A COMPARISON OF FORECASTING MODELS OF THE VOLATILITY IN SHENZHEN STOCK MARKET

Based on the weekly closing price of Shenzhen Integrated Index, this article studies the volatility of Shenzhen Stock Market using three different models： Logistic, AR（1） and AR（2）. The time-variable parameters of Logistic regression model is estimated by using both the index smoothing method and the time-variable parameter estimation method. And both the AR（1） model and the AR（2） model of zero-mean series of the weekly dosing price and its zero-mean series of volatility rate are established based on the analysis results of zero-mean series of the weekly closing price, Six common statistical methods for error prediction are used to test the predicting results. These methods are： mean error （ME）, mean absolute error （MAE）, root mean squared error （RMSE）, mean absolute percentage error （MAPE）, Akaike＇s information criterion （AIC）, and Bayesian information criterion （BIC）. The investigation shows that AR（1） model exhibits the best predicting result, whereas AR（2） model exhibits predicting results that is intermediate between AR（1） model and the Logistic regression model.

ESTIMATION OF THE PARAMETERS FOR UNSTABLE AR MODELS

This paper is concerned with the unstable autoregressive process which satisfies the unstable autoregressive(AR) model U(B)G(B)xt=εt , where all the roots of the polynomials U(z) and G(z)lie on and outside the unit circle respectively. We propose several procedures to estimate the coefficients of U(z) and G(z) separately, in order to guarantee that the estimated polynomials of U(z) and G(z) have all the roots lying on and outside the unit circle respectively. The estimators of the coefficients of U(z) and G(z) are shown to be of strong consistency. The limiting distribution of the estimators of the coefficients of U(B)G(B) are obtained for some special cases.

Clustering algorithm for multiple data streams based on spectral component similarity

A new algorithm for clustering multiple data streams is proposed.The algorithm can effectively cluster data streams which show similar behavior with some unknown time delays.The algorithm uses the autoregressive （AR） modeling technique to measure correlations between data streams.It exploits estimated frequencies spectra to extract the essential features of streams.Each stream is represented as the sum of spectral components and the correlation is measured component-wise.Each spectral component is described by four parameters,namely,amplitude,phase,damping rate and frequency.The ε-lag-correlation between two spectral components is calculated.The algorithm uses such information as similarity measures in clustering data streams.Based on a sliding window model,the algorithm can continuously report the most recent clustering results and adjust the number of clusters.Experiments on real and synthetic streams show that the proposed clustering method has a higher speed and clustering quality than other similar methods.

Perceptual video coding method based on JND and AR model

In order to achieve better perceptual coding quality while using fewer bits, a novel perceptual video coding method based on the just-noticeable-distortion （JND） model and the auto-regressive （AR） model is explored. First, a new texture segmentation method exploiting the JND profile is devised to detect and classify texture regions in video scenes. In this step, a spatial-temporal JND model is proposed and the JND energy of every micro-block unit is computed and compared with the threshold. Secondly, in order to effectively remove temporal redundancies while preserving high visual quality, an AR model is applied to synthesize the texture regions. All the parameters of the AR model are obtained by the least-squares method and each pixel in the texture region is generated as a linear combination of pixels taken from the closest forward and backward reference frames. Finally, the proposed method is compared with the H.264/AVC video coding system to demonstrate the performance. Various sequences with different types of texture regions are used in the experiment and the results show that the proposed method can reduce the bit-rate by 15% to 58% while maintaining good perceptual quality.

oncausal spatial prediction filtering based on an ARMA model

Conventional f-x prediction filtering methods are based on an autoregressive model. The error section is first computed as a source noise but is removed as additive noise to obtain the signal, which results in an assumption inconsistency before and after filtering. In this paper, an autoregressive, moving-average model is employed to avoid the model inconsistency. Based on the ARMA model, a noncasual prediction filter is computed and a self-deconvolved projection filter is used for estimating additive noise in order to suppress random noise. The 1-D ARMA model is also extended to the 2-D spatial domain, which is the basis for noncasual spatial prediction filtering for random noise attenuation on 3-D seismic data. Synthetic and field data processing indicate this method can suppress random noise more effectively and preserve the signal simultaneously and does much better than other conventional prediction filtering methods.

