Improved threshold diagnostic plots for extreme value analyses

A crucial aspect of threshold-based extreme value analyses is the level at which the threshold is set. For a suitably high threshold asymptotic theory suggests that threshold excesses may be modelled by a generalized Pareto distribution. A common threshold diagnostic is a plot of estimates of the generalized Pareto shape parameter over a range of thresholds. The aim is to select the lowest threshold above which the estimates are judged to be approximately constant, taking into account sampling variability summarized by pointwise confidence intervals. This approach doesn’t test directly the hypothesis that the underlying shape parameter is constant above a given threshold, but requires the user subjectively to combine information from many dependent estimates and confidence intervals. We develop tests of this hypothesis based on a multiple-threshold penultimate model that generalizes a two-threshold model proposed recently. One variant uses only the model fits from the traditional parameter stability plot. This is particularly beneficial when many datasets are analysed and enables assessment of the properties of the test on simulated data. We assess and illustrate these tests on river flow rate data and 72 series of significant wave heights.     

Mixed quadratic-cubic autocatalytic reaction–diffusion equations: Semi-analytical solutions

Semi-analytical solutions for autocatalytic reactions with mixed quadratic and cubic terms are considered. The kinetic model is combined with diffusion and considered in a one-dimensional reactor. The spatial structure of the reactant and autocatalyst concentrations are approximated by trial functions and averaging is used to obtain a lower-order ordinary differential equation model, as an approximation to the governing partial differential equations. This allows semi-analytical results to be obtained for the reaction–diffusion cell, using theoretical methods developed for ordinary differential equations. Singularity theory is used to investigate the static multiplicity of the system and obtain a parameter map, in which the different types of steady-state bifurcation diagrams occur. Hopf bifurcations are also found by a local stability analysis of the semi-analytical model. The transitions in the number and types of bifurcation diagrams and the changes to the parameter regions, in which Hopf bifurcations occur, as the relative importance of the cubic and quadratic terms vary, is explored in great detail. A key outcome of the study is that the static and dynamic stability of the mixed system exhibits more complexity than either the cubic or quadratic autocatalytic systems alone. In addition it is found that varying the diffusivity ratio, of the reactant and autocatalyst, causes dramatic changes to the dynamic stability. The semi-analytical results are show to be highly accurate, in comparison to numerical solutions of the governing partial differential equations.     

On the Possibility of Using the Method of Sign-Perturbed Sums for the Processing of Dynamic Test Data

At the present time, the methods for the measurement and prediction of the dynamic strength of materials are complicated and unstandardized. An experimental data processing method based on the incubation time criterion is considered. Only a finite number of measurements containing random errors and limited statistical information are usually available in practice, since dynamic tests are laborious, and every individual test requires a lot of time. This strongly restricts the number of applicable data processing methods unless we are satisfied with approximate and heuristic solutions. The method of sign-perturbed sums (SPS) is used for the estimation of finite-sample confidence regions with a specified confidence probability under the assumption of noise symmetries. It is shown that several experimental points are sufficient to determine the strength parameter with an accuracy acceptable for engineering calculations. The applicability of the proposed method is demonstrated in the processing of a number of experiments on the dynamic fracture of rocks.     

基于遗传算法的LuGre轮胎模型参数辨识研究

LuGre轮胎模型是一种动态轮胎摩擦力模型,该模型能够精确描述轮胎摩擦环节的动态特性,但由其高度非线性使得参数辨识非常困难.针对LuGre轮胎模型,提出一种基于遗传算法的模型参数两步辨识方法.首先由PD控制辨识出静态参数;然后由PID控制辨识出动态参数.在每一步辨识中,均采用遗传算法作为优化工具,从而避免了采用拟和辨识方法中误差较大,试验条件难以控制的缺点.该算法仅仅使用轮胎转速数据,而转速传感器是汽车防滑刹车控制系统(ABS)的基本组成部分,因此该算法可以与ABS结合工作,低成本的实现LuGre轮胎模型参数辨识.     

Weibull分布场合具有非常数形状参数恒加试验的参数估计

本文讨论了Weibull分布场合恒加寿命试验的点估计和近似区间估计，利用模拟方法说明所给方法的有效性。     

THE QUALITATIVE CONTENT OF RENEWABLE RESOURCE MODELS

This paper analyzes the extent to which standard dynamic renewable resource models possess refutable implications. Both the steady state comparative static and local comparative dynamic properties of the standard model are studied. A unified framework is developed which enables one to analyze the qualitative properties of any standard renewable resource model. This is achieved by explicitly linking the local stability, steady state comparative static, and local comparative dynamic properties of the model.     

