A general equilibrium framework for the affine class of term structure models

The Duffie and Kan (1966) model, which can be considered as the most general affine term structure formulation, was originally specified in terms of risk-adjusted stochastic processes for its state variables. The goal of the present paper is to derive a Duffie and Kan (1966) modelp8yp8glrcl/xxlarge8217.gif" alt="rsquo" align="BASELINE" BORDER="0"> specification under the physical probability measure that is compatible with the formulation given by the authors under the equivalent martingale (p8yp8glrcl/xxlarge8220.gif" alt="ldquo" align="MIDDLE" BORDER="0">money market accountp8yp8glrcl/xxlarge8221.gif" alt="rdquo" align="MIDDLE" BORDER="0">) measure. For that purpose, the Duffie and Kan (1966) model will be fitted into a general equilibrium monetary framework. The resulting analytical solution for the vector of factorp8yp8glrcl/xxlarge8217.gif" alt="rsquo" align="BASELINE" BORDER="0"> risk premiums enables the econometric estimation of the modelp8yp8glrcl/xxlarge8217.gif" alt="rsquo" align="BASELINE" BORDER="0"> parameters using a p8yp8glrcl/xxlarge8220.gif" alt="ldquo" align="MIDDLE" BORDER="0">time-seriesp8yp8glrcl/xxlarge8221.gif" alt="rdquo" align="MIDDLE" BORDER="0"> or a p8yp8glrcl/xxlarge8220.gif" alt="ldquo" align="MIDDLE" BORDER="0">panel-datap8yp8glrcl/xxlarge8221.gif" alt="rdquo" align="MIDDLE" BORDER="0"> approach, and nests, as special cases, several other specifications already proposed in the literature.Received: November 2002, Accepted: February 2004, JEL Classification: E43, G11, G12Financial support by FCTp8yp8glrcl/xxlarge8217.gif" alt="rsquo" align="BASELINE" BORDER="0">s research grant PRAXISXXI/BD/5712/95 is gratefully acknowledged.     

机载航电系统射频信道健康表征及影响评估

提出了基于失效模式影响及危害性分析（FMECA）、故障树分析（FTA）和历史案例的 健康表征参数选取原则和方法,探讨了基于隐马尔可夫模型（HMM）和贝叶斯的健康表征方 法及其应用。结合机载航电系统综合化射频信道架构,通过建立的模型对射频信道的健康影 响进行了初步分析,得到了射频信道健康表征的优先参量。基于射频信道的健康表征参量和 影响评估方法的研究对促进开展先进战斗机健康管理技术研究具有重要意义。