Short Retraction NoticeThe paper does not meet the standards of "Journal of Applied Mathematics and Physics". This article has been retracted to straighten the academic record. In making this decision the Ed...Short Retraction NoticeThe paper does not meet the standards of "Journal of Applied Mathematics and Physics". This article has been retracted to straighten the academic record. In making this decision the Editorial Board follows COPE's Retraction Guidelines. The aim is to promote the circulation of scientific research by offering an ideal research publication platform with due consideration of internationally accepted standards on publication ethics. The Editorial Board would like to extend its sincere apologies for any inconvenience this retraction may have caused.Editor guiding this retraction: Prof. Wen-Xiu Ma (EiC of JAMP)The full retraction notice in PDF is preceding the original paper, which is marked "RETRACTED".展开更多
In light of the nonlinear approaching capability of artificial neural networks ( ANN), the term structure of interest rates is predicted using The generalized regression neural network (GRNN) and back propagation ...In light of the nonlinear approaching capability of artificial neural networks ( ANN), the term structure of interest rates is predicted using The generalized regression neural network (GRNN) and back propagation (BP) neural networks models. The prediction performance is measured with US interest rate data. Then, RBF and BP models are compared with Vasicek's model and Cox-Ingersoll-Ross (CIR) model. The comparison reveals that neural network models outperform Vasicek's model and CIR model, which are more precise and closer to the real market situation.展开更多
For general volatility structures for forward rates, the evolution of interest rates may not be Markovian and the entire path may be necessary to capture the dynamics of the term structure. This article identifies con...For general volatility structures for forward rates, the evolution of interest rates may not be Markovian and the entire path may be necessary to capture the dynamics of the term structure. This article identifies conditions on the volatility structure of forward rates that permit the dynamics of the term structure to be represented by a finite-dimensional state variable Markov process. In the deterministic volatility case, we interpret then-factor model as a sum ofn unidimensional models.展开更多
A term structure model bearing features of stochastic volatility and stochastic mean drift with jump (SVJ-SD model for short) is built in the paper to describe the stochastic behavior of interest rates.Based on samp...A term structure model bearing features of stochastic volatility and stochastic mean drift with jump (SVJ-SD model for short) is built in the paper to describe the stochastic behavior of interest rates.Based on sample data of an interest rate of national bond repurchase,maximum likelihood (ML),linear Kalman filter and efficient method of moments (EMM) are used to estimate the model.While ML works well for simple models,it may lead to considerable deviation in parameter estimation when dynamic risks of interest rates are considered in them.Linear Kalman filter is a tractable and reasonably accurate technique for estimation cases where ML was not feasible.Moreover,when compared with the first two approaches,using EMM can obtain better parameter estimates for complex models with non-affine structures.展开更多
A structured perturbation analysis of the least squares problem is considered in this paper.The new error bound proves to be sharper than that for general perturbations. We apply the new error bound to study sensitivi...A structured perturbation analysis of the least squares problem is considered in this paper.The new error bound proves to be sharper than that for general perturbations. We apply the new error bound to study sensitivity of changing the knots for curve fitting of interest rate term structure by cubic spline.Numerical experiments are given to illustrate the sharpness of this bound.展开更多
Nelson-Siegel model ( NS model) and 2 extended NS models were compared by using daily interbank government bond data Based on the grouping of bonds according to the residual term to maturity, the empirical research ...Nelson-Siegel model ( NS model) and 2 extended NS models were compared by using daily interbank government bond data Based on the grouping of bonds according to the residual term to maturity, the empirical research proceeded with in-sample and outof-sample tests. The results show that the 3 models are almost equivalent in estimating interbank term structure of interest rates. Within the term to maturities between 0 and 7 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is smRller than 0.2 Yuan, and the absolute values of the in-sample and out-of-sample errors are smaller than 0. 1 Yuan, so the estimation is credible. Within the term to maturities between 7 and 20 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is larger than 0.4 Yuan, and the absolute values of the in-sample and out-of-sample errors are larger than 1.0 Yuan, so the estimation is incredible.展开更多
