Tree-based models have been widely applied in both academic and industrial settings due to the natural interpretability, good predictive accuracy, and high scalability. In this paper, we focus on improving the single-...Tree-based models have been widely applied in both academic and industrial settings due to the natural interpretability, good predictive accuracy, and high scalability. In this paper, we focus on improving the single-tree method and propose the segmented linear regression trees(SLRT) model that replaces the traditional constant leaf model with linear ones. From the parametric view, SLRT can be employed as a recursive change point detect procedure for segmented linear regression(SLR) models,which is much more efficient and flexible than the traditional grid search method. Along this way,we propose to use the conditional Kendall's τ correlation coefficient to select the underlying change points. From the non-parametric view, we propose an efficient greedy splitting method that selects the splits by analyzing the association between residuals and each candidate split variable. Further, with the SLRT as a single-tree predictor, we propose a linear random forest approach that aggregates the SLRTs by a weighted average. Both simulation and empirical studies showed significant improvements than the CART trees and even the random forest.展开更多
We investigate global temperature data produced by the Climate Research Unit at the University of East Anglia (CRU) and the Berkeley Earth Surface Temperature consortium (BEST). We first fit the 1850-2010 data with po...We investigate global temperature data produced by the Climate Research Unit at the University of East Anglia (CRU) and the Berkeley Earth Surface Temperature consortium (BEST). We first fit the 1850-2010 data with polynomials of degrees 1 to 9. A significant ~60-yr oscillation is accounted for as soon as degree 4 is reached. This oscillation is even better modeled as a broken line, more precisely a series of ~30-yr long linear segments, with slope breaks (singularities) in ~1904, ~1940, and ~1974 (±3 yr), and a possible recent occurrence at the turn of the 20th century. Oceanic indices PDO (Pacific Decadal Oscillation) and AMO (Atlantic Multidecadal Oscillation) have undergone major changes (respectively of sign and slope) roughly at the same times as the temperature slope breaks. This can be interpreted with a system of oceanic non-linear coupled oscillators with abrupt mode shifts. Thus, the Earth’s climate may have entered a new mode (a new ~30-yr episode) near the turn of the 20th century: no further temperature increase, a dominantly negative PDO index and a decreasing AMO index might be expected for the next decade or two.展开更多
We investigate the linear momentum density of light, which can be decomposed into spin and orbital parts, in the complex three-dimensional field distributions of tightly focused vortex segmented beams. The chosen angu...We investigate the linear momentum density of light, which can be decomposed into spin and orbital parts, in the complex three-dimensional field distributions of tightly focused vortex segmented beams. The chosen angular spectrum exhibits two spatially separated vortices of opposite charge and orthogonal circular polarization to generate phase vortices in a meridional plane of observation. In the vicinity of those vortices, regions of negative orbital linear momentum occur. Besides these phase vortices, the occurrence of transverse orbital angular momentum manifests in a vortex charge-dependent relative shift of the energy density and linear momentum density.展开更多
Several improvements have been made to the conventional segmented linear light-emitting diode （LED） driver topology to enhance the performance and reliability of the system. A compensation technology is proposed to ...Several improvements have been made to the conventional segmented linear light-emitting diode （LED） driver topology to enhance the performance and reliability of the system. A compensation technology is proposed to adaptively adjust the impedance of the sensing circuit to keep the output luminance constant in case of line volt- age variations. Based on the proposed technology, an active over temperature protection technique is presented to constrain the averaged LED current according to the junction temperature to prevent the driving IC from overheating. Otherwise, a pulse width modulation dimming circuitry which is compatible with input logic level ranging from 1.8 to 20 V is proposed. The proposed technologies are implemented in a 1.0μm 5/20/500 V BCD technol- ogy with three high voltage MOSFETs integrated on chip. The experimental results show that within 220± 15% V, 50 Hz AC line-voltage variation, the output luminance is restrained to 4% in total. The output luminance can also be effectively controlled by the PWM dimming circuitry, and a dimming range of 95% is achieved with good linearity.展开更多
Hedge funds have recently become popular because of their low correlation with traditional investments and their ability to generate positive returns with a relatively low volatility.However,a close look at those high...Hedge funds have recently become popular because of their low correlation with traditional investments and their ability to generate positive returns with a relatively low volatility.However,a close look at those high-performing hedge funds raises the questions on whether their performance is truly superior and whether the high management fees are justified.Incurring no alpha costs,passive hedge fund replication strategies raise the question on whether they can similarly perform by improving efficiency at reduced costs.Therefore,this study investigates two different model approaches for the equity long/short strategy,where weighted segmented linear regression models are employed and combined with two-state Markov switching models.The main finding proves a short put option structure,i.e.,short equity market volatility,with the put structure present in all market states.We obtain an evidence that the hedge fund managers decrease their short-volatility profile during turbulent markets.展开更多
文摘Tree-based models have been widely applied in both academic and industrial settings due to the natural interpretability, good predictive accuracy, and high scalability. In this paper, we focus on improving the single-tree method and propose the segmented linear regression trees(SLRT) model that replaces the traditional constant leaf model with linear ones. From the parametric view, SLRT can be employed as a recursive change point detect procedure for segmented linear regression(SLR) models,which is much more efficient and flexible than the traditional grid search method. Along this way,we propose to use the conditional Kendall's τ correlation coefficient to select the underlying change points. From the non-parametric view, we propose an efficient greedy splitting method that selects the splits by analyzing the association between residuals and each candidate split variable. Further, with the SLRT as a single-tree predictor, we propose a linear random forest approach that aggregates the SLRTs by a weighted average. Both simulation and empirical studies showed significant improvements than the CART trees and even the random forest.
