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Estimation of the probability of informed trading models via an expectation‑conditional maximization algorithm
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作者 Montasser Ghachem Oguz Ersan 《Financial Innovation》 2025年第1期1860-1896,共37页
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
关键词 expectation conditional-maximization algorithm ECM PIN model MPIN Multilayer probability of informed trading Adjusted PIN model Maximum-likelihood estimation Private information Information asymmetry
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A-Posteriori Error Estimation for the Legendre Spectral Galerkin Method in One-Dimension
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作者 Lijun Yi Benqi Guo 《Numerical Mathematics(Theory,Methods and Applications)》 SCIE 2010年第1期40-52,共13页
In this paper, a-posteriori error estimators are proposed for the Legendre spectral Galerkin method for two-point boundary value problems. The key idea is to postprocess the Galerkin approximation, and the analysis sh... In this paper, a-posteriori error estimators are proposed for the Legendre spectral Galerkin method for two-point boundary value problems. The key idea is to postprocess the Galerkin approximation, and the analysis shows that the postproeess improves the order of convergence. Consequently, we obtain asymptotically exact aposteriori error estimators based on the postprocessing results. Numerical examples are included to illustrate the theoretical analysis. 展开更多
关键词 Legendre spectral Galerkin method two-point boundary value problem SUPERCONVERGENCE a-posteriori error estimation.
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A-posteriori error estimation for second order mechanical systems
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作者 Thomas Ruiner Jrg Fehr +1 位作者 Bernard Haasdonk Peter Eberhard 《Acta Mechanica Sinica》 SCIE EI CAS CSCD 2012年第3期854-862,共9页
One important issue for the simulation of flexible multibody systems is the reduction of the flexible bodies de- grees of freedom. As far as safety questions are concerned knowledge about the error introduced by the r... One important issue for the simulation of flexible multibody systems is the reduction of the flexible bodies de- grees of freedom. As far as safety questions are concerned knowledge about the error introduced by the reduction of the flexible degrees of freedom is helpful and very important. In this work, an a-posteriori error estimator for linear first order systems is extended for error estimation of me- chanical second order systems. Due to the special second order structure of mechanical systems, an improvement of the a-posteriori error estimator is achieved. A major advan- tage of the a-posteriori error estimator is that the estimator is independent of the used reduction technique. Therefore, it can be used for moment-matching based, Gramian matrices based or modal based model reduction techniques. The capability of the proposed technique is demon- strated by the a-posteriori error estimation of a mechanical system, and a sensitivity analysis of the parameters involved in the error estimation process is conducted. 展开更多
关键词 a-posteriori error estimator. Flexible multibodysystems Model reduction
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E-Bayesian estimation for competing risk model under progressively hybrid censoring 被引量:3
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作者 Min Wu Yimin Shi Yan Wang 《Journal of Systems Engineering and Electronics》 SCIE EI CSCD 2016年第4期936-944,共9页
This paper considers the Bayesian and expected Bayesian(E-Bayesian) estimations of the parameter and reliability function for competing risk model from Gompertz distribution under Type-I progressively hybrid censori... This paper considers the Bayesian and expected Bayesian(E-Bayesian) estimations of the parameter and reliability function for competing risk model from Gompertz distribution under Type-I progressively hybrid censoring scheme(PHCS). The estimations are obtained based on Gamma conjugate prior for the parameter under squared error(SE) and Linex loss functions. The simulation results are provided for the comparison purpose and one data set is analyzed. 展开更多
关键词 Bayesian estimation expected Bayesian(E-Bayesian) estimation Gompertz distribution Type-I progressively hybrid censoring
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Noise estimation and filtering method of MEMS gyroscope based on EMMAP 被引量:1
