基于Gabor小波和增强Fisher模型的掌纹特征提取

对于其他身份识别的生物特性而言掌纹有着很多的先天优势,因此在各个领域得到了非常广泛的应用。本文通过研究掌纹的特征,提出了一种基于Gabor小波和增强Fisher线性判别模型(EFM)的掌纹特征提取算法。先对预处理掌纹,在对掌纹灰色图像通过算法进行Gabor小波变换后,得到Gabor的掌纹特征向量。随后,通过主成分分析变换高维特征向量至低维空间,最后在此空间内利用EFM变换矩阵提取到掌纹的特征。由于Gabor函数在特征提取方面有着优良的性能,对高维特征的降维处理问题可有效解决,同时,算法也提高了Fisher线性判别式(FLD)的推广能力,可以较好地实现掌纹的特征提取。     

Bidirectional relationship between investor sentiment and excess returns: new evidence from the wavelet perspective

We propose to use the wavelet concept of the phase angle to determine the lead–lag relationship between investor sentiment and excess returns that are related to the bubble component of stock prices. The wavelet phase angle allows for decoupling short- and long-run relations and is additionally capable of identifying time-varying comovement patterns. Based on the monthly S&P500 index and two alternative monthly US sentiment indicators, we find that in the short run (until 3 months), sentiment is leading returns whereas for periods above 3 months the opposite can be observed. Moreover, the initially strong positive relationship becomes less pronounced with increasing time horizon, thereby indicating that the over- or undervaluation in the short run is gradually corrected in the long run.     

Measuring systemic risk of the Chinese banking industry: A wavelet-based quantile regression approach

In systemic risk measure, a large amount of literature has emerged, but few of them take into account the multi-scale natures of financial data. Considering these natures, we develop a novel W-QR-CoVaR method to measure systemic risk. To be specific, the W-QR-CoVaR method combines the wavelet multiresolution analysis (MRA) with the conditional value-at-risk (CoVaR) method based on the quantile regression (QR) framework. We then apply it to measure the systemic risk in the Chinese banking industry covering the period from September 2007 to September 2018. Our experiment results show that the hybrid W-QR-CoVaR method performs better than the traditional CoVaR method in terms of predictive accuracy. Furthermore, we also explore the relation between the systemic risk contribution of each individual bank and the bank-specific characteristics. Size and leverage appear to be the most robustness determinants. The findings suggest that regulators should pay more attention to the banks with smaller size and higher leverage.     

局部相参性及其以局部相参雷达动显能力的影响

本文从局部相参雷达原理性框图出发,分析了局部相参雷达核心部件相参振荡器的工作过程、局部相参的具体含意。探讨了影响局部相参性的一些主要因素及其对动显的影响,以及改善局部相参性的可能途径。     

基于小波分析的旋转机械非稳态振动源识别

分析对比了傅里叶变换、Gabor变换和小波变换，以说明小波变换的多分辨率分析特点．同时研究了小波分析方法在旋转机械系统非稳态振动源识别中的应用，包括基于小波分析的振动源信息特征提取．以及源识别结果的修正等．最后在研究小波理论与算法的基础上，利用Matlab语言开发了基于小波分析的旋转机械非穗态振动源识别软件，并利用该软件对转子实验台实测信号进行分析处理．     

A Frequency-domain Based Test for Non-correlation between Stationary Time Series

A one-sided asymptotically normal test for non-correlation between two stationary time series is proposed based on the spectral coherence function. The test statistic is a properly standardized version of the integrated spectral coherency and has similar asymptotic properties as a previously introduced time domain based test for non-correlation. Unlike its time domain counterpart, the proposed test does not require prewhitening of the time series and, thus, is a truly nonparametric test for non-correlation. In a simulation study, we evaluate the small sample performance of the proposed test in comparison with the time domain test and address the problem of bandwidth selection. Furthermore, we present a modification of the test statistic that allows to test for non-correlation over frequency bands. This version shows higher power of detecting interrelationships restricted to the frequency band of interest. This work has been carried out at the Institute of Applied Mathematics at the University of Heidelberg and partly while the author was visiting the Department of Statistics at the University of Chicago.     

Blockwise bootstrap wavelet in nonparametric regression model with weakly dependent processes

In this paper, we suggest a blockwise bootstrap wavelet to estimate the regression function in the nonparametric regression models with weakly dependent processes for both designs of fixed and random. We obtain the asymptotic orders of the biases and variances of the estimators and establish the asymptotic normality for a modified version of the estimators. We also introduce a principle to select the length of data block. These results show that the blockwise bootstrap wavelet is valid for general weakly dependent processes such as α-mixing, φ-mixing and ρ-mixing random variables.     

“大水漫灌”还是“精准滴灌”:基于时-频域动态视角下房价调控机制研究

基于时-频域动态视角采用小波分析模型,文章结合高频序列和低频数据在同一框架内研究总量货币政策、结构性信贷政策和房价波动三者之间不同时期的动态影响关系,并进一步甄别供需调控对房价的异质性影响。实证发现,作为房价调控的手段,结构性信贷要优于总量货币政策,而结构性信贷的影响机制是,中期时供给端调控存在非对称性,长期和超长期需求端优于供给端调控,这表明需求结构性信贷政策+总量货币政策工具的调控效果更佳。因此,应用价值体现在遏制房价的过程中,政府应该让"大水漫灌"式的总量货币政策用于"事前预防",而让"精准滴灌"式的结构性信贷政策用于"事后控制",在不同的时-频域中以前者为辅后者为主交替或协调使用,以此防止房地产市场泡沫累积而爆发风险。     

主位推进与语篇连贯

连贯是一个复杂的现象,可以从多方面多角度进行研究和分析。其中衔接手段是实现连贯的重要途径之一。而作为语法层面上的结构衔接特征之一的主位推进模式,与语篇连贯联系密切。对其进行研究,能更好探索出句子组合与句子内容之间的关系。     

Continuous wavelet analysis of Chinese renminbi: Co-movement and lead-lag relationship between onshore and offshore exchange rates

This study examines the interdependence between the onshore (CNY) and offshore (CNH) Chinese renminbi exchange rates by employing continuous wavelet analysis. We pay particular attention to the effect of CNY exchange rate reform in 2015. We find that the interdependence between the CNY and CNH exchange rates has increased significantly following the 2015 reform. In addition, we find higher coherence for the lower frequencies than for the higher ones, suggesting that the interdependence between the two renminbi exchange rates is stronger over longer time horizons. Our evidence also indicates that, after the 2015 reform, the CNH tends to lead the CNY across almost all frequencies, except at the lowest frequency where the CNY leads the CNH.