Gearbox Deterioration Detection under Steady State,Variable Load, and Variable Speed Conditions

Multiple dominant gear meshing frequencies are present in the vibration signals collected from gearboxes and the conventional spiky features that represent initial gear fault conditions are usually difficult to detect. In order to solve this problem, we propose a new gearbox deterioration detection technique based on autoregressive modeling and hypothesis testing in this paper. A stationary autoregressive model was built by using a normal vibration signal from each shaft. The established autoregressive model was then applied to process fault signals from each shaft of a two-stage gearbox. What this paper investigated is a combined technique which unites a time-varying autoregressive model and a two sample Kolmogorov-Smimov goodness-of-fit test, to detect the deterioration of gearing system with simultaneously variable shaft speed and variable load. The time-varying autoregressive model residuals representing both healthy and faulty gear conditions were compared with the original healthy time-synchronous average signals. Compared with the traditional kurtosis statistic, this technique for gearbox deterioration detection has shown significant advantages in highlighting the presence of incipient gear fault in all different speed shafts involved in the meshing motion under variable conditions.

Diurnal Cycles of Precipitation over Subtropical China in IPCC AR5 AMIP Simulations

Atmospheric Intercomparison Project simulations of the summertime diurnal cycle of precipitation and low-level winds over subtropical China by Intergovernmental Panel on Climate Change Fifth Assessment Report models were evaluated. By analyzing the diurnal variation of convective and stratiform components, results confirmed that major biases in rainfall diurnal cycles over subtropical China are due to convection parameterization and further pointed to the diurnal variation of convective rainfall being closely related to the closure of the convective scheme. All models captured the early-morning peak of total rainfall over the East China Sea, but most models had problems in simulating diurnal rainfall variations over land areas of subtropical China. When total rainfall was divided into stratiform and convective rainfall, all models successfully simulated the diurnal variation of stratiform rainfall with a maximum in the early morning. The models, overestimating noon-time （nocturnal） total rainfall over land, generally simulated too much convective rainfall, which peaked close to noon （midnight）, sharing some similarities in the closures of their deep convection schemes. The better performance of the Meteorological Research Institute atmospherer. ocean coupled global climate model version 3 （MRI-CGCM3） is attributed to the well captured ratio of the two kinds of rainfall, but not diurnal variations of the two components. Therefore, a proper ratio of convective and stratiform rainfall to total rainfall is also important to improve simulated diurnal rainfall variation.

Applications of Fractional Lower Order Time-frequency Representation to Machine Bearing Fault Diagnosis

The machinery fault signal is a typical non-Gaussian and non-stationary process. The fault signal can be described by SaS distribution model because of the presence of impulses.Time-frequency distribution is a useful tool to extract helpful information of the machinery fault signal. Various fractional lower order(FLO) time-frequency distribution methods have been proposed based on fractional lower order statistics, which include fractional lower order short time Fourier transform(FLO-STFT), fractional lower order Wigner-Ville distributions(FLO-WVDs), fractional lower order Cohen class time-frequency distributions(FLO-CDs), fractional lower order adaptive kernel time-frequency distributions(FLO-AKDs) and adaptive fractional lower order time-frequency auto-regressive moving average(FLO-TFARMA) model time-frequency representation method.The methods and the exiting methods based on second order statistics in SaS distribution environments are compared, simulation results show that the new methods have better performances than the existing methods. The advantages and disadvantages of the improved time-frequency methods have been summarized.Last, the new methods are applied to analyze the outer race fault signals, the results illustrate their good performances.

AUTOREGRESSIVE MODEL AND POWER SPECTRUM CHARATERISTICS OF CURRENT SIGNAL IN HIGH FREQUENCY GROUP PULSE MICRO-ELECTROCHEMICAL MACHINING

The identification of the inter-electrode gap size in the high frequency group pulse micro-electrochemical machining （HGPECM） is mainly discussed. The auto-regressive（AR） model of group pulse current flowing across the cathode and the anode are created under different situations with different processing parameters and inter-electrode gap size. The AR model based on the current signals indicates that the order of the AR model is obviously different relating to the different processing conditions and the inter-electrode gap size; Moreover, it is different about the stability of the dynamic system, i.e. the white noise response of the Green＇s function of the dynamic system is diverse. In addition, power spectrum method is used in the analysis of the dynamic time series about the current signals with different inter-electrode gap size, the results show that there exists a strongest power spectrum peak, characteristic power spectrum（CPS）, to the current signals related to the different inter-electrode gap size in the range of 0～5 kHz. Therefore, the CPS of current signals can implement the identification of the inter-electrode gap.

