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.     

市场竞争与国有企业所有权安排

改进了张维迎对地区间竞争与国有企业民营化的分析,给出了经营者的剩余索取份额对竞争性的连续依赖关系:国有企业若要降低成本,就必须参与市场竞争,随着市场竞争的加强,国有企业经营者的剩余索取份额应该逐渐增大,而当市场竞争水平超过某一阈值,国有企业经营者拥有全部剩余索取权是最优的.     

基于残差加权经验过程方法的自回归模型分布变点监测

Change monitoring of distribution in time series models is an important issue.This paper proposes a procedure for monitoring changes in the error distribution of autoregressive time series,which is based on a weighed empirical process of residuals with weights equal to the regressors.The asymptotic properties of our monitoring statistic are derived under the null hypothesis of no change in distribution.The finite sample properties are investigated by a simulation.As it turns out,the procedure is not only able to detect distributional changes but also changes in the regression coefficient and mean.Finally,we apply the statistic to a groups of financial data.     

航空通信网络中复杂干扰过滤技术研究

航空通信环境中存在复杂的干扰信号,对正常的通信信号造成强烈的干扰。利用传统算法进行干扰信号过滤,无法避免由于干扰信号过于复杂导致过滤不充分的缺陷。提出一种基于加权残差优化算法的航空通信网络中复杂干扰过滤方法。对原始信号进行降频处理,能够消除峰值干扰信号,提高了信号的准确性。根据加权残差修正优化算法的相关原理,对通信信号进行残差优化处理,经过处理后的通信信号在受到干扰时会形成零陷,实现了对复杂干扰信号的过滤。实验结果表明,利用该算法进行航空通信网络中复杂干扰信号过滤,能够有效提高过滤的准确性,效果令人满意。     

On block preconditioners for saddle point problems with singular or indefinite (1, 1) block

We discuss a class of preconditioning methods for the iterative solution of symmetric algebraic saddle point problems, where the (1, 1) block matrix may be indefinite or singular. Such problems may arise, e.g. from discrete approximations of certain partial differential equations, such as the Maxwell time harmonic equations. We prove that, under mild assumptions on the underlying problem, a class of block preconditioners (including block diagonal, triangular and symmetric indefinite preconditioners) can be chosen in a way which guarantees that the convergence rate of the preconditioned conjugate residuals method is independent of the discretization mesh parameter. We provide examples of such preconditioners that do not require additional scaling. Copyright © 2010 John Wiley & Sons, Ltd.     

Extreme value distribution of a recursive-type detector in a linear model

We study a CUSUM–type monitoring scheme designed to sequentially detect changes in the regression parameter of an underlying linear model. The test statistic used is based on recursive residuals. Main aim of this paper is to derive the limiting extreme value distribution under the null hypothesis of structural stability. The model assumptions are flexible enough to include rather general classes of error sequences such as augmented GARCH(1,1) processes. The result is underlined by an illustrative simulation study. Research partially supported by NSF grants DMS–0604670 and DMS–065242.     

沿垂等温平板的自然对流问题的近似解析解

本文用加权残值得到了沿垂等温平板的自然对流问题的近似解析解。和已有准确解的比较表明，在平板表面附近，近似解有很好的精度，而且速度场的精度比温度场更好一些。文末还对配域法的准收敛问题作了说明。     

卷积型加权残值法求解薄壳的动力学问题

板壳等弹性体,受到动荷载作用时,其动力分析问题是比较重要且难于解决的．利用卷积型加权残值法,推导出Gurtin变分原理,并应用卷积型加权残值法计算了薄壳的动力学问题,为计算薄壳的结构动力学问题提供了一种有效的方法．     

卷积型最小二乘法求解梁的动力学问题

提出了卷积型最小二乘法,并用其计算了不同初始条件和不同边界条件下梁的动力学问题,算例表明,方法概念简单,计算方便,精度高,计算工作量少,卷积型最小二乘法是计算结构动力学问题的一种简单、高效的方法,试函数可以不满足边界条件.     

三维弹性力学边界加权残值试函数构造

推出四个满足三维弹性力学基本方程的完备函数系，给出了用此函数系构造三维复杂区域边界加权残值试函数的一般原则，实例表明效果良好。