This paper presents a method for structured scene modeling using micro stereo vision system with large field of view. The proposed algorithm includes edge detection with Canny detector, line fitting with principle axi...This paper presents a method for structured scene modeling using micro stereo vision system with large field of view. The proposed algorithm includes edge detection with Canny detector, line fitting with principle axis based approach, finding corresponding lines using feature based matching method, and 3D line depth computation.展开更多
This work investigates the steam condensation phenomena in an air-cooled condenser.The considered horizontal flattened tube has a 30 mm hydraulic diameter,and its length is a function of the steam quality with a limit...This work investigates the steam condensation phenomena in an air-cooled condenser.The considered horizontal flattened tube has a 30 mm hydraulic diameter,and its length is a function of the steam quality with a limit value between 0.95 and 0.05.The mass flow rate ranges from 4 to 40 kg/m^(2).s with a saturated temperature spanning an interval from 40°C to 80°C.A special approach has been implemented using the Engineering Equation Solver(EES)to solve a series of equations for the two-phase flow pattern and the related heat transfer coefficients.A wavy-stratified structure of the two-phase flow has been found when the mass rate was between 4 and 24 kg/m^(2).s.In contrast,an initially annular flow is gradually converted into a wavy stratified flow(due to the condensation process taking place inside the flattened tube)when the considered range ranges from 32 to 40 kg/m^(2).s.展开更多
Heteroscedasticity and multicollinearity are serious problems when they exist in econometrics data. These problems exist as a result of violating the assumptions of equal variance between the error terms and that of i...Heteroscedasticity and multicollinearity are serious problems when they exist in econometrics data. These problems exist as a result of violating the assumptions of equal variance between the error terms and that of independence between the explanatory variables of the model. With these assumption violations, Ordinary Least Square Estimator</span><span style="font-family:""> </span><span style="font-family:""><span style="font-family:Verdana;">(OLS) will not give best linear unbiased, efficient and consistent estimator. In practice, there are several structures of heteroscedasticity and several methods of heteroscedasticity detection. For better estimation result, best heteroscedasticity detection methods must be determined for any structure of heteroscedasticity in the presence of multicollinearity between the explanatory variables of the model. In this paper we examine the effects of multicollinearity on type I error rates of some methods of heteroscedasticity detection in linear regression model in other to determine the best method of heteroscedasticity detection to use when both problems exist in the model. Nine heteroscedasticity detection methods were considered with seven heteroscedasticity structures. Simulation study was done via a Monte Carlo experiment on a multiple linear regression model with 3 explanatory variables. This experiment was conducted 1000 times with linear model parameters of </span><span style="white-space:nowrap;"><em><span style="font-family:Verdana;">β</span></em><sub><span style="font-family:Verdana;">0</span></sub><span style="font-family:Verdana;"> = 4 , </span><em><span style="font-family:Verdana;">β</span></em><sub><span style="font-family:Verdana;">1</span></sub><span style="font-family:Verdana;"> = 0.4 , </span><em><span style="font-family:Verdana;">β</span></em><sub><span style="font-family:Verdana;">2</span></sub><span style="font-family:Verdana;">= 1.5</span></span></span><span style="font-family:""><span style="font-family:Verdana;"> and </span><em style="font-family:""><span style="font-family:Verdana;">β</span><span style="font-family:Verdana;"><sub>3 </sub></span></em><span style="font-family:Verdana;">= 3.6</span><span style="font-family:Verdana;">. </span><span style="font-family:Verdana;">Five (5) </span><span style="font-family:Verdana;"></span><span style="font-family:Verdana;">levels of</span><span style="white-space:nowrap;font-family:Verdana;"> </span><span style="font-family:Verdana;"></span><span style="font-family:Verdana;">mulicollinearity </span></span><span style="font-family:Verdana;">are </span><span style="font-family:Verdana;">with seven</span><span style="font-family:""> </span><span style="font-family:Verdana;">(7) different sample sizes. The method’s performances were compared with the aids of set confidence interval (C.I</span><span style="font-family:Verdana;">.</span><span style="font-family:Verdana;">) criterion. Results showed that whenever multicollinearity exists in the model with any forms of heteroscedasticity structures, Breusch-Godfrey (BG) test is the best method to determine the existence of heteroscedasticity at all chosen levels of significance.展开更多
