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.     

一种基于判决反馈的OFDM系统载波频率跟踪算法

研究了多径信道下OFDM系统的一种新的载波频率跟踪算法，这种算法以判决反馈和接收端的时域信号重构为基础。推导了估计结果的精确解，比较了使用原估计结果和新的估计结果进行频偏补偿时系统跟踪性能的不同。通过对算法的仔细分析，发现除了通常的加性噪声外，信道估计误差、子载波数目和子载波的调制方式也影响频偏的估计结果和跟踪范围，而且子载波的数目和调制方式是决定性的因素。这种频率跟踪方法的优点是即使在很低的信噪比下仍然能获得高的跟踪精度，且实现相对简单。     

On Bayes and unbiased estimators of loss

We consider estimation of loss for generalized Bayes or pseudo-Bayes estimators of a multivariate normal mean vector, θ. In 3 and higher dimensions, the MLEX is UMVUE and minimax but is inadmissible. It is dominated by the James-Stein estimator and by many others. Johnstone (1988, On inadmissibility of some unbiased estimates of loss,Statistical Decision Theory and Related Topics, IV (eds. S. S. Gupta and J. O. Berger), Vol. 1, 361–379, Springer, New York) considered the estimation of loss for the usual estimatorX and the James-Stein estimator. He found improvements over the Stein unbiased estimator of risk. In this paper, for a generalized Bayes point estimator of θ, we compare generalized Bayes estimators to unbiased estimators of loss. We find, somewhat surprisingly, that the unbiased estimator often dominates the corresponding generalized Bayes estimator of loss for priors which give minimax estimators in the original point estimation problem. In particular, we give a class of priors for which the generalized Bayes estimator of θ is admissible and minimax but for which the unbiased estimator of loss dominates the generalized Bayes estimator of loss. We also give a general inadmissibility result for a generalized Bayes estimator of loss. Research supported by NSF Grant DMS-97-04524.     

高频聚焦换能器声场的激光测量法

本文描述了一种使用激光测振技术测量高频聚焦换能器声场布的方法，并给出了使用该方法对一种高频聚换能器进行测量的结果，通过理论计算对结果的正确性进行了验证。     

The Heat Equation with Initial Data Corrupted by Measurement Error and Missing Data

In this work the Cauchy problem for the one-dimensional heat equation is considered. In contrast to existing literature it is assumed that the initial state f is unknown and that information regarding f is obtained by some process of measurement. To enhance realism, both measurement errors and missing data are allowed for. Under assumptions on f in the Fourier-domain first an approximation to f is derived from the data by means of a novel uncertainty principle. Then, it is studied how this perturbation in the initial state propagates with time.      

Asymptotics of estimates in constrained nonlinear regression with long-range dependent innovations

The purpose of this paper is to investigate the asymptotic properties of the least squares estimates (L ₂-estimates) and the least absolute deviation estimates (L ₁-estimates) of the parameters of a nonlinear regression model subject to a set of equality and inequality restrictions, which has a long-range dependent stationary process as its stochastic errors. Then we will compare the asymptotic relative efficiencies of the above estimators.     

数字全息图变频采样研究

根据Whittaker-Shannon抽样定理,对菲涅耳全息图进行变频率采样,保证整个全息图各部分采样频率为该处相应空间频率的两倍,从而完全消除数字全息图由于采样冗余而带来全息图的信息冗余.并且,对变频采样后的全息图进行线性插值恢复即可获得良好的再现像质.实验和理论均证明了该方法的有效性和可行性,为全息图的信息存贮与传输提出一条新的思路.     

Grouped Approach for the Design of H.264/AVC Motion Estimation Architectures

This letter presents a novel approach for organizing computational resources into groups within H.264/AVC motion estimation architectures, leading to reductions of up to 75% in the equivalent gate count with respect to state‐of‐the‐art designs.     

风力发电机组变速恒频控制系统研究

全面介绍了一种最新应用于风力发电中的新型电机—无刷双馈电机，并分析了这种新型电机作变速恒频运行的原理并对这种电机进行了动态特性仿真研究，给出了形式简洁的控制方程和易于实现的控制方案。     

0.25μm CMOS千兆以太网发送器设计

分析了千兆以太网体系结构,给出了符合IEEE 802.3z标准中1000BASE-X规范的发送器电路结构,并采用TSMC 0.25 μm CMOS 混合信号工艺设计了符合该规范的高速复接电路和锁相环时钟倍频电路.芯片核心电路面积分别为(0.3×0.26)mm2和(0.22×0.12)mm2.工作电压2.5 V时,芯片核心电路功耗分别为120 mW和100 mW.时钟倍频电路的10倍频输出时钟信号频率为1.25 GHz,其偏离中心频率1MHz处的单边带相位噪声仅为-109.7 dBc/Hz.在驱动50 Ω输出负载的条件下,1.25 Gbit/s的高速输出数据信号摆幅可达到410 mV.