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不同时变Copula-EVT-ES模型精度比较研究 被引量:19
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作者 于文华 魏宇 康明惠 《管理科学学报》 CSSCI 北大核心 2015年第5期32-45,共14页
结合EVT极值理论,构建了4类时变Copula模型,拟合了股指间的动态极值相依系数,并对各类资产组合进行了预期损失ES风险测度.通过Backtesting方法,对比研究了不同时变Copula-EVT-ES模型的风险测度精度.实证结果表明,在市场极端波动状况下,... 结合EVT极值理论,构建了4类时变Copula模型,拟合了股指间的动态极值相依系数,并对各类资产组合进行了预期损失ES风险测度.通过Backtesting方法,对比研究了不同时变Copula-EVT-ES模型的风险测度精度.实证结果表明,在市场极端波动状况下,结合EVT极值理论的时变Copula-ES模型能够对资产组合尾部极值风险进行有效测度,并且对于空头头寸的风险测度效果优于其在多头头寸的表现.善于刻画变量间厚尾极值相依关系的时变t Copula-EVT-ES能够取得较好的组合风险测度效果,而对于二元资产组合,在高风险水平上,时变SJC Copula-EVT-ES模型也值得重点关注. 展开更多
关键词 时变COPULA 极值理论 预期损失 BACKTESTING 测度精度
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宽带反辐射导弹导引头两次精度补偿方法的研究
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作者 李一兵 《弹箭与制导学报》 CSCD 北大核心 1998年第4期36-40,共5页
对宽带反辐射导弹导引头由于宽带元器件的两路不对称性造成的测角特性偏差,提出了一种通过单片机的两次校正的实时补偿方法,并给出了补偿系统框图,实验证明有较好的工程应用价值。
关键词 反辐射导弹 导引头 测度精度 补偿 宽带
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Analyses of noncommensurate sampling used in high-precision regenerative pseudo-noise ranging systems 被引量:3
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作者 徐兆斌 金小军 +1 位作者 张朝杰 金仲和 《Journal of Central South University》 SCIE EI CAS 2014年第3期963-969,共7页
A high-precision pseudo-noise ranging system is often required in satellite-formation missions. But in an actual PN ranging system, digital signal processing limits the ranging accuracy, only level up with meter-scale... A high-precision pseudo-noise ranging system is often required in satellite-formation missions. But in an actual PN ranging system, digital signal processing limits the ranging accuracy, only level up with meter-scale. Using non-integer chip to sample time ratio, noncommensurate sampling was seen as an effective solution to cope with the drawback of digital effects. However, researchers only paid attention to selecting specific ratios or giving a simulation model to verify the effectiveness of the noncommensurate ratios. A qualitative analysis model is proposed to characterize the relationship between the range accuracy and the noncommensurate sampling parameters. Moreover, a method is also presented which can be used to choose the noncommensurate ratio and the correlation length to get higher phase delay distinguishability and lower range jitter. The simulation results indicate the correctness of our analyses and the optimal ranging accuracy can be up to centimeter-level with the proposed approach. 展开更多
关键词 regenerative pseudo-noise (PN) ranging system range jitter phase delay distinguishability noncommensurate sampling correlation length
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A strip thickness prediction method of hot rolling based on D_S information reconstruction 被引量:1
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作者 孙丽杰 邵诚 张利 《Journal of Central South University》 SCIE EI CAS CSCD 2015年第6期2192-2200,共9页
To improve prediction accuracy of strip thickness in hot rolling, a kind of Dempster/Shafer(D_S) information reconstitution prediction method(DSIRPM) was presented. DSIRPM basically consisted of three steps to impleme... To improve prediction accuracy of strip thickness in hot rolling, a kind of Dempster/Shafer(D_S) information reconstitution prediction method(DSIRPM) was presented. DSIRPM basically consisted of three steps to implement the prediction of strip thickness. Firstly, iba Analyzer was employed to analyze the periodicity of hot rolling and find three sensitive parameters to strip thickness, which were used to undertake polynomial curve fitting prediction based on least square respectively, and preliminary prediction results were obtained. Then, D_S evidence theory was used to reconstruct the prediction results under different parameters, in which basic probability assignment(BPA) was the key and the proposed contribution rate calculated using grey relational degree was regarded as BPA, which realizes BPA selection objectively. Finally, from this distribution, future strip thickness trend was inferred. Experimental results clearly show the improved prediction accuracy and stability compared with other prediction models, such as GM(1,1) and the weighted average prediction model. 展开更多
关键词 grey relational degree GM(1 1) model Dempster/Shafer (D_S) method least square method thickness prediction
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