Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models

Two tests for multivariate conditional heteroscedastic models are proposed. One is based on the cross-correlations of standardized squared residuals and the other is a score (Lagrange multiplier) test. The cross-correlations test can be used to detect the presence of multivariate conditional heteroscedasticity whereas the other test can be used for diagnostic checking. Simulation studies on the size and power of the test statistics are reported. The application of the tests is illustrated by an example using the S & P 500 and Sydney All Ordinary Indexes.     

一种跳频扩时码的构造及性能分析

以一维二次同余码(QCC)作为扩时模式，以光正交码(OOC)和QCC码作为频域跳频模式，通过时域和频域的组合，构造了适用于光码分多址(OCDMA)系统的QCC/QCC和QCC/OOC 2种跳频扩时码，并对码的容量及其相关性进行了分析。与一维QCC码相比，QCC/QCC跳频扩时码的容量扩大了p 1倍（p为码重），相关性得到改善，并且码字异相自相关限λa=1，互相关限λc=2；QCC/OOC跳频扩时码具有更大的码容量和更好的相关性，码字异相自相关限λa=0，所有码字按一定规律可分成p 1组（p为码重），每组内码字的互相关限λa=1，不同组间码字的互相关限λa=2。所得结果为光码分多址系统中跳频扩时码的构造提供了一种新的方法。     

Stationary Intensity Distribution of Single-Mode Laser Driven by Additive and Multiplicative Colored Noises with Colored Cross-Correlation

Applying the approximate Fokker-Planck equation we derived, we obtain the analytic expression of thestationary laser intensity distribution Pst(Ⅰ) by studying the single-mode laser cubic model subject to colored cross-correlation additive and multiplicative noise, each of which is colored. Based on it, we discuss the effects on the stationarylaser intensity distribution Pst(Ⅰ) by cross-correlation between noises and “color“ of noises (non-Markovian effect) whenthe laser system is above the threshold. In detail, we analyze two cases: One is that the three correlation-times (i.e.the self-correlation and cross-correlation times of the additive and multiplicative noise) are chosen to be the same value(τ1 = τ2 = τ3 = τ). For this case, the effect of noise cross-correlation is investigated emphatically, and we detect thatonly when λ≠ 0 can the noise-induced transition occur in the Pst(Ⅰ) curve, and only when τ≠ 0 and λ≠ 0, can the“reentrant noise-induced transition“ occur. The other case is that the three correlation times are not the same value,τ1 ≠τ2 ≠τ3. For this case, we find that the noise-induced transition occurring in the Pst (Ⅰ) curve is entirely differentwhen the values of τ1, τ2, and τ3 are changed respectively. In particular, when τ2 (self-correlation time of additivenoise) is changing, the ratio of the two maximums of the Pst(Ⅰ) curve R exhibits an interesting phenomenon, “reentrantnoise-induced transition“, which demonstrates the effect of noise “color“ (non-Markovian effect).     

基于阿秒抖动光纤锁模激光器的时钟同步

光纤锁模激光器结构简单, 运转稳定, 且输出的超短脉冲序列具有极高的时钟稳定性, 在抽运探测、脉冲相干合成等要求高精度时钟同步的前沿领域有着广阔的应用前景. 本文通过激光器腔内的电光调制器进行反馈控制, 实现了两台光纤锁模激光器之间的紧密时钟信号同步; 并且通过平衡光学互相关方法, 对残余的时钟误差信号进行了测量, 分辨率达到了13 as. 通过优化激光器的腔内动力学过程及反馈环路的参数, 在[1 Hz, 10 MHz]的积分区间内得到了109 as的残余时钟误差, 对应单台激光器的平均时间抖动为77 as.     

加性信号调制下指数形式关联噪声驱动的单模激光的光强关联时间

采用线性化近似,计算了加性信号调制下的由具有指数关联的两白噪声驱动的单模激光增益模型的光强关联时间.发现两噪声间关联程度对光强关联时间随噪声强度的变化曲线有很大的影响,两噪声间关联程度取不同值时,光强关联时间随噪声强度的变化曲线中将出现极大值(即出现共振) 或极小值(即出现抑制) .     

