一种新的基于交互多模型的序贯重要采样算法

通过将交互多模型（IMM）算法和粒子滤波（SIS）算法结合，提出了一种新的IMM～SIS算法。在每个模型中，都有一个标准的粒子滤波器，模型之间的交互与传统的IMM一样。由于在新的算法中，每个模型中粒子滤波都保证固定数量的粒子，因此不会出现粒子退化和贫乏现象。仿真证明了新的IMM—SIS算法在收敛速度和精度方面都要优于传统的IMM—EKF算法。     

一种基于RAMP算法的OFDM稀疏信道估计方法

针对OFDM稀疏信道估计需要信道稀疏度作先验条件的不足,将正则化自适应匹配追踪（RAMP ） 用于信道重建,可在信道稀疏度未知的情况下,自适应地调整候选集原子的个数,并利用正 则化过程实现支撑集的二次筛选,逐步扩大支撑集,准确地估计出信道的冲激响应。仿真结 果表明,该方法收敛速度快,估计效果好,有较好的应用价值。     

OFDM系统中基于弱选择ROMP算法的稀疏信道估计

为了解决实际OFDM通信系统中信道稀疏度未知的不足,提出将弱选择正则化正交匹配追踪算法用于估计稀疏信道。算法在不知晓信道稀疏度的情况下,对不同迭代残差与测量矩阵中原子的相关系数进行判定后,根据原子的弱选择准则灵活地确定出表示信道冲激响应的原子候选集,进而利用正则化原则从候选集中挑选出表示信道冲激响应的最优原子组,逐步实现精确重建。仿真结果和理论分析表明：与正则化正交匹配追踪算法相比,相同条件下改进算法可以获得更低的均方误差和误比特率;另外,算法无需将信道稀疏度作为先验信息,实用性更强。     

Beta stability and tendency : An application of a variable mean response regression model

A Variable Mean Response Regression (VMRR) model is used to reexamine the stability and tendency of beta estimates. The analysis presented indicates that the VMRR model is a better model than the traditional fixed-coefficient regression model in investigating the beta stability and tendency. The mean square error criteria is also used to show that the beta estimates obtained from the VMRR model are generally more appropriate for forecasting the future betas than those obtained from the fixed-coefficient regression model.     

Strength of Preference in the Graph Model for Conflict Resolution

A new preference structure that includes a simple relative measure of strength of preference is developed and integrated into some of the stability definitions for the graph model for conflict resolution. In this triplet preference structure, a decision-maker may greatly prefer or prefer one state or scenario to another, or may be indifferent between them. Four stability definitions (solution concepts), Nash stability (R), general metarationality (GMR), symmetric metarationality (SMR), and sequential stability (SEQ), are extended to include strong and weak stabilities for the case of conflicts with two decision makers. Theorems that clarify the interrelationships of the strong and weak versions of these solution concepts are presented. The application of this new preference structure and the associated solution concepts is demonstrated in an environmental conflict model, called the Sustainable Development Conflict. This case shows that valuable strategic insights are gained when strength of preference is integrated into the stability analysis.     

Monetary,Financial and Fiscal Stability in the East African Community: Ready for a Monetary Union?

We examine prospects for a monetary union in the East African Community (EAC) by developing a stylised model of policymakers' decision problem that allows for uncertain benefits derived from monetary, financial and fiscal stability and then calibrating the model for the EAC for the period 2003–10. When policymakers properly allow for uncertainty, none of the countries wants to pursue a monetary union based on either monetary or financial stability grounds, and only Rwanda might favour it on fiscal stability grounds; we argue that robust institutional arrangements assuring substantial improvements in monetary, financial and fiscal stability are needed to compensate.     

LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS

The growth of the exchange‐traded fund (ETF) industry has given rise to the trading of options written on ETFs and their leveraged counterparts (LETFs). We study the relationship between the ETF and LETF implied volatility surfaces when the underlying ETF is modeled by a general class of local‐stochastic volatility models. A closed‐form approximation for prices is derived for European‐style options whose payoffs depend on the terminal value of the ETF and/or LETF. Rigorous error bounds for this pricing approximation are established. A closed‐form approximation for implied volatilities is also derived. We also discuss a scaling procedure for comparing implied volatilities across leverage ratios. The implied volatility expansions and scalings are tested in three settings: Heston, limited constant elasticity of variance (CEV), and limited SABR; the last two are regularized versions of the well‐known CEV and SABR models.     