Transport infrastructure development and perception vary across and within countries, influencing mode choice among road users. This study explores how road users perceive the development of infrastructure modes, serv...Transport infrastructure development and perception vary across and within countries, influencing mode choice among road users. This study explores how road users perceive the development of infrastructure modes, service attributes, embedded safety levels, and commuting modes. Additionally, the research examines whether participants’ environmental backgrounds impact their mode choice patterns. The study gathered responses from 1169 participants residing in two regions of Amman, Jordan, each with distinct infrastructure development and population densities. Participants completed a standardized questionnaire, and several statistical techniques were employed for analysis. The findings revealed that facilities’ infrastructure attributes, development, and safety were assessed using three indices. Both participant groups perceived these indices differently on average. Residents of low population density areas with relatively developed infrastructure showed more consistent assessments, irrespective of their most frequently used mode of transportation, tending towards lower scores. Interestingly, subjective ratings of infrastructure development were higher (4.96) than attribute-based ratings (4.32). Despite their generally low-quality perception, public transportation services received the highest appraisal (4.9). Conversely, pedestrian infrastructure complementing public transport received the lowest assessment (4.57), only slightly higher than street environments (4.59). The study found weak associations between subjective service characteristics ratings. Traveler and trip characteristics influenced mode choice and trips more than infrastructure perception. In conclusion, the study suggests that policies should be developed to encourage green transportation, ensure social equality and safety. In addition, the study contributes to understanding perceptions about transport infrastructure, modes of transportation, and the factors that influence sustainable and equitable transportation systems.展开更多
A parameter estimation method,called PMCMC in this paper,is proposed to estimate a continuous-time model of the term structure of interests under Markov regime switching and jumps.There is a closed form solution to te...A parameter estimation method,called PMCMC in this paper,is proposed to estimate a continuous-time model of the term structure of interests under Markov regime switching and jumps.There is a closed form solution to term structure of interest rates under Markov regime.However,the model is extended to be a CKLS model with non-closed form solutions which is a typical nonlinear and non-Gaussian state-space model(SSM)in the case of adding jumps.Although the difficulty of parameter estimation greatly prevents from researching models,we prove that the nonlinear and non-Gaussian state-space model has better performances in studying volatility.The method proposed in this paper will be implemented in simulation and empirical study for SHIBOR.Empirical results illustrate that the PMCMC algorithm has powerful advantages in tackling the models.展开更多
文摘Short Retraction NoticeThe paper does not meet the standards of "Journal of Applied Mathematics and Physics". This article has been retracted to straighten the academic record. In making this decision the Editorial Board follows COPE's Retraction Guidelines. The aim is to promote the circulation of scientific research by offering an ideal research publication platform with due consideration of internationally accepted standards on publication ethics. The Editorial Board would like to extend its sincere apologies for any inconvenience this retraction may have caused.Editor guiding this retraction: Prof. Wen-Xiu Ma (EiC of JAMP)The full retraction notice in PDF is preceding the original paper, which is marked "RETRACTED".
基金National Natural Science Foundation of China (No.70471051 & No.70671074)
文摘In light of the nonlinear approaching capability of artificial neural networks ( ANN), the term structure of interest rates is predicted using The generalized regression neural network (GRNN) and back propagation (BP) neural networks models. The prediction performance is measured with US interest rate data. Then, RBF and BP models are compared with Vasicek's model and Cox-Ingersoll-Ross (CIR) model. The comparison reveals that neural network models outperform Vasicek's model and CIR model, which are more precise and closer to the real market situation.
文摘For general volatility structures for forward rates, the evolution of interest rates may not be Markovian and the entire path may be necessary to capture the dynamics of the term structure. This article identifies conditions on the volatility structure of forward rates that permit the dynamics of the term structure to be represented by a finite-dimensional state variable Markov process. In the deterministic volatility case, we interpret then-factor model as a sum ofn unidimensional models.
