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Non-perturbative dynamics of flat-band systems with correlated disorder
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作者 Qi Li Junfeng Liu +2 位作者 Ke Liu Zi-Xiang Hu Zhou Li 《Chinese Physics B》 SCIE EI CAS CSCD 2024年第9期547-551,共5页
We develop a numerical method for the time evolution of Gaussian wave packets on flat-band lattices in the presence of correlated disorder.To achieve this,we introduce a method to generate random on-site energies with... We develop a numerical method for the time evolution of Gaussian wave packets on flat-band lattices in the presence of correlated disorder.To achieve this,we introduce a method to generate random on-site energies with prescribed correlations.We verify this method with a one-dimensional(1D)cross-stitch model,and find good agreement with analytical results obtained from the disorder-dressed evolution equations.This allows us to reproduce previous findings,that disorder can mobilize 1D flat-band states which would otherwise remain localized.As explained by the corresponding disorder-dressed evolution equations,such mobilization requires an asymmetric disorder-induced coupling to dispersive bands,a condition that is generically not fulfilled when the flat-band is resonant with the dispersive bands at a Dirac point-like crossing.We exemplify this with the 1D Lieb lattice.While analytical expressions are not available for the two-dimensional(2D)system due to its complexity,we extend the numerical method to the 2D a–T3 model,and find that the initial flat-band wave packet preserves its localization when a=0,regardless of disorder and intersections.However,when a̸=0,the wave packet shifts in real space.We interpret this as a Berry phase controlled,disorder-induced wave-packet mobilization.In addition,we present density functional theory calculations of candidate materials,specifically Hg1−xCdxTe.The flat-band emerges near the G point(α=0)in the Brillouin zone. 展开更多
关键词 flat-band SYSTEM DYNAMICS correlateD DISORDER
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A Denoiser for Correlated Noise Channel Decoding: Gated-Neural Network
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作者 Xiao Li Ling Zhao +1 位作者 Zhen Dai Yonggang Lei 《China Communications》 SCIE CSCD 2024年第2期122-128,共7页
This letter proposes a sliced-gated-convolutional neural network with belief propagation(SGCNN-BP) architecture for decoding long codes under correlated noise. The basic idea of SGCNNBP is using Neural Networks(NN) to... This letter proposes a sliced-gated-convolutional neural network with belief propagation(SGCNN-BP) architecture for decoding long codes under correlated noise. The basic idea of SGCNNBP is using Neural Networks(NN) to transform the correlated noise into white noise, setting up the optimal condition for a standard BP decoder that takes the output from the NN. A gate-controlled neuron is used to regulate information flow and an optional operation—slicing is adopted to reduce parameters and lower training complexity. Simulation results show that SGCNN-BP has much better performance(with the largest gap being 5dB improvement) than a single BP decoder and achieves a nearly 1dB improvement compared to Fully Convolutional Networks(FCN). 展开更多
关键词 belief propagation channel decoding correlated noise neural network
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Quantitative determination of the critical points of Mott metal–insulator transition in strongly correlated systems
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作者 牛月坤 倪煜 +4 位作者 王建利 陈雷鸣 邢晔 宋筠 冯世平 《Chinese Physics B》 SCIE EI CAS CSCD 2024年第1期647-652,共6页
Mottness is at the heart of the essential physics in a strongly correlated system as many novel quantum phenomena occur in the metallic phase near the Mott metal–insulator transition. We investigate the Mott transiti... Mottness is at the heart of the essential physics in a strongly correlated system as many novel quantum phenomena occur in the metallic phase near the Mott metal–insulator transition. We investigate the Mott transition in a Hubbard model by using the dynamical mean-field theory and introduce the local quantum state fidelity to depict the Mott metal–insulator transition. The local quantum state fidelity provides a convenient approach to determining the critical point of the Mott transition. Additionally, it presents a consistent description of the two distinct forms of the Mott transition points. 展开更多
关键词 critical point metal–insulator transition local quantum state fidelity strongly correlated system quasiparticle coherent weight
