 60903148)the Chinese Universities Scientific Fund+2 种基金Scientific Research Foundation for the Returned Overseas Chinese ScholarsState Education Ministry,the Chinese Academy of Sciences Startup Scientific Research Foundationthe State Key Development Program for Basic Research of China(973 Program)(Grant No.2011CB302400)
文摘This paper provides a survey of local refinable splines,including hierarchical B-splines,T-splines,polynomial splines over T-meshes,etc.,with a view to applications in geometric modeling and iso-geometric analysis.We will identify the strengths and weaknesses of these methods and also offer suggestions for their using in geometric modeling and iso-geometric analysis.
基金supported by National Natural Science Funds for Distinguished Young Scholar under Grant No.70825004National Natural Science Foundation of China under Grant Nos.10731010 and 10628104+3 种基金the National Basic Research Program under Grant No.2007CB814902Creative Research Groups of China under Grant No.10721101supported by leading Academic Discipline Program,211 Project for Shanghai University of Finance and Economics(the 3rd phase)and project number:B803supported by grants from the National Natural Science Foundation of China under Grant No.11071154
文摘This paper is concerned with the estimating problem of seemingly unrelated(SU)nonparametric additive regression models.A polynomial spline based two-stage efficient approach is proposed to estimate the nonparametric components,which takes both of the additive structure and correlation between equations into account.The asymptotic normality of the derived estimators are established.The authors also show they own some advantages,including they are asymptotically more efficient than those based on only the individual regression equation and have an oracle property,which is the asymptotic distribution of each additive component is the same as it would be if the other components were known with certainty.Some simulation studies are conducted to illustrate the finite sample performance of the proposed procedure.Applying the proposed procedure to a real data set is also made.
基金supported by the National Nature Science Foundation of China under Grant Nos.10961026, 11171293,71003100,70221001,70331001,and 10628104the Ph.D.Special Scientific Research Foundation of Chinese University under Grant No.20115301110004+2 种基金Key Fund of Yunnan Province under Grant No.2010CC003the Fundamental Research Funds for the Central Universitiesthe Research Funds of Renmin University of China under Grant No.11XNK027
文摘This paper proposes an extended model based on ACR nmdel: Functional coefficient autoregressive conditional root model (FCACR). Under some assumptions, the authors show that the process is geometrically ergodic, stationary and all moments of the process exist. The authors use the polynomial spline function to approximate the functional coefficient, and show that the estimate is consistent with the rate of convergence Op(hv+1 + n-1/3). By simulation study, the authors discover the proposed method can approximate well the real model. Furthermore, the authors apply the model to real exchange rate data analysis.