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作者 CHEN Guangwu YU Yue +1 位作者 LI Wenyuan LIU Hao 《Journal of Measurement Science and Instrumentation》 CAS CSCD 2021年第2期170-176,共7页
Aiming at the problems of low measurement accuracy,uncertainty and nonlinearity of random noise of the micro electro mechanical system(MEMS)gyroscope,a gyroscope noise estimation and filtering method is proposed,which... Aiming at the problems of low measurement accuracy,uncertainty and nonlinearity of random noise of the micro electro mechanical system(MEMS)gyroscope,a gyroscope noise estimation and filtering method is proposed,which combines expectation maximum(EM)with maximum a posterior(MAP)to form an adpative unscented Kalman filter(UKF),called EMMAP-UKF.According to the MAP estimation principle,a suboptimal unbiased MAP noise statistical estimation model is constructed.Then,EM algorithm is introduced to transform the noise estimation problem into the mathematical expectation maximization problem,which can dynamically adjust the variance of the observed noise.Finally,the estimation and filtering of gyroscope random drift error can be realized.The performance of the gyro noise filtering method is evaluated by Allan variance,and the effectiveness of the method is verified by hardware-in-the-loop simulation. 展开更多
关键词 micro electro mechanical system(MEMS)gyroscope expectation maximization(EM)algorithm noise estimation unscented Kalman filter(UKF)
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A Robust Gaussian Mixture Model for Mobile Robots’ Vision-based Pose Estimation 被引量:4
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作者 Chuanqi CHENG Xiangyang HAO +2 位作者 Jiansheng LI Peng HU Xu ZHANG 《Journal of Geodesy and Geoinformation Science》 2019年第3期79-90,共12页
In dynamic environments, the moving landmarks can make the accuracy of traditional vision-based pose estimation worse or even failure. To solve this problem, a robust Gaussian mixture model for vision-based pose estim... In dynamic environments, the moving landmarks can make the accuracy of traditional vision-based pose estimation worse or even failure. To solve this problem, a robust Gaussian mixture model for vision-based pose estimation is proposed. The motion index is added to the traditional graph-based vision-based pose estimation model to describe landmarks’ moving probability, transforming the classic Gaussian model to Gaussian mixture model, which can reduce the influence of moving landmarks for optimization results. To improve the algorithm’s robustness to noise, the covariance inflation model is employed in residual equations. The expectation maximization method for solving the Gaussian mixture problem is derived in detail, transforming the problem into classic iterative least square problem. Experimental results demonstrate that in dynamic environments, the proposed method outperforms the traditional method both in absolute accuracy and relative accuracy, while maintains high accuracy in static environments. The proposed method can effectively reduce the influence of the moving landmarks in dynamic environments, which is more suitable for the autonomous localization of mobile robots. 展开更多
关键词 VISION-BASED navigation graph optimization POSE estimation COVARIANCE INFLATION expectATION MAXIMIZATION
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Channel estimation for MIMO-OFDM systems in rapid fading channels 被引量:1
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作者 吴赟 罗汉文 +1 位作者 宋文涛 黄建国 《Journal of Shanghai University(English Edition)》 CAS 2007年第3期278-282,共5页
A channel estimation approach for orthogonal frequency division multiplexing with multiple-input and multipleoutput (MIMO-OFDM) in rapid fading channels is proposed. This approach combines the advantages of an optim... A channel estimation approach for orthogonal frequency division multiplexing with multiple-input and multipleoutput (MIMO-OFDM) in rapid fading channels is proposed. This approach combines the advantages of an optimal training sequence based least-square (OLS) algorithm and an expectation-maximization (EM) algorithm. The channels at the training blocks are estimated using an estimator based on the OLS algorithm. To compensate for the fast Rayleigh fading at the data blocks, a time domain based Gaussian interpolation filter is presented. Furthermore, an EM algorithm is introduced to improve the performance of channel estimation by a few iterations. Simulations show that this channel estimation approach can effectively track rapid channel variation. 展开更多
关键词 channel estimation MIMO-OFDM expectation-maximization (EM) least square (LS).