基金Sponsored by the National Natural Science Foundation of China(60979010)
文摘A term structure model bearing features of stochastic volatility and stochastic mean drift with jump (SVJ-SD model for short) is built in the paper to describe the stochastic behavior of interest rates.Based on sample data of an interest rate of national bond repurchase,maximum likelihood (ML),linear Kalman filter and efficient method of moments (EMM) are used to estimate the model.While ML works well for simple models,it may lead to considerable deviation in parameter estimation when dynamic risks of interest rates are considered in them.Linear Kalman filter is a tractable and reasonably accurate technique for estimation cases where ML was not feasible.Moreover,when compared with the first two approaches,using EMM can obtain better parameter estimates for complex models with non-affine structures.
基金Funds for Major State The work of the second author is partly supported by the Special Basic Research Projects (2005CB321700)the National Science Foundation of China under grant No. 10571031The work of the third author is partly supported by the National Science Foundation of China under grant No. 10571031.
文摘A structured perturbation analysis of the least squares problem is considered in this paper.The new error bound proves to be sharper than that for general perturbations. We apply the new error bound to study sensitivity of changing the knots for curve fitting of interest rate term structure by cubic spline.Numerical experiments are given to illustrate the sharpness of this bound.
文摘Nelson-Siegel model ( NS model) and 2 extended NS models were compared by using daily interbank government bond data Based on the grouping of bonds according to the residual term to maturity, the empirical research proceeded with in-sample and outof-sample tests. The results show that the 3 models are almost equivalent in estimating interbank term structure of interest rates. Within the term to maturities between 0 and 7 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is smRller than 0.2 Yuan, and the absolute values of the in-sample and out-of-sample errors are smaller than 0. 1 Yuan, so the estimation is credible. Within the term to maturities between 7 and 20 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is larger than 0.4 Yuan, and the absolute values of the in-sample and out-of-sample errors are larger than 1.0 Yuan, so the estimation is incredible.
文摘This paper presents a method for structured scene modeling using micro stereo vision system with large field of view. The proposed algorithm includes edge detection with Canny detector, line fitting with principle axis based approach, finding corresponding lines using feature based matching method, and 3D line depth computation.
文摘This work investigates the steam condensation phenomena in an air-cooled condenser.The considered horizontal flattened tube has a 30 mm hydraulic diameter,and its length is a function of the steam quality with a limit value between 0.95 and 0.05.The mass flow rate ranges from 4 to 40 kg/m^(2).s with a saturated temperature spanning an interval from 40°C to 80°C.A special approach has been implemented using the Engineering Equation Solver(EES)to solve a series of equations for the two-phase flow pattern and the related heat transfer coefficients.A wavy-stratified structure of the two-phase flow has been found when the mass rate was between 4 and 24 kg/m^(2).s.In contrast,an initially annular flow is gradually converted into a wavy stratified flow(due to the condensation process taking place inside the flattened tube)when the considered range ranges from 32 to 40 kg/m^(2).s.