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Impact of correlated private signals on continuous-time insider trading
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作者 ZHOU Yonghui XIAO Kai 《运筹学学报(中英文)》 CSCD 北大核心 2024年第3期97-107,共11页
A model of continuous-time insider trading in which a risk-neutral in-sider possesses two imperfect correlated signals of a risky asset is studied.By conditional expectation theory and filtering theory,we first establ... A model of continuous-time insider trading in which a risk-neutral in-sider possesses two imperfect correlated signals of a risky asset is studied.By conditional expectation theory and filtering theory,we first establish three lemmas:normal corre-lation,equivalent pricing and equivalent profit,which can guarantee to turn our model into a model with insider knowing full information.Then we investigate the impact of the two correlated signals on the market equilibrium consisting of optimal insider trading strategy and semi-strong pricing rule.It shows that in the equilibrium,(1)the market depth is constant over time;(2)if the two noisy signals are not linerly correlated,then all private information of the insider is incorporated into prices in the end while the whole information on the asset value can not incorporated into prices in the end;(3)if the two noisy signals are linear correlated such that the insider can infer the whole information of the asset value,then our model turns into a model with insider knowing full information;(4)if the two noisy signals are the same then the total ex ant profit of the insider is increasing with the noise decreasing,while down to O as the noise going up to infinity;(5)if the two noisy signals are not linear correlated then with one noisy signal fixed,the total ex ante profit of the insider is single-peaked with a unique minimum with respect to the other noisy signal value,and furthermore as the noisy value going to O it gets its maximum,the profit in the case that the real value is observed. 展开更多
关键词 continuous-time insider trading risk neutral private correlated signals linear bayesian equilibrium market depth residual information
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Can environmental sustainability be decoupled from economic growth? Empirical evidence from Eastern Europe using the common correlated effect mean group test 被引量:1
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作者 Kwaku ADDAI Berna SERENER Dervis KIRIKKALELI 《Regional Sustainability》 2023年第1期68-80,共13页
The European Union(EU) and Organisation for Economic Co-operation and Development(OECD) aim to develop long-term policies for their respective member countries. Having observed increasing dangers to the environment po... The European Union(EU) and Organisation for Economic Co-operation and Development(OECD) aim to develop long-term policies for their respective member countries. Having observed increasing dangers to the environment posed by rising economic growth, they are seeking pathways to enable policy action on economic growth and environmental sustainability. Given the facts in theoretical and empirical studies, this study assessed the validity of the decoupling hypothesis by investigating asymmetricity in the relationship between environmental sustainability and economic growth in nine Eastern European countries from 1998 to 2017 using the cross-section augmented Dickey-Fuller(CADF) unit root, panel corrected standard error(PCSE), common correlated effect mean group(CCEMG), and Dumitrescu Hurlin causality approaches. Both population growth and drinking water are used as controlled variables. The outcomes establish strong cointegration among all the variables of interest. According to the results of CCEMG test, economic growth exerts short-term environmental degradation but has long-term environmental benefits in Eastern Europe;and population growth and drinking water exert a positive effect on environmental sustainability in both the short-and long-run. The results of Dumitrescu Hurlin causality test indicate that environmental sustainability is unidirectionally affected by economic growth. Based on these outcomes, we suggest the following policies:(1) the EU and OECD should implement member-targeted policies on economic growth and fossil-fuel use towards regulating industrial pollution, water use, and population control;and(2) the EU and OECD member countries should invest in environmental technologies through green research and development(R&D) to transform their dirty industrial processes and ensure productive energy use. 展开更多
关键词 Economic growth Environment sustainability Decoupling Carbon emissions Eastern Europe Common correlated effect mean group(CCEMG)test Econometrics Population growth