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Quantitative Estimation of Experts’Judgments on Petroleum Exploration
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作者 Zhang Zaixu University of Petroleum, Dongying, Shandong 257062, P. R. China 《Journal of Systems Engineering and Electronics》 SCIE EI CSCD 1997年第4期61-66,共6页
A new method in making judgment matrix is proposed based on a basic value of “importance” and a relative measure level of “importance”. Factors affecting petroleum exploration are analyzed and Experts’ judgment m... A new method in making judgment matrix is proposed based on a basic value of “importance” and a relative measure level of “importance”. Factors affecting petroleum exploration are analyzed and Experts’ judgment matrix on a geologic formation is given. Expected value of each factor is computed and the volume of recoverable oil is estimated. 展开更多
关键词 Judgment matrix Analytic hierarchy process Petroleum exploration Quantitative estimation expected value.
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Enhanced EM-based channel estimation for MIMO-OFDM in highly mobile channels
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作者 陈东华 仇洪冰 《Journal of Beijing Institute of Technology》 EI CAS 2011年第1期87-93,共7页
An enhanced expectation maximization ( with channel time variation is proposed for mobile EM) based iterative channel estimator for coping multiple input multi output orthogonal frequency division multiplexing (MIM... An enhanced expectation maximization ( with channel time variation is proposed for mobile EM) based iterative channel estimator for coping multiple input multi output orthogonal frequency division multiplexing (MIMO OFDM) systems. In the proposed scheme, the recursive least squares (RLS) algorithm is applied to track the time varying channel impulse response (CIR) within several symbols. By using the tracked time varying CIR, the ICI are constructed and then cancelled from the received signal, thus reducing their impactions on the channel estimation. Moreover, based on an o ver sampled complex exponential basis expansion model ( OCE BEM), an improved channel predic tor is derived in order to improve the initial channel estimates accuracy of the iterative estimator. Simulation results show that ying scenarios with a smaller the proposed scheme outperforms the classic counterpart in time var cost of complexity. 展开更多
关键词 multiple input multiple output (MIMO) orthogonal frequency division multiplexing(OFDM) channel estimation expectation maximization (EM) algorithm intercarrier interference
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Sample size re-estimation without un-blinding for time-to-event outcomes in oncology clinical trials 被引量:1
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作者 Lihong Huang Jianling Bai +1 位作者 Hao Yu Feng Chen 《The Journal of Biomedical Research》 CAS CSCD 2018年第1期23-29,共7页
Sample size re-estimation is essential in oncology studies. However, the use of blinded sample size reassessment for survival data has been rarely reported. Based on the density function of the exponential distributio... Sample size re-estimation is essential in oncology studies. However, the use of blinded sample size reassessment for survival data has been rarely reported. Based on the density function of the exponential distribution, an expectation-maximization(EM) algorithm of the hazard ratio was derived, and several simulation studies were used to verify its applications. The method had obvious variation in the hazard ratio estimates and overestimation for the relatively small hazard ratios. Our studies showed that the stability of the EM estimation results directly correlated with the sample size, the convergence of the EM algorithm was impacted by the initial values, and a balanced design produced the best estimates. No reliable blinded sample size re-estimation inference can be made in our studies, but the results provide useful information to steer the practitioners in this field from repeating the same endeavor. 展开更多
关键词 oncology study clinical trial sample size re-estimation expectation-maximization algorithm
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Asymptotic Evaluations of the Stability Index for a Markov Control Process with the Expected Total Discounted Reward Criterion
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作者 Jaime Eduardo Martínez-Sánchez 《American Journal of Operations Research》 2021年第1期62-85,共24页