全球成品油交易信息溢出研究——基于CCF检验和协整理论

使用基于协相关函数(CCF)的Hong统计量及其推广形式研究了全球成品油交易间的6种信息溢出效应,并对全球成品油市场主导品种与WTI间的信息溢出及协整关系进行了分析.成品油研究对象涵盖了新加坡、ARA和纽约3个全球成品油市场的汽油、燃料油和柴油,以及纽约市场的取暖油期现货.实证研究表明:柴油在新加坡和ARA市场内各品种间的信息溢出中占优势,而纽约市场则无特别显著的信息溢出占优产品.三个市场间的信息溢出研究表明:纽约成品油市场占主导地位,ARA次之.WTI原油与纽约4种成品油间关系的研究显示序列之间存在协整关系和非常迅速的信息传播.     

时差法超声波流量计测量精度的补偿方法*

超声波时差法测量精度的提高,不仅使流量计的测量值更加准确,更能满足工业生产监控的智能化及自动化的需求。文中对时差法流量计的测量原理以及影响因素进行分析,结合超声波接收原理,设计了过零检测电路结构,并在顺逆流的时间差的测量问题上,应用互相关算法,完成对时间测量的自补偿。实验结果显示:在采取以上补偿方法后,能有效改善流量计精度,时差测量误差小于0.8%,并提高了测量实时性。     

A label-free differential proteomic analysis of mouse bronchoalveolar lavage fluid exposed to ultrafine carbon black

Ultrafine carbon black (ufCB) is a potential hazard to the lung. It causes changes in protein expression and it increases alveolar-capillary permeability in the lung. Label-free quantitative proteomic methods allow a sensitive and accurate analytical method for identifying and quantifying proteins in a protein mixture without chemically modifying the proteins. We used a label-free quantitative proteomic approach that combined and aligned LC-MS and LC-MS/MS spectra to analyze mouse bronchoalveolar lavage fluid (BALF) protein changes associated with exposure to ufCB. We developed a simple normalization method for quantification without spiking the internal standard. The intensities of unchanged peptides were used as normalization factors based on a statistical method to avoid the influence of peptides changed because of ufCB. LC-MS/MS spectra and then database searching were used to identify proteins. The relative abundances of the aligned peptides of identified proteins were determined using LC-MS spectra. We identified 132 proteins, of which 77 are reported for the first time. In addition, the expression of 15 inflammatory proteins and surfactant-associated proteins was regulated (i.e., 7 upregulated and 8 downregulated) compared with the controls. Several proteins not previously reported provide complementary information on the proteins present in mouse BALF, and they are potential biomarkers for the understanding of mechanisms involved in ufCB-induced lung disorders hypothesize that using the label-free quantitative proteomic approach introduced here is well suited for more rigorous, large-scale quantitative analysis of biological samples. We hypothesize that this label-free quantitative proteomic approach will be suited for a large-scale quantitative analysis of biological samples.     

A novel particle tracking algorithm using polar coordinate system similarity

A new algorithm using polar coordinate system similarity (PCSS) for tracking particle in particle tracking velocimetry (PTV) is proposed. The essence of the algorithm is to consider simultaneously the changes of the distance and angle of surrounding particles relative to the object particle. Monte Carlo simulations of a solid body rotational flow and a parallel shearing flow are used to investigate flows measurable by PCSS and the influences of experimental parameters on the implementation of the new algorithm. The results indicate that the PCSS algorithm can be applied to flows subjected to strong rotation and is not sensitive to experimental parameters in comparison with the conventional binary image cross-correlation (BICC) algorithm. Finally, PCSS is applied to images of a real experiment. The project supported by the National Natural Science Foundation of China (50206019) The English text was polished by Yunming Chen.     

A new code construction with zero cross correlation based on BIBD

This paper presents a newly constructed zero cross correlation code (ZCC) which is based on BIBD (balanced incomplete block design) code. The ZCC (C, w) code is a family of binary sequences of length C and constant Hamming-weight w. Such codes find applications in spectral amplitude-coding optical code division multiple access (SAC-OCDMA). The constructing ZCC codes have a size of C ? N ÿ w + 1, where N is the number of users and C is any prime number. The proposed construction method is not complicated compared to the existing ones.