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Correlated states in alternating twisted bilayer–monolayer–monolayer graphene heterostructure
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作者 牛锐锐 韩香岩 +5 位作者 曲壮壮 王知雨 李卓贤 刘倩伶 韩春蕊 路建明 《Chinese Physics B》 SCIE EI CAS CSCD 2023年第1期94-99,共6页
Highly controlled electronic correlation in twisted graphene heterostructures has gained enormous research interests recently,encouraging exploration in a wide range of moirésuperlattices beyond the celebrated tw... Highly controlled electronic correlation in twisted graphene heterostructures has gained enormous research interests recently,encouraging exploration in a wide range of moirésuperlattices beyond the celebrated twisted bilayer graphene.Here we characterize correlated states in an alternating twisted Bernal bilayer–monolayer–monolayer graphene of~1.74°,and find that both van Hove singularities and multiple correlated states are asymmetrically tuned by displacement fields.In particular,when one electron per moiréunit cell is occupied in the electron-side flat band,or the hole-side flat band(i.e.,three holes per moiréunit cell),the correlated peaks are found to counterintuitively grow with heating and maximize around 20 K–a signature of Pomeranchuk effect.Our multilayer heterostructure opens more opportunities to engineer complicated systems for investigating correlated phenomena. 展开更多
关键词 twisted graphene heterostructure Pomeranchuk effect correlated states van Hove singularity
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Upside and downside correlated jump risk premia of currency options and expected returns
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作者 Jie‑Cao He Hsing‑Hua Chang +1 位作者 Ting‑Fu Chen Shih‑Kuei Lin 《Financial Innovation》 2023年第1期2267-2324,共58页
This research explores upside and downside jumps in the dynamic processes of three rates:domestic interest rates,foreign interest rates,and exchange rates.To fill the gap between the asymmetric jump in the currency ma... This research explores upside and downside jumps in the dynamic processes of three rates:domestic interest rates,foreign interest rates,and exchange rates.To fill the gap between the asymmetric jump in the currency market and the current models,a correlated asymmetric jump model is proposed to capture the co-movement of the correlated jump risks for the three rates and identify the correlated jump risk premia.The likelihood ratio test results show that the new model performs best in 1-,3-,6-,and 12-month maturities.The in-and out-of-sample test results indicate that the new model can capture more risk factors with relatively small pricing errors.Finally,the risk factors captured by the new model can explain the exchange rate fluctuations for various economic events. 展开更多
关键词 Jump-diffusion process Currency option Risk premia correlated jumps
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Delayed response to the photovoltaic performance in a double quantum dots photocell with spatially correlated fluctuation
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作者 祝胜男 赵顺才 +1 位作者 许路昕 陈林杰 《Chinese Physics B》 SCIE EI CAS CSCD 2023年第5期610-618,共9页
A viable strategy for enhancing photovoltaic performance is to comprehend the underlying quantum physical regime of charge transfer in a double quantum dots(DQD) photocell. This work explored the photovoltaic performa... A viable strategy for enhancing photovoltaic performance is to comprehend the underlying quantum physical regime of charge transfer in a double quantum dots(DQD) photocell. This work explored the photovoltaic performance dependent spatially correlated fluctuation in a DQD photocell. The effects of spatially correlated fluctuation on charge transfer and output photovoltaic efficiency were explored in a proposed DQD photocell model. The results revealed that the charge transport process and the time to peak photovoltaic efficiency were both significantly delayed by the spatially correlated fluctuation, while the anti-spatially correlated fluctuation reduced the output peak photovoltaic efficiency. Further results revealed that the delayed response could be suppressed by gap difference and tunneling coefficient within two dots. Subsequent investigation demonstrated that the delayed response was caused by the spatial correlation fluctuation slowing the generative process of noise-induced coherence, which had previously been proven to improve the quantum photovoltaic performance in quantum photocells. And the reduced photovoltaic properties were verified by the damaged noise-induced coherence owing to the anti-spatial correlation fluctuation and a hotter thermal ambient environment. The discovery of delayed response generated by the spatially correlated fluctuations will deepen the understanding of quantum features of electron transfer, as well as promises to take our understanding even further concerning quantum techniques for high efficiency DQD solar cells. 展开更多