基金financial support from IPGP as part of the IEPT RAS-IPGP cooperation.IPGP Contribution NS 3391.
文摘We investigate global temperature data produced by the Climate Research Unit at the University of East Anglia (CRU) and the Berkeley Earth Surface Temperature consortium (BEST). We first fit the 1850-2010 data with polynomials of degrees 1 to 9. A significant ~60-yr oscillation is accounted for as soon as degree 4 is reached. This oscillation is even better modeled as a broken line, more precisely a series of ~30-yr long linear segments, with slope breaks (singularities) in ~1904, ~1940, and ~1974 (±3 yr), and a possible recent occurrence at the turn of the 20th century. Oceanic indices PDO (Pacific Decadal Oscillation) and AMO (Atlantic Multidecadal Oscillation) have undergone major changes (respectively of sign and slope) roughly at the same times as the temperature slope breaks. This can be interpreted with a system of oceanic non-linear coupled oscillators with abrupt mode shifts. Thus, the Earth’s climate may have entered a new mode (a new ~30-yr episode) near the turn of the 20th century: no further temperature increase, a dominantly negative PDO index and a decreasing AMO index might be expected for the next decade or two.
文摘We investigate the linear momentum density of light, which can be decomposed into spin and orbital parts, in the complex three-dimensional field distributions of tightly focused vortex segmented beams. The chosen angular spectrum exhibits two spatially separated vortices of opposite charge and orthogonal circular polarization to generate phase vortices in a meridional plane of observation. In the vicinity of those vortices, regions of negative orbital linear momentum occur. Besides these phase vortices, the occurrence of transverse orbital angular momentum manifests in a vortex charge-dependent relative shift of the energy density and linear momentum density.
基金Project supported by the National Natural Science Foundation of China(No.61106026)
文摘Several improvements have been made to the conventional segmented linear light-emitting diode （LED） driver topology to enhance the performance and reliability of the system. A compensation technology is proposed to adaptively adjust the impedance of the sensing circuit to keep the output luminance constant in case of line volt- age variations. Based on the proposed technology, an active over temperature protection technique is presented to constrain the averaged LED current according to the junction temperature to prevent the driving IC from overheating. Otherwise, a pulse width modulation dimming circuitry which is compatible with input logic level ranging from 1.8 to 20 V is proposed. The proposed technologies are implemented in a 1.0μm 5/20/500 V BCD technol- ogy with three high voltage MOSFETs integrated on chip. The experimental results show that within 220± 15% V, 50 Hz AC line-voltage variation, the output luminance is restrained to 4% in total. The output luminance can also be effectively controlled by the PWM dimming circuitry, and a dimming range of 95% is achieved with good linearity.
文摘Hedge funds have recently become popular because of their low correlation with traditional investments and their ability to generate positive returns with a relatively low volatility.However,a close look at those high-performing hedge funds raises the questions on whether their performance is truly superior and whether the high management fees are justified.Incurring no alpha costs,passive hedge fund replication strategies raise the question on whether they can similarly perform by improving efficiency at reduced costs.Therefore,this study investigates two different model approaches for the equity long/short strategy,where weighted segmented linear regression models are employed and combined with two-state Markov switching models.The main finding proves a short put option structure,i.e.,short equity market volatility,with the put structure present in all market states.We obtain an evidence that the hedge fund managers decrease their short-volatility profile during turbulent markets.
