Are international stock returns predictable?: An examination of linear and non-linear predictability using generalized spectral tests

This paper uses generalized spectral tests to examine whether international stock index returns are predictable using the history of the series. Unlike many other testing procedures, the generalized spectral tests used in this paper are robust to distributional assumptions, the presence of time-varying volatility, and allow for various forms of non-linear predictability. We find evidence of predictability in mean for over half of the international returns examined. In addition, we find most of the predictability to be non-linear in nature. The patterns of predictability are consistent with calendar effects and in some cases long-run dependence. Regardless of the implications of predictability of returns, this study is important because the generalized spectrum is defined for a range of different frequencies (corresponding to cycles of 2 days and greater), and we can therefore examine at what frequencies predictability occurs. This provides insight into whether there exists short-run, long-run, or both types of dependence.     

按多距离通道重构的杂波仿真方法

针对工作于中重频(MPRF)模式的机载脉冲多普勒(PD)雷达,提出了一种视频杂波信号仿真方法.该方法基于计算出的杂波功率谱,按距离通道进行时域信号重构,能够保留各距离通道内频域信息.仿真结果表明,I/Q两路视频信号进行FFT后能够反映出距离-多普勒通道的杂波二维分布,适用于杂波相干视频仿真.     

传输参考超宽带信号功率谱的改善设计

通过对传输参考超宽带(TR-UWB)信号功率谱密度特性的理论分析,发现离散谱的消除和限波 带 的产生能有效降低对同频段其它无线通信系统的干扰。将参考部分随机化可以消除频谱中 的离散谱部分,并优选跳时码产生5.2 GHz频段的限波。仿真结果表明,通过这种方法离 散谱得以明显消除,5.2 GHz频段的限波对该频段其它通信系统的干扰降低了30 dB 以上。该方法简单灵活,改善后的频谱特性可以满足传输参考超宽带系统与其它无线通信 系统共存的需要。     

Graphical interaction models for multivariate time series1

In this paper we extend the concept of graphical models for multivariate data to multivariate time series. We define a partial correlation graph for time series and use the partial spectral coherence between two components given the remaining components to identify the edges of the graph. As an example we consider multivariate autoregressive processes. The method is applied to air pollution data. Received: June 1999     

国外无人机发展趋势及关键技术

介绍了网络中心战(NCW)对无人机(UAV)的性能需求,归纳了当前国外无人机发展领域的热点和趋势,着重针对影响无人机关键性能的几大前沿技术的各自特点、研制现状及方向进行了分析和综述,并对其近期发展前景做出了预测,最后对国内无人机的相关研制工作提出了一些建议.