关键词 delayed response spatially correlated fluctuation double quantum dots photocell
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An improved bidirectional generative adversarial network model for multivariate estimation of correlated and imbalanced tunnel construction parameters
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作者 Yao Xiao Jia Yu +3 位作者 Guoxin Xu Dawei Tong Jiahao Yu Tuocheng Zeng 《Journal of Rock Mechanics and Geotechnical Engineering》 SCIE CSCD 2023年第7期1797-1809,共13页
Estimation of construction parameters is crucial for optimizing tunnel construction schedule.Due to the influence of routine activities and occasional risk events,these parameters are usually correlated and imbalanced... Estimation of construction parameters is crucial for optimizing tunnel construction schedule.Due to the influence of routine activities and occasional risk events,these parameters are usually correlated and imbalanced.To solve this issue,an improved bidirectional generative adversarial network(BiGAN)model with a joint discriminator structure and zero-centered gradient penalty(0-GP)is proposed.In this model,in order to improve the capability of original BiGAN in learning imbalanced parameters,the joint discriminator separately discriminates the routine activities and risk event durations to balance their influence weights.Then,the self-attention mechanism is embedded so that the discriminator can pay more attention to the imbalanced parameters.Finally,the 0-GP is adapted for the loss of the discrimi-nator to improve its convergence and stability.A case study of a tunnel in China shows that the improved BiGAN can obtain parameter estimates consistent with the classical Gauss mixture model,without the need of tedious and complex correlation analysis.The proposed joint discriminator can increase the ability of BiGAN in estimating imbalanced construction parameters,and the 0-GP can ensure the stability and convergence of the model. 展开更多
关键词 Multivariate parameters estimation correlated and imbalanced parameters Bidirectional generative adversarial network(BiGAN) Joint discriminator Zero-centered gradient penalty(0-GP)
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Linear Precoder Design for Correlated Rician Fading Channel Under Imperfect CSI 被引量:1
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作者 S.B.M.Priya 《China Communications》 SCIE CSCD 2023年第9期160-170,共11页
In this paper,we have modeled a linear precoder for indoor multiuser multiple input multiple output(MU-MIMO)system with imperfect channel state information(CSI)at transmitter.The Rician channel is presumed to be mutua... In this paper,we have modeled a linear precoder for indoor multiuser multiple input multiple output(MU-MIMO)system with imperfect channel state information(CSI)at transmitter.The Rician channel is presumed to be mutually coupled and spatially,temporarily correlated.The imperfection with CSI is primarily due to the channel estimation error at receiver and feedback delay amidst the receiver and transmitter in CSI transmission.Along with,the insufficient spacing between the antenna at transmitter and receiver persuades mutual coupling(MC)among the array elements.In addition,the MIMO channel is presumed to be jointly correlated(Weichselberger correlation model).When we look back on the existing precoder design,it considered spatial correlation alone disregarding joint correlation of antenna array elements.With all above assumption,we have designed a linear precoder which minimizes mean squared error(MSE)subjected to total transmit power constraint for MUMIMO system.The simulation results proven that proposed precoder shows substantial enhancement in bit error rate(BER)performance in comparison with the existing technique.The mathematical analysis corroborates the simulation results. 展开更多
关键词 channel estimation error feedback delay MMSE linear precoder mutual coupling spatial cor-relation Weichselberger correlation model
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CHARACTERISTICS OF FAN STALLING BASED ON CORRELATED DIMENSIONS 被引量:2
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作者 谷勇霞 周忠宁 李意民 《Transactions of Nanjing University of Aeronautics and Astronautics》 EI 2011年第4期362-366,共5页