文摘Heteroscedasticity and multicollinearity are serious problems when they exist in econometrics data. These problems exist as a result of violating the assumptions of equal variance between the error terms and that of independence between the explanatory variables of the model. With these assumption violations, Ordinary Least Square Estimator</span><span style="font-family:""> </span><span style="font-family:""><span style="font-family:Verdana;">(OLS) will not give best linear unbiased, efficient and consistent estimator. In practice, there are several structures of heteroscedasticity and several methods of heteroscedasticity detection. For better estimation result, best heteroscedasticity detection methods must be determined for any structure of heteroscedasticity in the presence of multicollinearity between the explanatory variables of the model. In this paper we examine the effects of multicollinearity on type I error rates of some methods of heteroscedasticity detection in linear regression model in other to determine the best method of heteroscedasticity detection to use when both problems exist in the model. Nine heteroscedasticity detection methods were considered with seven heteroscedasticity structures. Simulation study was done via a Monte Carlo experiment on a multiple linear regression model with 3 explanatory variables. This experiment was conducted 1000 times with linear model parameters of </span><span style="white-space:nowrap;"><em><span style="font-family:Verdana;">β</span></em><sub><span style="font-family:Verdana;">0</span></sub><span style="font-family:Verdana;"> = 4 , </span><em><span style="font-family:Verdana;">β</span></em><sub><span style="font-family:Verdana;">1</span></sub><span style="font-family:Verdana;"> = 0.4 , </span><em><span style="font-family:Verdana;">β</span></em><sub><span style="font-family:Verdana;">2</span></sub><span style="font-family:Verdana;">= 1.5</span></span></span><span style="font-family:""><span style="font-family:Verdana;"> and </span><em style="font-family:""><span style="font-family:Verdana;">β</span><span style="font-family:Verdana;"><sub>3 </sub></span></em><span style="font-family:Verdana;">= 3.6</span><span style="font-family:Verdana;">. </span><span style="font-family:Verdana;">Five (5) </span><span style="font-family:Verdana;"></span><span style="font-family:Verdana;">levels of</span><span style="white-space:nowrap;font-family:Verdana;"> </span><span style="font-family:Verdana;"></span><span style="font-family:Verdana;">mulicollinearity </span></span><span style="font-family:Verdana;">are </span><span style="font-family:Verdana;">with seven</span><span style="font-family:""> </span><span style="font-family:Verdana;">(7) different sample sizes. The method’s performances were compared with the aids of set confidence interval (C.I</span><span style="font-family:Verdana;">.</span><span style="font-family:Verdana;">) criterion. Results showed that whenever multicollinearity exists in the model with any forms of heteroscedasticity structures, Breusch-Godfrey (BG) test is the best method to determine the existence of heteroscedasticity at all chosen levels of significance.
文摘Transport infrastructure development and perception vary across and within countries, influencing mode choice among road users. This study explores how road users perceive the development of infrastructure modes, service attributes, embedded safety levels, and commuting modes. Additionally, the research examines whether participants’ environmental backgrounds impact their mode choice patterns. The study gathered responses from 1169 participants residing in two regions of Amman, Jordan, each with distinct infrastructure development and population densities. Participants completed a standardized questionnaire, and several statistical techniques were employed for analysis. The findings revealed that facilities’ infrastructure attributes, development, and safety were assessed using three indices. Both participant groups perceived these indices differently on average. Residents of low population density areas with relatively developed infrastructure showed more consistent assessments, irrespective of their most frequently used mode of transportation, tending towards lower scores. Interestingly, subjective ratings of infrastructure development were higher (4.96) than attribute-based ratings (4.32). Despite their generally low-quality perception, public transportation services received the highest appraisal (4.9). Conversely, pedestrian infrastructure complementing public transport received the lowest assessment (4.57), only slightly higher than street environments (4.59). The study found weak associations between subjective service characteristics ratings. Traveler and trip characteristics influenced mode choice and trips more than infrastructure perception. In conclusion, the study suggests that policies should be developed to encourage green transportation, ensure social equality and safety. In addition, the study contributes to understanding perceptions about transport infrastructure, modes of transportation, and the factors that influence sustainable and equitable transportation systems.
基金This work is supported by National Natural Science Foundation of China (70372011) and the Youth Teacher Foundation of Beijing University of Chemical Technology (QN0521)
基金Supported by National Natural Science Foundation of China(71471075)Fundamental Research Funds for the Central University(19JNLH09)Humanities and Social Sciences Foundation of Ministry of Education,China(14YJAZH052).
文摘A parameter estimation method,called PMCMC in this paper,is proposed to estimate a continuous-time model of the term structure of interests under Markov regime switching and jumps.There is a closed form solution to term structure of interest rates under Markov regime.However,the model is extended to be a CKLS model with non-closed form solutions which is a typical nonlinear and non-Gaussian state-space model(SSM)in the case of adding jumps.Although the difficulty of parameter estimation greatly prevents from researching models,we prove that the nonlinear and non-Gaussian state-space model has better performances in studying volatility.The method proposed in this paper will be implemented in simulation and empirical study for SHIBOR.Empirical results illustrate that the PMCMC algorithm has powerful advantages in tackling the models.