不同层次货币供给与消费波动的关联效应比较——来自我国频域的经济证据

利用我国改革开放30年以来的月度数据,从频域的视角量化及比较分析了三个不同层次货币供给和实质消费波动间的关联效应。谱分析结果表明:我国各层次货币供给与消费波动均存在长短不一的周期波动;随着货币层次的变化,消费与货币供给波动间的相关性沿频率梯度做出规律的响应;佐证了M0与消费相关关系最为密切,其次为M1和M2这一经典命题在我国的成立;不同层次货币供给与消费波动间的时差存在差异,且亦与波动频率密切相关。     

结合独立分量分析和支持向量机的遥感影像土地覆盖分类

在高分辨率遥感影像中地物的光谱分布非常复杂,同质异谱、异谱同质的现象广泛存在,相互混杂的光谱使得传统的光谱解译方法面临困难。独立分量分析是由信源分离技术发展起来的智能信号处理方法,可将多通道信号按照统计独立的原则通过优化算法分解为若干独立成分,将其引入到高分辨率遥感影像处理中．可以减少地物光谱分布的混杂性,增强目标和背景的反差,从而提高分类精度。支持向量机是在统计学习理论基础上发展出的一种新的模式识别方法,本文将其与独立分量分析结合对高分辨率影像进行分类,以北京地区QuickBird多光谱影像为例,实验证明该方法能有效提高高分辨率影像的分类精度．     

机制纸与手抄纸及其印品老化过程研究

探索纸张本身颜色和印刷品颜色随环境条件变化而变化的规律,对于纸张的使用和保存甚至文物的保存都有一定的意义。实验中选取三种纸张和三原色油墨,通过IGT印刷适性仪进行打样,分别将样条置入氙弧灯老化仪中在一定条件下进行老化后,使用分光光度计对老化前后样条的L＊、a＊、b＊值进行测量,计算得出色差ΔE,并绘出老化时间与色差关系曲线。同时,观察光谱反射率曲线变化,再利用拉曼光谱仪测量其谱图变化。研究结果表明,纸张本身和印品样条在老化前后产生色差,纸张本身的光谱反射率也产生一定变化,而印刷品光谱反射率曲线无明显变化,且纸张分子结构未发生变化,但拉曼强度增强。     

Spectral calibration of exponential Lévy models

We investigate the problem of calibrating an exponential Lévy model based on market prices of vanilla options. We show that this inverse problem is in general severely ill-posed and we derive exact minimax rates of convergence. The estimation procedure we propose is based on the explicit inversion of the option price formula in the spectral domain and a cut-off scheme for high frequencies as regularisation.     

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.     

The analysis of foreign exchange data using waveform dictionaries

This paper uses waveform dictionaries to decompose the signals contained within three foreign exchange rates using tick-by-tick observations obtained world wide. The three exchange rates examined are the Japanese Yen and the German Deutsche Mark against the U.S. dollar and the Deutsche Mark against the Yen. The data were provided by Olsen Associates.A wabeform dictionary is a class of transforms that generalizes both windowed Fourier transforms and wavelets. Each waveform is parameterized by location, frequency, and scale. Such transforms can analyze signals that have highly localized structures in either time or frequency space as well as broad band structures; that is, waveforms can, in principle, detect everything from shocks represented by Dirac Delta functions, to short bursts of energy within a narrow band of frequencies, to the presence of frequencies that occur sporadically, and finally to the presence of frequencies that hold over the entire observed period. Waveform dictionaries are most useful in analyzing data that are not stationary and non-stationarity up to second order is well recognized in the context of foreign exchange rates.     

On asymptotic properties of Bonus–Malus systems based on the number and on the size of the claims

A general framework for a Bonus–Malus system (BMS) based on the number and the size of the claims is presented, the set of the bonus classes being an interval [a,?b], say 0<a<1<b. The BMS is interpreted as a general Markov chain with state space [a,?b]. It turns out that, under certain assumptions, the Markov chain possesses an invariant limit distribution to which it converges with a geometric rate. We show how the invariant distribution can be evaluated by means of simulation. We also deal with the best possible convergence rate and show how it can be presented by means of the spectral theory of Banach spaces.