Identification of Denatured Biological Tissues Based on Improved Variational Mode Decomposition and Autoregressive Model during HIFU Treatment

During high-intensity focused ultrasound(HIFU)treatment,the accurate identification of denatured biological tissue is an important practical problem.In this paper,a novel method based on the improved variational mode decomposition(IVMD)and autoregressive(AR)model was proposed,which identified denatured biological tissue according to the characteristics of ultrasonic scattered echo signals during HIFU treatment.Firstly,the IVMD method was proposed to solve the problem that the VMD reconstruction signal still has noise due to the limited number of intrinsic mode functions(IMF).The ultrasonic scattered echo signals were reconstructed by the IVMD to achieve denoising.Then,the AR model was introduced to improve the recognition rate of denatured biological tissues.The AR model order parameter was determined by the Akaike information criterion(AIC)and the characteristics of the AR coefficients were extracted.Finally,the optimal characteristics of the AR coefficients were selected according to the results of receiver operating characteristic(ROC).The experiments showed that the signal-to-noise ratio(SNR)and root mean square error(RMSE)of the reconstructed signal obtained by IVMD was better than those obtained by variational mode decomposition(VMD).The IVMD-AR method was applied to the actual ultrasonic scattered echo signals during HIFU treatment,and the support vectormachine(SVM)was used to identify the denatured biological tissue.The results show that compared with sample entropy,information entropy,and energy methods,the proposed IVMD-AR method can more effectively identify denatured biological tissue.The recognition rate of denatured biological tissue was higher,up to 93.0%.

Early Paleozoic Magmatism and Gold Mineralization in the Northern Altun, NW China

This paper discusses the relationships between granitic magmatism and gold mineralization and the exhumation history of the Dapinggou gold deposit in northern Altun, NW China based on the geochronological data, including zircon U-Pb ages, Rb-Sr isochron age and 40Ar-39Ar dating and MDD modeling data. The main granitic magmatism age in this area is attained from the ID TIMS U-Pb geochronology of zircons from the Kuoshibulak granite, the biggest granite in the northern Altun area, which gives a concordant age of 443±5 Ma in the Late Ordovician. Zircon ID TIMS U-Pb geochronology of the West Dapinggou biotite granite west of the Dapinggou gold deposit gives concordant ages around 485±10 Ma, representing the early stage of Ordovician magmatism. The Rb-Sr isochron age (487±21 Ma) of 6 quartz inclusion samples from quartz veins in this gold deposit is very close to that of the West Dapinggou granite. MDD modeling of step heating 40Ar-39Ar data of K-feldspar from the same West Dapinggou biotite granite gives a rapid cooling history from 300℃ to 150℃ during 200-185 Ma. According to the age data and the geological setting of this area, we conclude that the Dapinggou gold deposit was formed at the early stage of the Early Paleozoic granitic magmatism in northern Altun, and exhumed in the Early Jurassic due to the normal faulting of the Lapeiquan detachment. The Early Paleozoic magmatism may provide heat source and produce geological fluids, which are very important for gold mineralization. Exhumation in the Mesozoic caused the uplift of the deposit towards the ground surface.

Empirical Likelihood Inference for AR（p） Model

In this article we study the empirical likelihood inference for AR（p） model. We propose the moment restrictions, by which we get the empirical likelihood estimator of the model parametric, and we also propose an empirical log-likelihood ratio base on this estimator. Our result shows that the EL estimator is asymptotically normal, and the empirical log-likelihood ratio is proved to be asymptotically standard chi-squared.

PARTICLE FILTERING BASED AUTOREGRESSIVE CHANNEL PREDICTION MODEL

A particle filtering based AutoRegressive (AR) channel prediction model is presented for cognitive radio systems. Firstly, this paper introduces the particle filtering and the system model. Secondly, the AR model of order p is used to approximate the flat Rayleigh fading channels; its stability is discussed, and an algorithm for solving the AR model parameters is also given. Finally, an AR channel prediction model based on particle filtering and second-order AR model is presented. Simulation results show that the performance of the proposed AR channel prediction model based on particle filtering is better than that of Kalman filtering.

Asymptotic inference for AR(1) panel data

A general asymptotic theory is given for the panel data AR(1) model with time series independent in different cross sections. The theory covers the cases of stationary process, local to unity process, unit root process, mildly integrated, mildly explosive and explosive processes. It is assumed that the cross-sectional dimension and time-series dimension are respectively N and T. The results in this paper illustrate that whichever the process is, with an appropriate regularization, the least squares estimator of the autoregressive coefficient converges in distribution to a normal distribution with rate at least O(N-1/3). Since the variance is the key to characterize the normal distribution, it is important to discuss the variance of the least squares estimator. We will show that when the autoregressive coefficient ρ satisfies |ρ| < 1, the variance declines at the rate O((NT)-1), while the rate changes to O(N^(-1) T^(-2)) when ρ = 1 and O(N^(-1)ρ^(-2 T+4)) when |ρ| > 1. ρ = 1 is the critical point where the convergence rate changes radically. The transition process is studied by assuming ρ depending on T and going to 1. An interesting phenomenon discovered in this paper is that, in the explosive case, the least squares estimator of the autoregressive coefficient has a standard normal limiting distribution in the panel data case while it may not has a limiting distribution in the univariate time series case.