In this work, for a control consumption-investment process with the discounted reward optimization criteria, a numerical estimate of the stability index is made. Using explicit formulas for the optimal stationary poli... In this work, for a control consumption-investment process with the discounted reward optimization criteria, a numerical estimate of the stability index is made. Using explicit formulas for the optimal stationary policies and for the value functions, the stability index is explicitly calculated and through statistical techniques its asymptotic behavior is investigated (using numerical experiments) when the discount coefficient approaches 1. The results obtained define the conditions under which an approximate optimal stationary policy can be used to control the original process. 展开更多
关键词 Control Consumption-Investment Process Discrete-Time Markov Control Process expected Total Discounted Reward Probabilistic Metrics Stability Index estimation
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Theorem of Logarithm Expectation and Its Application to Prove Sample Correlation Coefficient as Unbiased Estimate
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作者 Loc Nguyen 《Journal of Mathematics and System Science》 2014年第9期605-608,共4页
In statistical theory, a statistic that is function of sample observations is used to estimate distribution parameter. This statistic is called unbiased estimate if its expectation is equal to theoretical parameter. P... In statistical theory, a statistic that is function of sample observations is used to estimate distribution parameter. This statistic is called unbiased estimate if its expectation is equal to theoretical parameter. Proving whether or not a statistic is unbiased estimate is very important but this proof may require a lot of efforts when statistic is complicated function. Therefore, this research facilitates this proof by proposing a theorem which states that the expectation of variable x 〉 0 is u if and only if the limit of logarithm expectation of x approaches logarithm of u. In order to make clear of this theorem, the research gives an example of proving correlation coefficient as unbiased estimate by taking advantages of this theorem. 展开更多
关键词 Logarithm expectation correlation coefficient unbiased estimate
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Joint channel estimation and symbol detection for space-time block code
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作者 单淑伟 罗汉文 宋文涛 《Journal of Systems Engineering and Electronics》 SCIE EI CSCD 2004年第3期266-269,共4页
The simplified joint channel estimation and symbol detection based on the EM (expectation-maximization) algorithm for space-time block code (STBC) are proposed. By assuming channel to be invariant within only one STBC... The simplified joint channel estimation and symbol detection based on the EM (expectation-maximization) algorithm for space-time block code (STBC) are proposed. By assuming channel to be invariant within only one STBC word and utilizing the orthogonal structure of STBC, the computational complexity and cost of this algorithm are both very low, so it is very suitable to implementation in real systems. 展开更多
关键词 space-time block code expectation-maximization algorithm channel estimation symbol detection.
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Maximum Likelihood Estimation for Line Parameters in Distribution Grids Based on Expectation Maximization Algorithm
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作者 Shubhankar Kapoor Adrian G.Wills +1 位作者 Johannes Hendriks Lachlan Blackhall 《Journal of Modern Power Systems and Clean Energy》 2025年第6期2111-2119,共9页
This paper proposes a method for obtaining nonlinear models of distribution grid based on available measurements from the power grid.We formulate a maximum likelihood estimation(MLE)problem that estimates unknown line... This paper proposes a method for obtaining nonlinear models of distribution grid based on available measurements from the power grid.We formulate a maximum likelihood estimation(MLE)problem that estimates unknown line parameters—specifically,the impedance between nodes—using measured voltage magnitudes and net active and reactive power injections at each node.The nonlinear model for the distribution grid uses a nonlinear approximation of the DistFlow model,which includes line losses and is parameterized by the unknown line impedances.We solve the resulting MLE problem using an expectation maximization(EM)algorithm,tailored for the nonlinear model,and provide a numerically robust implementation.The proposed method is demonstrated on the IEEE 37-node test network,and we compare it with the state-of-the-art methods.The proposed method achieves a 70%reduction in voltage error and an error for state variables that is more than 10000 times smaller.A final comparison uses data from a real network,and the proposed method achieves parameter estimates with errors 100 times smaller than competing methods. 展开更多
关键词 Maximum likelihood estimation(MLE) distribution grid parameter estimation expectation maximization(EM).
