The estimation of the probability of informed trading(PIN)model and its extensions poses significant challenges owing to various computational problems.To address these issues,we propose a novel estimation method call...The estimation of the probability of informed trading(PIN)model and its extensions poses significant challenges owing to various computational problems.To address these issues,we propose a novel estimation method called the expectation-conditional-maximization(ECM)algorithm,which can serve as an alternative to the existing methods for estimating PIN models.Our method provides optimal estimates for the original PIN model as well as two of its extensions:the multilayer PIN model and the adjusted PIN model,along with its restricted versions.Our results indicate that estimations using the ECM algorithm are generally faster,more accurate,and more memory-efficient than the standard methods used in the literature,making it a robust alternative.More importantly,the ECM algorithm is not limited to the models discussed and can be easily adapted to estimate future extensions of the PIN model.展开更多
提出了一类用于非线性时间序列建模的混合自回归滑动平均模型(MARMA).该模型是由K个平稳或非平稳的ARMA分量经过混合得到的.讨论了MARMA模型的平稳性条件和自相关函数.给出了MARMA模型参数估计的期望极大化(expectation maximization)算...提出了一类用于非线性时间序列建模的混合自回归滑动平均模型(MARMA).该模型是由K个平稳或非平稳的ARMA分量经过混合得到的.讨论了MARMA模型的平稳性条件和自相关函数.给出了MARMA模型参数估计的期望极大化(expectation maximization)算法.运用贝叶斯信息准则(Bayes information criterion)来选择该模型.MARMA模型分布形式富于变化的特征使得它能够对具有多峰分布以及条件异方差的序列进行建模.通过两个实例验证了该模型,并和其他模型进行比较,结果表明MARMA模型能够更好地描述这些数据的特征.展开更多
In order to resolve direction finding problems in the impulse noise,a direction of arrival(DOA)estimation method is proposed.The proposed DOA estimation method can restrain the impulse noise by using infinite norm exp...In order to resolve direction finding problems in the impulse noise,a direction of arrival(DOA)estimation method is proposed.The proposed DOA estimation method can restrain the impulse noise by using infinite norm exponential kernel covariance matrix and obtain excellent performance via the maximumlikelihood(ML)algorithm.In order to obtain the global optimal solutions of this method,a quantum electromagnetic field optimization(QEFO)algorithm is designed.In view of the QEFO algorithm,the proposed method can resolve the difficulties of DOA estimation in the impulse noise.Comparing with some traditional DOA estimation methods,the proposed DOA estimation method shows high superiority and robustness for determining the DOA of independent and coherent sources,which has been verified via the Monte-Carlo experiments of different schemes,especially in the case of snapshot deficiency,low generalized signal to noise ratio(GSNR)and strong impulse noise.Beyond that,the Cramer-Rao bound(CRB)of angle estimation in the impulse noise and the proof of the convergence of the QEFO algorithm are provided in this paper.展开更多
The“distance-loss”model is amended by inserting a random distance-estimation variable.The estimation error is very small;thus,it does not change the log-normal distribution of the shadowing factor in the model.Then,...The“distance-loss”model is amended by inserting a random distance-estimation variable.The estimation error is very small;thus,it does not change the log-normal distribution of the shadowing factor in the model.Then,an iterative method is introduced to reduce the influence of shadowing,and the location estimation based on the received signal strength will be improved.Simulations show that this algorithm is effective.展开更多
基金supported by the Scientific and Technological Research Council of Turkey(TUBITAK)[grant no 122K637].
文摘The estimation of the probability of informed trading(PIN)model and its extensions poses significant challenges owing to various computational problems.To address these issues,we propose a novel estimation method called the expectation-conditional-maximization(ECM)algorithm,which can serve as an alternative to the existing methods for estimating PIN models.Our method provides optimal estimates for the original PIN model as well as two of its extensions:the multilayer PIN model and the adjusted PIN model,along with its restricted versions.Our results indicate that estimations using the ECM algorithm are generally faster,more accurate,and more memory-efficient than the standard methods used in the literature,making it a robust alternative.More importantly,the ECM algorithm is not limited to the models discussed and can be easily adapted to estimate future extensions of the PIN model.
文摘提出了一类用于非线性时间序列建模的混合自回归滑动平均模型(MARMA).该模型是由K个平稳或非平稳的ARMA分量经过混合得到的.讨论了MARMA模型的平稳性条件和自相关函数.给出了MARMA模型参数估计的期望极大化(expectation maximization)算法.运用贝叶斯信息准则(Bayes information criterion)来选择该模型.MARMA模型分布形式富于变化的特征使得它能够对具有多峰分布以及条件异方差的序列进行建模.通过两个实例验证了该模型,并和其他模型进行比较,结果表明MARMA模型能够更好地描述这些数据的特征.
基金supported by the National Natural Science Foundation of China(61571149)the Natural Science Foundation of Heilongjiang Province(LH2020F017)+1 种基金the Initiation Fund for Postdoctoral Research in Heilongjiang Province(LBH-Q19098)the Heilongjiang Province Key Laboratory of High Accuracy Satellite Navigation and Marine Application Laboratory(HKL-2020-Y01).
文摘In order to resolve direction finding problems in the impulse noise,a direction of arrival(DOA)estimation method is proposed.The proposed DOA estimation method can restrain the impulse noise by using infinite norm exponential kernel covariance matrix and obtain excellent performance via the maximumlikelihood(ML)algorithm.In order to obtain the global optimal solutions of this method,a quantum electromagnetic field optimization(QEFO)algorithm is designed.In view of the QEFO algorithm,the proposed method can resolve the difficulties of DOA estimation in the impulse noise.Comparing with some traditional DOA estimation methods,the proposed DOA estimation method shows high superiority and robustness for determining the DOA of independent and coherent sources,which has been verified via the Monte-Carlo experiments of different schemes,especially in the case of snapshot deficiency,low generalized signal to noise ratio(GSNR)and strong impulse noise.Beyond that,the Cramer-Rao bound(CRB)of angle estimation in the impulse noise and the proof of the convergence of the QEFO algorithm are provided in this paper.
基金supported by the National Natural Science Foundation of China (No.60172021).
文摘The“distance-loss”model is amended by inserting a random distance-estimation variable.The estimation error is very small;thus,it does not change the log-normal distribution of the shadowing factor in the model.Then,an iterative method is introduced to reduce the influence of shadowing,and the location estimation based on the received signal strength will be improved.Simulations show that this algorithm is effective.
