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.     

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     

A novel tridentate nitrogen donor as ligand in copper catalyzed ATRP of methyl methacrylate

A tridentate ligand, BPIEP: 2,6‐bis[1‐(2,6‐diisopropyl phenylimino) ethyl] pyridine, having central pyridine unit and two peripheral imine coordination sites was effectively employed in controlled/“living” radical polymerization of MMA at 90°C in toluene as solvent, Cu^IBr as catalyst, and ethyl‐2‐bromoisobutyrate (EBiB) as initiator resulting in well‐defined polymers with polydispersities M_w/M_n ≤ 1.23. The rate of polymerization follows first‐order kinetics, k_app = 3.4 × 10^?5 s^?1, indicating the presence of low radical concentration ([P*] ≤ 10^?8) throughout the reaction. The polymerization rate attains a maximum at a ligand‐to‐metal ratio of 2:1 in toluene at 90°C. The solvent concentration (v/v, with respect to monomer) has a significant effect on the polymerization kinetics. The polymerization is faster in polar solvents like, diphenylether, and anisole, as compared to toluene. Increasing the monomer concentration in toluene resulted in a better control of polymerization. The molecular weights (M_n,SEC) increased linearly with conversion and were found to be higher than predicted molecular (M_n,Cal). However, the polydispersity remained narrow, i.e., ≤1.23. The initiator efficiency at lower monomer concentration approaches a value of 0.7 in 110 min as compared to 0.5 in 330 min at higher monomer concentration. The aging of the copper salt complexed with BPIEP had a beneficial effect and resulted in polymers with narrow polydispersitities and higher conversion. PMMA obtained at room temperature in toluene (33%, v/v) gave PDI of 1.22 (M_n = 8500) in 48 h whereas, at 50°C the PDI is 1.18 (M_n = 10,300), which is achieved in 23 h. The plot of lnk_app versus 1/T gave an apparent activation energy of polymerization as (ΔE^≠_app) 58.29 KJ/mol and enthalpy of equilibrium (ΔH⁰_eq) to 28.8 KJ/mol. Reverse ATRP of MMA was successfully performed using AIBN in bulk as well as solution. The controlled nature of the polymerization reaction was established through kinetic studies and chain extension experiments. © 2005 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem 43: 4996–5008, 2005     

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.     

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.     

Microstructure dependent dynamic fracture analyses of trabecular bone based on nascent bone atomistic simulations

Trabecular bone fracture is closely related to the trabecular architecture, microdamage accumulation, and bone tissue properties. Primary constituents of trabecular tissue are hydroxyapatite (HA) mineralized type-I collagen fibers. In this research, dynamic fracture in two dimensional (2-D) micrographs of ovine (sheep) trabecular bone is modeled using the mesoscale cohesive finite element method (CFEM). The bone tissue fracture properties are obtained based on the atomistic strength analyses of a type-I collagen + HA interfacial arrangement using molecular dynamics (MD). Analyses show that the presented framework is capable of analyzing the architecture dependent fracture in 2-D micrographs of trabecular bone.     

Stress concentration and effective stiffness of aligned fiber reinforced composite with anisotropic constituents

The paper addresses the problem of calculation of the local stress field and effective elastic properties of a unidirectional fiber reinforced composite with anisotropic constituents. For this aim, the representative unit cell approach has been utilized. The micro geometry of the composite is modeled by a periodic structure with a unit cell containing multiple circular fibers. The number of fibers is sufficient to account for the micro structure statistics of composite. A new method based on the multipole expansion technique is developed to obtain the exact series solution for the micro stress field. The method combines the principle of superposition, technique of complex potentials and some new results in the theory of special functions. A proper choice of potentials and new results for their series expansions allow one to reduce the boundary-value problem for the multiple-connected domain to an ordinary, well-posed set of linear algebraic equations. This reduction provides high numerical efficiency of the developed method. Exact expressions for the components of the effective stiffness tensor have been obtained by analytical averaging of the strain and stress fields.     

合作联盟资源集成计划一种新方法

合作联盟里，资源集成计划往往是联盟成员群体谈判博弈的结果。本以两人博弈为例，对联盟的资源集成计划给出一个谈判博弈模型，能够较好地模仿和反映合作联盟资源整合计划的制订过程。     

基于CSCW的协同编著系统的设计

讨论了计算机支持的协同工作(CSCW)的主要技术，其中重点讨论了协同编著系统设计中的并发控制技术，指出了其与传统的并发控制技术的区别。根据CSCW的基本原理设计出了一个基于Browse／Server结构的协同编著系统的系统模型。该系统模型比传统的模型更加方便了用户之间通过Internet的浏览器进行协作。