采样滤波算法在单站无源定位中的应用

讨论了用采样的方法近似非线性分布来解决无源定位中的非线性问题，提出了一种简单的正则粒子滤波，克服了标准粒子滤波用于单站无源定位中出现的粒子贫乏现象，将粒子滤波成功应用到无源定位中，计算机仿真表明该算法的定位精度较Unscented卡尔曼滤波（UKF）有一定的提高。     

Matrix Representation of Conflict Resolution in Multiple-Decision-Maker Graph Models with Preference Uncertainty

Explicit matrix representations of solution concepts in a graph model of a multiple-decision-maker conflict with preference uncertainty are developed. In a graph model, the relative preferences of each DM over the available states are crucial in determining which states are stable according to any stability definition (solution concept). Unfortunately, it is often difficult to obtain accurate preference information in practical cases, so models that allow preference uncertainty can be very useful. In this work, stability definitions are extended to apply to graph models with this feature. The extension is easiest to implement using the matrix representation of a conflict model, which was developed to ease the coding of logically-defined stability definitions. Another benefit of matrix representation is that it facilitates modification and extension of the definitions.     

STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS

We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected utility), as well as views of the world or the market model (as modeled via subjective probabilities) are considered. Simple sufficient conditions are given for the problem to be well posed, in the sense that the optimal wealth and the marginal utility‐based prices are continuous functionals of preferences and probabilistic views.     

Continuous‐time mean–variance portfolio selection: A reinforcement learning framework

We approach the continuous‐time mean–variance portfolio selection with reinforcement learning (RL). The problem is to achieve the best trade‐off between exploration and exploitation, and is formulated as an entropy‐regularized, relaxed stochastic control problem. We prove that the optimal feedback policy for this problem must be Gaussian, with time‐decaying variance. We then prove a policy improvement theorem, based on which we devise an implementable RL algorithm. We find that our algorithm and its variant outperform both traditional and deep neural network based algorithms in our simulation and empirical studies.     

Empirical modeling of section 162(a) (2) tax court decisions: Identifying the location of a tax home

One-hundred Tax Court cases concerning Section 162(a) (2) were subjected to several multivariate PROBIT and discriminant analyses to determine which factors best define the location of a “tax home.” In each case, the government disagreed with the taxpayer and contended that the “tax home” was either nonexistent or was located in elsewhere. Various sensitivity analyses were performed to test model specifications regarding linear or quadratic functions, discriminant or PROBIT models, and temporal stability. A seven-variable linear discriminant model achieved an 88% Lachenbruch U classification accuracy and exhibited high stability with regard to the three sensitivity analyses. Implications for taxpayers, practitioners, legislators, and researchers are discussed.     

The structural stability of the market model after the Three Mile Island accident

This article examines the stability of alpha and beta in the market model resulting from the Three Mile Island accident. The data consist of weekly returns on 70 utility stocks. Both a dummy variable test and the Fisher F statistics are utilized to test for stability. In addition to the individual stocks, the 70 utilities are partitioned into two portfolios for the test—nuclear and non-nuclear. The main conclusions are 1) for the non-nuclear portfolio, no change is observed; 2) for the nuclear portfolio, alpha fell and beta rose—the impact, however, is transitory and insignificant; and 3) the behavior of the residuals suggests that the result is consistent with an efficient market.     

Chaos and the exchange rate

Chaotic exchange rate models are structural models built in discrete time (difference equations), and show that with orthodox assumptions (PPP, interest parity, etc) and introducing plausible nonlinearities in the dynamic equations, it is possible to obtain a model capable of giving rise to chaotic motion. However, none of these models is estimated, and the conclusions are based on simulations: the empirical validity of these models is not tested. In this paper, a continuous time (the exchange rate is obviously a continuous variable) exchange rate model is built as a non-linear set of three differential equations and its theoretical properties (steady state, stability, etc,) analysed. The model is then econometrically estimated in continuous time with Italian data and examined for the possible presence of chaotic motion. This paper also shows that the continuous time estimation of economic models built as systems of nonlinear differential equations is a very powerful tool in the hands of the profession.     