Bifurcations and Stability Boundary of a Power System

A single-axis flux decay model including an excitation control model proposed in [12,14,16] isstudied.As the bifurcation parameter P_m (input power to the generator) varies,the system exhibits dynamicsemerging from static and dynamic bifurcations which link with system collapse.We show that the equilibriumpoint of the system undergoes three bifurcations:one saddle-node bifurcation and two Hopf bifurcations.Thestate variables dominating system collapse are different for different critical points,and the excitative controlmay play an important role in delaying system from collapsing.Simulations are presented to illustrate thedynamical behavior associated with the power system stability and collapse.Moreover,by computing the localquadratic approximation of the 5-dimensional stable manifold at an order 5 saddle point,an analytical expressionfor the approximate stability boundary is worked out.     

Error estimates and stability of itô-type systems of nonlinear stochastic integro-differential equations

By developing an integral representation of a function of solution process of a system of Ito-type stochastic nonlinear integro-differential equations, the error estimates on absolute p-th deviation of a solution process with the solution of the mean of the corresponding deterministic system of integro-differential equations is analyzed. Furthermore, the p-th moment stability properties of the steady state of the system is studied. The obtained results would provide a partial solution to one of the fundamental problems in modelling of dynamic systems, namely, to what extent incorporating randomness in the system causes the change in behavior of the system relative to its deterministic version     

基于动态因子结构的贝叶斯分位面板协整研究

针对传统面板协整检验在建模过程中易受异常值影响以及其原假设设置的主观选择问题,本文利用动态公共因子刻画面板数据潜在的截面相关结构,提出基于动态因子的截面相关结构的贝叶斯分位面板协整检验,结合各个主要分位数水平下参数的条件后验分布,设计结合卡尔曼滤波的Gibbs抽样算法,进行贝叶斯分位面板协整检验;并进行Monte Carlo仿真实验验证贝叶斯分位面板协整检验的可行性与有效性。同时,采用中国各省金融发展和经济增长的面板数据进行实证研究,结果发现在各主要分位数水平下中国金融发展和经济增长之间具有协整关系。研究结果表明:贝叶斯分位面板协整检验方法避免了传统面板数据协整方法由于原假设设置不同而发生误判的问题,克服了异常值的影响,能够提供全面准确的模型参数估计和协整检验结果。     

Modelling and Parameter Identification of a Formula Student Car

A modelling approach is described using the modules vehicle body, front axle and rear axle. All these modules are virtually assembled by CAD software and Simpack, a commercial multibody dynamics tool. The geometrical data are found from the CAD model while the mechanical data for the entire vehicle are evaluated by parameter identification based on mechanical principles. In detail, the static measurement and error analysis of the center of mass is explained as well as the dynamic tests to identify the moments of inertia of the car. Further, spring and damper characteristics are identified. (© 2010 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Numerical stability for a dynamic Naghdi shell

We consider an elastic model for a shell incorporating shear, membrane, bending and dynamic effects. We make use of the theory proposed by Arnold and Brezzi [1] based on a locking free non-standard mixed variational formulation. This method is implemented in terms of the displacement and rotation variables as the minimization of an altered energy functional. We extend this theory to the shell vibrations problem and establish optimal error estimates independent of the thickness, thereby proving that shear and membrane locking is avoided. We study the numerical stability both in static and dynamic regimes. The approximation schemes are tested on specific examples and the numerical results confirm the estimates obtained from theory.     

Estimation under failure-censored step-stress life test for the generalized exponential distribution parameters

Accelerated life testing of materials is used to collect failure data quickly when the lifetime of a specimen under use condition is too long. This article considers estimates of the generalized exponential distribution parameters under step-stress partially accelerated life testing with Type-II censoring. The maximum likelihood approach is applied to derive point and asymptotic confidence interval estimations of the model parameters. The performance of the estimators is evaluated numerically for different parameter values and different sample sizes via their mean square error. Also, the average confidence intervals lengths and the associated coverage probabilities are obtained. A simulation study is conducted for illustration.     

MODELING THE DYNAMICS OF FISHERY STOCK RECOVERY: IMPLICATIONS FOR THE ASSESSMENT OF NATURAL RESOURCE DAMAGES

ABSTRACT. During the restoration planning phase of the natural resource damage assessment (NRDA) process, potential injuries to natural resources and services are evaluated in terms of the nature, degree and extent of injury so that the need for and scale of restoration actions can be ascertained. Injuries are quantified by comparing the condition of the injured natural resource relative to baseline (pre‐injury) conditions. The “Type A” procedures are used to quantify damages from smaller spills and rely on a standardized methodology and computer model to calculate injury and value of damages. In this model, fishery stock changes from injuries and resulting changes in user participation are not treated as dynamic. If true stock growth and re‐growth are indeed dynamic, then the Type A model is likely underestimating fishery losses. The purpose of this paper is to illustrate the potential for such underestimation by comparing simulated stock and harvest losses under dynamic treatment and a static treatment that more closely represents the way stock and service losses are estimated under the current NRDA process.     