Himalayan Warming and Climate Change in India

Recent studies showed that the Himalayan glaciers are reducing alarmingly. This is attributed to global warming. Since the melt water of Himalayan glaciers and snow is the principal source of water for several rivers, a decrease of this source is a calamity for the large fraction of global population living in nearby regions such as India. In Asia for the 60% global population only 36% of global water is available. Any further decrease of this vital necessity makes the very existence of billions of people doubtful. Here we show, using both observations and one IPCC-AR4 model with high horizontal resolution, that the Himalayan region in fact underwent a maximum warming of 2.5°C from 1950 to 1999 and would reach the highest temperature rise of 9°C in 2100. Temperature and rainfall variations determine a simple climate classification proposed by K&oumlppen. We show changes that occur in climate and biosphere using this classification. Also we discussed the impact of warming and resulting changes in K&oumlppen climates on the floods and malaria in India.

A real time processing system of seismic waves using personal computers-Function and characteristics

Seismological Bureau of Sichuan Province, Chengdu 610041, China2) Center for Analysis and Prediction, State Seismological Bureau, Beijing 100036, China3) Observation Center for Prediction of Earthquakes and Volcanic Eruptions, Faculty of Sciences, Tohoku University, Sendai 98077, Japan

WAVELET MODELING AND FORECASTING AND ITS APPLICATION IN THE CHINESE MONETARY MULTIPLIER

In this paper, a time_varying AR model is constructed by using the vector_space algorithm of compactly_supported biorthonormal wavelet transform. It is developed for forecasting narrow monetary multipliers in China .

New Kalman Filtering Algorithm for Narrowband Interference Suppression in Spread Spectrum Systems

A new Kalman filtering algorithm based on estimation of spread spectrum signal before suppression of narrowband interference （NBI） in spread spectrum systems, using the dependence of autoregressive （AR） interference, is presented compared with performance of the ACM nonlinear filtering algorithm, simulation results show that the proposed algorithm has preferable performance, there is about 5 dB SNR improvement in average.

ARMA Modelling for Whispered Speech

The Autoregressive Moving Average （ARMA） model for whispered speech is proposed. with normal speech, whispered speech has no fundamental frequency because of the glottis being semi-opened and turbulent flow being created, and formant shifting exists in the lower frequency region due to the narrowing of the tract in the false vocal fold regions and weak acoustic coupling with the aubglottal system. Analysis shows that the effect of the subglottal system is to introduce additional pole-zero pairs into the vocal tract transfer function. Theoretically, the method based on an ARMA process is superior to that based on an AR process in the spectral analysis of the whispered speech. Two methods, the least squared modified Yule-Walker likelihood estimate （LSMY） algorithm and the Frequency-Domain Steiglitz-Mcbide （FDSM） algorithm, are applied to the ARMA mfldel for the whispered speech. The performance evaluation shows that the ARMA model is much more appropriate for representing the whispered speech than the AR model, and the FDSM algorithm provides a name acorate estimation of the whispered speech spectral envelope than the LSMY algorithm with higher conputational complexity.

AR Model Based on Time Series Modeling for Predicting Egg Market Price in 2021

Eggs,as a meat consumer product in China,are closely related to the vegetable basket project.Exploring and predicting the future trend of egg market price is of great significance for stabilizing egg price and market supply.In this study,the time series AR model was used for fitting the egg market prices in the 66 d from January 1 to March 7,2021,and the delay operator nlag18 was used for white noise test,giving pr>probability of chisq<0.005.The time series was not a white noise series,and then the stationary series was used for modeling.The optimal model was selected as the AR series(BIC(3,0)),and finally,the egg market price model AM was obtained as X_(t)=9.0556+(1+0.8926)ε_(t),which was the optimal model.The model showed that the egg price fluctuations in 2021 will be clustered,and the later price will be significantly affected by external factors in the previous period.The dynamic prediction results of the model showed that the egg price would stop falling in March 2020,and the egg price would continue to slow down in March.