Different from the previous qualitative analysis of linear systems in time and frequency domains, the method for describing nonlinear systems quantitatively is proposed based on correlated dimensions. Nonlinear dynami... Different from the previous qualitative analysis of linear systems in time and frequency domains, the method for describing nonlinear systems quantitatively is proposed based on correlated dimensions. Nonlinear dynamics theory is used to analyze the pressure data of a contrarotating axial flow fan. The delay time is 18 and the embedded dimension varies from 1 to 25 through phase-space reconstruction. In addition, the correlated dimensions are calculated before and after stalling. The results show that the correlated dimensions drop from 1. 428 before stalling to 1. 198 after stalling, so they are sensitive to the stalling signal of the fan and can be used as a characteristic quantity for the judging of the fan stalling. 展开更多
关键词 fan with contra-rotating axis fan stalling correlated dimensions phase-space reconstruction
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Effects of Perfectly Correlated and Anti-Correlated Noise in a Logistic Growth Model
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作者 ZHANG Li CAO Li 《Communications in Theoretical Physics》 SCIE CAS CSCD 2011年第3期462-464,共3页
The logistic growth model with correlated additive and multiplicative Gaussian white noise is used to anedyze tumor cell population. The effects of perfectly correlated and anti-correlated noise on the stationary prop... The logistic growth model with correlated additive and multiplicative Gaussian white noise is used to anedyze tumor cell population. The effects of perfectly correlated and anti-correlated noise on the stationary properties of tumor cell population are studied. As in both cases the diffusion coefficient has zero point in real number field, some special features of the system are arisen. It is found that in cause tumor cell extinction. In the perfectly anti-correlated tumor cell population exhibit two extrema. both cases, the increase of the multiplicative noise intensity case, the stationary probability distribution as a function of 展开更多
关键词 logistic growth model perfectly correlated noise perfectly anti-correlated noise
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Environmental Correlates of Distribution of the 25 Broad-leaved Tree Species Indigenous to Guangdong Province,China 被引量:16
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作者 SuZhiyao ChenBeiguang ChangYong YangJiazhi 《Forestry Studies in China》 CAS 2004年第4期23-28,共6页
Twenty-five tree species indigenous to Guangdong Province were chosen in this study to portray their distribution patterns in relation to environmental factors. Both data of species distribution and environmental fact... Twenty-five tree species indigenous to Guangdong Province were chosen in this study to portray their distribution patterns in relation to environmental factors. Both data of species distribution and environmental factors were tabulated based on a digitized map of Guangdong Province gridded at 0.5° latitude × 0.5° longitude. Grid-based diversity was mapped using DMAP, a distribution mapping program, and horizontal patterns were assessed using Kruskal-Wallis tests. The diversity center of the indige- nous tree species under study is located north of 23° N. These tree species exhibit significant latitudinal variation (P = 0.007 4), but no significant longitudinal difference (P = 0.052 2). Non-metric Multidimensional Scaling (NMS) identified five different ecological species groups, while Canonical Correspondence Analysis (CCA) showed the distribution of tree species along each of the five envi- ronmental gradients. An understanding of the environmental correlates of distribution patterns has great implication for the introduc- tion of the indigenous tree species for afforestation. 展开更多
关键词 indigenous tree species environmental correlate distribution horizontal pattern NMS CCA Guangdong Prov- ince
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Physical Activity and Sedentary Behaviors among Chinese Children: Recent Trends and Correlates 被引量:13
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作者 YANG Xi LEUNG Alice Waiyi +2 位作者 JAGO Russell YU Shi Cheng ZHAO Wen Hua 《Biomedical and Environmental Sciences》 SCIE CAS CSCD 2021年第6期425-438,共14页