具有动应力、位移和稳定性约束的离散变量桁架结构布局优化设计算法

给出了在动应力、动位移和动稳定约束下离散变量结构布局优化设计问题的数学模型,用“拟静力”算法,将具有动应力约束、动位移约束和动稳定约束的离散变量结构布局优化设计问题化为静应力、静位移和静稳定约束的优化问题,然后利用两级优化算法求解该模型．优化过程由两级组成,拓扑级优化和形状级优化．在每一级,都使用了综合算法,并且在搜索过程中都根据两类设计变量的相对差商值进行搜索．对包含稳定约束和不包含稳定约束的优化结果做了比较,结果显示稳定性约束对优化结果产生较大的影响．     

Interaction of faults under slip‐dependent friction. Non‐linear eigenvalue analysis

We analyse the evolution of a system of finite faults by considering the non‐linear eigenvalue problems associated to static and dynamic solutions on unbounded domains. We restrict our investigation to the first eigenvalue (Rayleigh quotient). We point out its physical significance through a stability analysis and we give an efficient numerical algorithm able to compute it together with the corresponding eigenfunction. We consider the anti‐plane shearing on a system of finite faults under a slip‐dependent friction in a linear elastic domain, not necessarily bounded. The static problem is formulated in terms of local minima of the energy functional. We introduce the non‐linear (static) eigenvalue problem and we prove the existence of a first eigenvalue/eigenfunction characterizing the isolated local minima. For the dynamic problem, we discuss the existence of solutions with an exponential growth, to deduce a (dynamic) non‐linear eigenvalue problem. We prove the existence of a first dynamic eigenvalue and we analyse its behaviour with respect to the friction parameter. We deduce a mixed finite element discretization of the non‐linear spectral problem and we give a numerical algorithm to approach the first eigenvalue/eigenfunction. Finally we give some numerical results which include convergence tests, on a single fault and a two‐faults system, and a comparison between the non‐linear spectral results and the time evolution results. Copyright © 2004 John Wiley & Sons, Ltd.     

Robust dynamic pairs trading with cointegration

This paper investigates the robust optimal pairs trading using the concept of equivalent probability measures and a penalty function associated with the confidence in parameter estimates when the parameters in the drift term of the continuous-time cointegration model are estimated with errors. A closed-form solution is derived for the robust pairs trading rule. We compare the robust pairs trading rule against its non-robust counterpart using simulations and real data. The robust strategy is empirically more stable and less volatile.     

Stochastic resonance in a genetic toggle model with harmonic excitation and Lévy noise

Stochastic resonance is investigated to explain the beneficial effect of Lévy noise on gene expression of genetic toggle model with harmonic excitation. The dynamic change of protein concentration of genetic toggle model under combined drives of harmonic excitation and Lévy noise is obtained numerically. Stochastic resonance is presented through the classical measure of signal-to-noise-ratio. Then from two aspects of combined drives on the protein at high or low concentration, the changes of protein concentration and signal-to-noise-ratio are discussed, respectively. When combined drives are within the protein at high concentration, the increasing Lévy noise intensity can promote the transition between the high and low concentrations, and the low protein concentration hardly fluctuates under the small noise intensity. It is also shown that the increase of stability index, skewness parameter of Lévy noise and amplitude of harmonic excitation can suppress the optimum collaboration of stochastic resonance. On the other hand, when combined drives are within the protein at low concentration, the increasing noise intensity can enhance the transition between the high and low concentrations, and the increase of stability index, skewness parameter and amplitude can strengthen the optimum collaboration of stochastic resonance. By the synergic actions of stochastic resonance, it is demonstrated that combined effect of harmonic excitation and Lévy stimuli can be utilized to promote the gene expression of proteins in genetic toggle model.     

Departure from linear mechanical behaviour of a helical spring

We model small deviations from linear mechanical behaviour of a loaded vertically suspended helical spring. A Taylor expansion of the elasticity equations governing the axial extension of the spring is used to determine the relative magnitudes of linear and (quadratic and cubic) nonlinear terms in the force–extension relationship. This relationship is the basis for the derivation of a model for the static extension of a loaded spring, and a wave equation that models small amplitude oscillation. The models account for the natural decline in pitch angle down a suspended spring, and provide accurate fits to measurements of static extension and periods of oscillation that are not adequately represented by equations based on Hooke’s law. The static and dynamic data yield consistent estimates of the spring rate.     

On two estimates related to the change-point problem

We consider the problem of estimating a smooth functional of an unknown signal with discontinuity from Gaussian observations. The signal is a known function depending on an unknown parameter. This problem is closely related to the famous change-point problem. We obtain an asymptotic likelihood ratio process for the noise level tending to 0. Bayesian and maximum likelihood estimates are constructed and their relative efficiency is studied. Some simulation results and conclusions on non-asymptotic behavior of these estimates are presented.     

Sensitivity of parameter estimates to observations,system identification,and optimal inputs

The sensitivity of parameter estimates to observation noise or disturbances affects the accuracy of the parameter estimates in system identification. The (parameter estimate)/observation sensitivity is derived for a scalar nonlinear differential system. In the design of optimal inputs, the sensitivity of the state variable to the unknown parameter is maximized. It is shown that the (parameter estimate)/observation sensitivity tends to be lowered for optimal inputs. A numerical example is given.