Estimation in the continuous time mover‐stayer model with an application to bond ratings migration

The usual tool for modelling bond ratings migration is a discrete, time‐homogeneous Markov chain. Such model assumes that all bonds are homogeneous with respect to their movement behaviour among rating categories and that the movement behaviour does not change over time. However, among recognized sources of heterogeneity in ratings migration is age of a bond (time elapsed since issuance). It has been observed that young bonds have a lower propensity to change ratings, and thus to default, than more seasoned bonds. The aim of this paper is to introduce a continuous, time‐non‐homogeneous model for bond ratings migration, which also incorporates a simple form of population heterogeneity. The specific form of heterogeneity postulated by the proposed model appears to be suitable for modelling the effect of age of a bond on its propensity to change ratings. This model, called a mover–stayer model, is an extension of a Markov chain. This paper derives the maximum likelihood estimators for the parameters of a continuous time mover–stayer model based on a sample of independent continuously monitored histories of the process, and develops the likelihood ratio statistic for discriminating between the Markov chain and the mover–stayer model. The methods are illustrated using a sample of rating histories of young corporate issuers. For these issuers the default probabilities predicted by the Markov chain and mover–stayer models are different. In particular for 1–4 years old bonds the mover–stayer model estimates substantially lower default probabilities from rating C than a Markov chain. Copyright © 2004 John Wiley & Sons, Ltd.     

前缘弯掠斜流转子叶顶间隙流动特性数值分析

本文对前缘弯掠斜流转子叶顶间隙内的流动特性进行了数值分析。结果表明:叶顶间隙气流与主流发生卷吸而生成泄漏涡。泄漏涡作用的区域具有较低的压力分布。在叶片通道内,泄漏涡沿着与转子旋向相反的方向朝相邻叶片的压力面移动。大间隙时的泄漏涡比小间隙时强烈。低流量时泄漏涡的作用区域比高流量时大。在各种流量特性下,叶顶尾缘近吸力面区域都存在着二次间隙流。     

Numerical analysis of turbulent structure in compound meandering open channel by algebraic Reynolds stress model

The turbulent flow in a compound meandering channel with a rectangular cross section is one of the most complicated turbulent flows, because the flow behaviour is influenced by several kinds of forces, including centrifugal forces, pressure‐driven forces and shear stresses generated by momentum transfer between the main channel and the flood plain. Numerical analysis has been performed for the fully developed turbulent flow in a compound meandering open‐channel flow using an algebraic Reynolds stress model. The boundary‐fitted coordinate system is introduced as a method for coordinate transformation in order to set the boundary conditions along the complicated shape of the meandering open channel. The turbulence model consists of transport equations for turbulent energy and dissipation, in conjunction with an algebraic stress model based on the Reynolds stress transport equations. With reference to the pressure–strain term, we have made use of a modified pressure–strain term. The boundary condition of the fluctuating vertical velocity is set to zero not only for the free surface, but also for computational grid points next to the free surface, because experimental results have shown that the fluctuating vertical velocity approaches zero near the free surface. In order to examine the validity of the present numerical method and the turbulent model, the calculated results are compared with experimental data measured by laser Doppler anemometer. In addition, the compound meandering open channel is clarified somewhat based on the calculated results. As a result of the analysis, the present algebraic Reynolds stress model is shown to be able to reasonably predict the turbulent flow in a compound meandering open channel. Copyright © 2005 John Wiley & Sons, Ltd.     

非等间距序列建模过程中存在的问题及改进

在研究非等间距序列的基础上 ,本文将非等间距累加运用于非等间距序列的建模过程中 ,使原有模型得到改进 .实例表明 ,改进后模型的精度有了很大提高     

半导体激光自混频干涉式传感器中的干涉与调制

应用F-P模型，阐述了半导体激光自混频干涉式传感器的干涉与调制过程，同时给出了相应的计算．     

A posteriori error estimates for a time discrete scheme for a phase-field system of Penrose-Fife type

A time discrete scheme is used to approximate the solution toa phase field system of Penrose–Fife type with a non-conservedorder parameter. An a posteriori error estimate is presentedthat allows the estimation of the difference between continuousand semidiscrete solutions by quantities that can be calculatedfrom the approximation and given data.     

可压稠密气固两相流动过程的模拟计算

基于稠密气体分子运动论和颗粒动理学,建立可压稠密气固两相流动模型。采用梯度模拟来考虑气相可压缩性对气相湍流的影响。模拟计算表明气固两相射流速度沿轴向和径向减小,颗粒浓度下降。气固两相射流具有高的颗粒温度,呈现强烈的气固两相湍流流动特性。     

System Identification Models of the Equivalent Permittivity for Rain Medium

The dielectric constant for rain medium is investigated by utilizing the system identification method. The rain rate model and frequency model of permittivity in millimeter waves band for rain medium are presented. The results obtained with models are in very good agreement with references in calculating the attenuation of electromagnetic waves induced by rain, which Shows that the obtained models are valid and practicable. The cross-polar discrimination gotten with rain rate model is in agreement with references.     

Stable Ergodicity and Frame Flows

In this note we show that all diffeomorphisms close enough to the time-one map of the frame flow on certain negatively curved manifolds are ergodic. As a simple corollary we deduce that the frame flows are ergodic for all compact manifolds with curvature pinched sufficiently close to –1, thus providing results in the case of manifolds of dimension 7 or 8 which were missing from the results of Brin and Karcher.     

抽指加权宽带扇形叉指声表面波滤波器的等效电路分析

扇形换能器可以看成若干个沿孔径方向划分的均匀孔径换能器电端并联而成，根据梅森(Mason)等效电路模型以及由其延伸的混合场等效电路模型，推导出整个扇形换能器的导纳矩阵和频率响应，其中采用复阻抗模型考虑了叉指电极与自由表面的阻抗不连续的因素。本方法能够模拟指间反射、三次行程、指条寄生阻抗以及外围电路等对器件性能的影响；理论模拟与实验结果吻合。