Objective This study was aimed at examining the trends and correlates of physical activity(PA)and sedentary behaviors among Chinese children.Methods A total of 4,341 subjects(6,936 observations)aged 6–17 years who pa... Objective This study was aimed at examining the trends and correlates of physical activity(PA)and sedentary behaviors among Chinese children.Methods A total of 4,341 subjects(6,936 observations)aged 6–17 years who participated in the China Health and Nutrition Survey(2004–2015)were included.Of the subjects,41%participated in the survey twice or more.Random-effects ordinal regression models and repeated-measures mixed-effects models were used to examine the PA trends.Quantile regression models were applied to examine the factors influencing PA and sedentary behaviors.Results From 2004 to 2015,the prevalence of physical inactivity among Chinese children aged 6–17 years increased by 5.5%[odds ratio(OR),1.51;95%confidence interval(CI),1.19–1.90;P<0.001].The PA volume declined by 5.8 metabolic equivalent of task-hr/week(P<0.001),and the time spent in sedentary behaviors increased by 1.8 hr/week(P<0.001).Age,ethnicity,and region showed significant effects on the PA volume across the quartiles(P<0.001).Across the quartiles,sedentary time was significantly higher in the children residing in urban areas(P<0.001)or areas with high urbanization levels(P≤0.005)than in their counterparts.Conclusions A declining PA trend among Chinese children aged 6–17 years was observed from 2004 to2015,and certain subgroups and geographical areas are at higher risk of physical inactivity. 展开更多
关键词 Physical activity Sedentary behaviors TRENDS correlateS China CHILDREN
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ON THE RUIN FUNCTIONS FOR A CORRELATED AGGREGATE CLAIMS MODEL WITH POISSON AND ERLANG RISK PROCESSES 被引量:11
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作者 刘艳 杨文权 胡亦钧 《Acta Mathematica Scientia》 SCIE CSCD 2006年第2期321-330,共10页
This article considers a risk model as in Yuen et al. (2002). Under this model the two claim number processes are correlated. Claim occurrence of both classes relate to Poisson and Erlang processes. The formulae is ... This article considers a risk model as in Yuen et al. (2002). Under this model the two claim number processes are correlated. Claim occurrence of both classes relate to Poisson and Erlang processes. The formulae is derived for the distribution of the surplus immediately before ruin, for the distribution of the surplus immediately after ruin and the joint distribution of the surplus immediately before and after ruin. The asymptotic property of these ruin functions is also investigated. 展开更多
关键词 correlated aggregate claims Poisson process Erlang process ruin functions
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Serum IL-1β and IL-18 correlate with ESR and CRP in multidrug-resistant tuberculosis patients 被引量:7
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作者 Yanli Wang Chunmei Hu +3 位作者 Zailiang Wang Hui Kong Weiping Xie Hong Wang 《The Journal of Biomedical Research》 CAS CSCD 2015年第5期426-428,共3页
Dear Editor: The emergence of multidrug-resistant tuberculosis (MDR-TB) is bringing new challenges. MDR-TB is caused by Mycobacterium tuberculosis (M. tuberculosis) that is resistant to isoniazid and rifampicin,... Dear Editor: The emergence of multidrug-resistant tuberculosis (MDR-TB) is bringing new challenges. MDR-TB is caused by Mycobacterium tuberculosis (M. tuberculosis) that is resistant to isoniazid and rifampicin, with or with- out resistance to other anti-tuberculosis drugs. Approximately 450,000 people developed MDR-TB worldwide in 2012 and an estimated 170,000 people died from the disease. Bacterial burden is not strictly corre- lated with disease progression, and several hallmarks of severe tuberculosis suggest that insufficiently controlled inflammation plays an important role in pathogenesis. 展开更多
关键词 ESR TB CRP and IL-18 correlate with ESR and CRP in multidrug-resistant tuberculosis patients Serum IL-1 IL MDR
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Reliability Index of Caisson Breakwaters for Load Variables Correlated 被引量:9
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作者 郄禄文 李炎保 《海洋工程:英文版》 EI 2004年第4期577-584,共8页
In order to suit the condition that the wave uplift is correlated with the horizontal wave load acting on a vertical breakwater, a generally used method for determining the reliability index β of the breakwater, i.e.... In order to suit the condition that the wave uplift is correlated with the horizontal wave load acting on a vertical breakwater, a generally used method for determining the reliability index β of the breakwater, i.e. the Hasofer-Lind method, is extended in a generalized stochastic space for correlative variables. The computational results for a caisson breakwater indicate that the value of β for the case of correlated variables is obviously smaller than that for the case of independent variables. 展开更多