Can monetary policy tame Harrodian instability?

The paper introduces monetary policy into the canonical Kaleckian growth model with a built‐in Harrodian instability. It abstains, however, from the simple and immediately stabilizing interest rate inverse IS curve. Instead, more indirect effects are examined, which realistically will take time to work out. In particular, (a) the trend rate of growth governing the investment decisions additionally responds to the difference between the profit rate and the real rate of interest; and (b) the real interest rate may enter dynamic adjustments of the price markup. The main finding is that the Harrodian forces could still be overcome and stability of the steady state position is re‐established provided that the profitability motive in (a) and the responsiveness in the Taylor policy rule are both sufficiently strong. By contrast, the indirect feedback effects produced by (b) broaden the scope for instability. In sum, monetary policy in this extended framework can favour stability but is not necessarily the stabilizing panacea that the New Consensus considers it to be.     

Neoclassical growth model with two fixed delays

“Delay” has been considered as one of destabilizing factors in economic dynamics for a long time. Dynamic macroeconomics is concerned with explaining growth and fluctuations. This paper shows how various dynamics involving cyclic fluctuations can emerge in the standard neoclassical growth model when two distinct delays, a delay in production and a delay in depreciation, are explicitly taken into account. We first confirm that the production delay has a stabilizing effect and the depreciation delay has a destabilizing effect in a one‐delay model. We then determine the stability switching curve analytically in the two delay model. It is shown that cyclic fluctuations emerge via Hopf bifurcation when stability is lost. It is also found that stability loss and gain repeatedly occur. Numerical examples verify the theoretical results when the Cobb‐Douglas production function is adopted.     

地方政府举债的货币扩张效应及其政策协同

各国政府均会面临日益频繁出现的社会供需总量有悖于货币流通和金融稳定的诸多问题,为此财政与金融当局综合运用各种政策工具力求实现经济的稳定和协调发展。作为国家宏观调控的重要工具之一,地方政府举债如何避免政策冲突并最大化政策组合效力,是当前亟待深入研究的重要课题。本文通过构建包含金融摩擦、多期债券和举债规则等要素在内的NK-DSGE模型,深入剖析地方政府举债的货币效应和传导机制,并探讨其与货币政策协同配合的最佳模式。研究发现:(1)1%的地方政府举债冲击(债券久期=5年)会推动货币乘数上升0.39%,产生货币扩张效应,且债券久期越长,该扩张效应越大;(2)面对实体冲击和金融冲击,货币政策对地方政府举债采取适度从紧的反向协同配合,能有效抑制其货币扩张效应,更好地实现经济稳定和复苏;(3)对于久期较长的债券,提高地方政府举债规则的风险反应敏感度有利于增进福利。     

射频宽带低噪声放大器的设计与仿真

介绍了一种射频宽带低噪声放大器的设计过程,包括稳定性分析、偏置电路设计和匹配电路设计等内容.设计采用E-PHEMT晶体管(ATF-55143)器件模型和其他元件模型.通过采用ADS技术进行电路和电磁仿真,结果表明设计的放大器完全满足性能指标要求.     

The identification of destabilizing foreign exchange speculation

This paper develops a technique for directly identifying destabilizing speculation. It shows that previous techniques that have been used in the empirical foreign exchange market literature cannot correctly identify whether or not destabilizing speculation has occurred. It is shown that the ‘true’ underlying model that determines the exchange rate (or any price) must be known before the stability of speculation can be determined empirically. Two appendices are included that (a) present an example of a correct empirical test for the 1973–1975 foreign exchange markets, and (b) show how a rational expectations framework could be used to analyze the question.     

Using Box-Jenkins techniques in sales forecasting

This study analyzes the form, stability, and accuracy of Box-Jenkins forecasting models developed for 27 sales series. The order of autoregressive, differencing, and moving average factors is shown for each complete model along with “goodness of fit” criteria. Forecasting models are then presented for a reduced data set and accuracy is compared with seasonally adjusted linear regressions. The results suggest that Box-Jenkins models are often unstable, “goodness of fit” criteria are a poor guide to the best forecasting models, log transforms do not improve accuracy, and Box-Jenkins forecasts are usually (but not always) better than projections made with linear regression techniques.