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In this paper, we propose a new method that combines chaotic series phase space reconstruction and local polynomial estimation to solve the problem of suppressing strong chaotic noise. First, chaotic noise time series are reconstructed to obtain multivariate time series according to Takens delay embedding theorem. Then the chaotic noise is estimated accurately using local polynomial estimation method. After chaotic noise is separated from observation signal, we can get the estimation of the useful signal. This local polynomial estimation method can combine the advantages of local and global law. Finally, it makes the estimation more exactly and we can calculate the formula of mean square error theoretically. The simulation results show that the method is effective for the suppression of strong chaotic noise when the signal to interference ratio is low. 相似文献
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本文考虑到金融收益率序列的"尖峰厚尾"和波动持续性等特征,针对厚尾SV-T模型的波动率样本外预测问题,提出了基于状态空间下的SV-T-MN(SV-T with Mixture-of-Normal)模型。首先根据MCMC方法估计SV-T模型参数,然后由EM算法估计混合正态参数,最后利用近似滤波(AMF)算法实现SV-T-MN模型的样本外预测。对KF、EKF、AMF进行的模拟研究表明高斯混合状态空间下的AMF更有效。通过对上证指数和深证成指的股指日收益率序列的实证研究结果表明,在五大损失函数评价准则下,基于状态空间SV-T-MN模型能有效刻画金融收益率序列和尾部的波动性,相比SV-N-MN模型具有更好的优越性。 相似文献
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构建了一种在混沌噪声背景下检测并恢复微弱脉冲信号的模型.首先,基于混沌信号的短期可预测性及其对微小扰动的敏感性,对观测信号进行相空间重构、建立局域线性自回归模型进行单步预测,得到预测误差,并利用假设检验方法从预测误差中检测观测信号中是否含有微弱脉冲信号.然后,对微弱脉冲信号建立单点跳跃模型,并融合局域线性自回归模型,构成双局域线性(DLL)模型,以极小化DLL模型的均方预测误差为目标进行优化,采用向后拟合算法估计模型的参数,并最终恢复出混沌噪声背景下的微弱脉冲信号.仿真实验结果表明本文所建的模型能够有效地检测并恢复出混沌噪声背景中的微弱脉冲信号. 相似文献
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