关键词 caisson breakwater RELIABILITY correlated variables
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A multivariate partial least squares approach to joint association analysis for multiple correlated traits 被引量:3
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作者 Yang Xu Wenming Hu +1 位作者 Zefeng Yang Chenwu Xu 《The Crop Journal》 SCIE CAS CSCD 2016年第1期21-29,共9页
Many complex traits are highly correlated rather than independent. By taking the correlation structure of multiple traits into account, joint association analyses can achieve both higher statistical power and more acc... Many complex traits are highly correlated rather than independent. By taking the correlation structure of multiple traits into account, joint association analyses can achieve both higher statistical power and more accurate estimation. To develop a statistical approach to joint association analysis that includes allele detection and genetic effect estimation, we combined multivariate partial least squares regression with variable selection strategies and selected the optimal model using the Bayesian Information Criterion(BIC). We then performed extensive simulations under varying heritabilities and sample sizes to compare the performance achieved using our method with those obtained by single-trait multilocus methods. Joint association analysis has measurable advantages over single-trait methods, as it exhibits superior gene detection power, especially for pleiotropic genes. Sample size, heritability,polymorphic information content(PIC), and magnitude of gene effects influence the statistical power, accuracy and precision of effect estimation by the joint association analysis. 展开更多
关键词 Association analysis MULTIPLE correlateD TRAITS Supersaturated model MULTILOCUS MULTIVARIATE partial least SQUARES
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LINEAR FILTERING FOR VASICEK TERM STRUCTURE MODEL WITH SEQUENTIALLY CORRELATED NOISE
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作者 吴姝 刘思峰 《Transactions of Nanjing University of Aeronautics and Astronautics》 EI 2011年第3期309-314,共6页
When Kalman filter is used in the estimation of Vasicek term structure of interest rates,it is usual to assume that the measurement noise is uncorrelated.Study results are more favorable to the assumption of correlate... When Kalman filter is used in the estimation of Vasicek term structure of interest rates,it is usual to assume that the measurement noise is uncorrelated.Study results are more favorable to the assumption of correlated measurement noise.An augmented state Kalman filter form for Vasicek model is proposed to optimally estimate the unobservable state variable with the assumption of correlated measurement noise.Empirical results indicate that the model with sequentially correlated measurement noise can more accurately describe the dynamics of the term structure of interest rates. 展开更多
关键词 Vasicek term structure model augmented Kalman filter sequentially correlated noise state estimation
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Steady-state analysis subject to a coloured and a white additive of a bistable system multiplicative noise noise with coloured cross-correlated noises 被引量:3
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作者 王参军 陈世波 梅冬成 《Chinese Physics B》 SCIE EI CAS CSCD 2006年第7期1435-1440,共6页
The steady-state properties of a bistable system are investigated when both the multiplicative noise and the coupling between additive and multiplicative noises are coloured with different values of noise correlation ... The steady-state properties of a bistable system are investigated when both the multiplicative noise and the coupling between additive and multiplicative noises are coloured with different values of noise correlation times T1 and T2. After introducing a dimensionless parameter R(R = α/D, D is the intensity of the multiplicative noise and a is the intensity of the additive noise), and performing the numerical computations, we find the following points: (1) For the case of R 〉 1, A (the intensity of correlation between additive and multiplicative noises), T1 and T2 can induce the stationary probability distribution (SPD) transition from bimodal to unimodal in structure, but for the cases of R _〈 1, the bimodal structure is preserved; (2) a can also induce the SPD transition from bimodal to unimodal in structure; (3) the bimodal structure of the SPD exhibits a symmetrical structure as D increases. 展开更多
关键词 bistable system correlated noise stationary probability distribution
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