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A Bayesian expectation maximization algorithm for state estimation of intelligent vehicles considering data loss and noise uncertainty
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作者 Yan WANG Feng TIAN +1 位作者 Jianqiang WANG Keqiang LI 《Science China(Technological Sciences)》 2025年第2期257-268,共12页
Sideslip angle,yaw rate,and vehicle velocity are essential for intelligent vehicle control.Since these vehicle states are not measured directly,some Kalman-based approaches have been developed to estimate these states... Sideslip angle,yaw rate,and vehicle velocity are essential for intelligent vehicle control.Since these vehicle states are not measured directly,some Kalman-based approaches have been developed to estimate these states using in-vehicle sensors.However,the existing studies seldom account for the influence of sensor data loss on estimation accuracy.In addition,the process and measurement noise change during the estimation process because of the various driving conditions.To address these problems,an expectation-maximization robust extended Kalman filter(EMREKF)is proposed.Firstly,a robust extended Kalman filter(REKF)is developed to deal with the impact of missing measurements.Then,an improved expectation maximization(EM)algorithm that considers data loss is presented to update the noise parameter of the REKF dynamically.Finally,the improved EM is fused with the REKF to form the EMREKF to estimate vehicle state.The experimental results demonstrate that the EMREKF outperforms EKF,REKF,and maximum correntropy criterion EKF for various degrees of data loss and the proposed algorithm has a strong adaptive ability to different driving conditions. 展开更多
关键词 intelligent vehicles state estimation expectation maximization method robust extended Kalman filter
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Improved H-infinity channel estimator based on EM for MIMO-OFDM systems 被引量:1
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作者 Peng xu Jinkuan Wang Feng Qi 《Journal of Systems Engineering and Electronics》 SCIE EI CSCD 2011年第4期572-578,共7页
H-infinity estimator is generally implemented in timevariant state-space models, but it leads to high complexity when the model is used for multiple input multiple output with orthogo- hal frequency division multiplex... H-infinity estimator is generally implemented in timevariant state-space models, but it leads to high complexity when the model is used for multiple input multiple output with orthogo- hal frequency division multiplexing (MIMO-OFDM) systems. Thus, an H-infinity estimator over time-invariant system models is pro- posed, which modifies the Krein space accordingly. In order to avoid the large matrix inversion and multiplication required in each OFDM symbol from different transmit antennas, expectation maximization (EM) is developed to reduce the high computational load. Joint estimation over multiple OFDM symbols is used to resist the high pilot overhead generated by the increasing number of transmit antennas. Finally, the performance of the proposed estimator is enhanced via an angle-domain process. Through performance analysis and simulation experiments, it is indicated that the pro- posed algorithm has a better mean square error (MSE) and bit error rate (BER) performance than the optimal least square (LS) estimator. Joint estimation over multiple OFDM symbols can not only reduce the pilot overhead but also promote the channel performance. What is more, an obvious improvement can be obtained by using the angle-domain filter. 展开更多
关键词 multiple input multiple output (MIMO) orthogonalfrequency division multiplexing (OFDM) channel estimation H-INFINITY expectation maximization (EM) angle domain.
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Error Estimator Using Higher Order FEM for an Interface Problem
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作者 Maharavo Randrianarivony 《Applied Mathematics》 2017年第12期1769-1794,共26页
A higher order finite element method is considered to treat an interface problem. The polynomial degree is allowed to be arbitrary but it is fixed for the FEM-variational formulation. We propose an error estimator whi... A higher order finite element method is considered to treat an interface problem. The polynomial degree is allowed to be arbitrary but it is fixed for the FEM-variational formulation. We propose an error estimator which turns out to be efficient and reliable. We demonstrate upper and lower bounds of the error estimator with respect to the exact accuracy. For the transmission problem, the coefficients for the internal and external domains can be highly dissimilar. One major difficulty is the characteristic of the estimator at the interface. The a-posteriori error estimates can be computed very efficiently element by element. To corroborate the theoretical analysis, we report on a few numerical results. 展开更多
关键词 estimATOR a-posteriori Interface TRANSMISSION HIGHER Order FEM RESIDUAL
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Large Deviations for the LS Estimator in Nonlinear Regression Model under Sub-linear Expectations
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作者 Yi WU Xue-jun WANG Li-xin ZHANG 《Acta Mathematicae Applicatae Sinica》 2026年第2期474-488,共15页
In this paper,we investigate some asymptotic properties of the least squares estimator in nonlinear regression model with independent and identically distributed random errors under sub-linear expectations.The large d... In this paper,we investigate some asymptotic properties of the least squares estimator in nonlinear regression model with independent and identically distributed random errors under sub-linear expectations.The large deviation results for the estimator are established under some general conditions.As applications,the results on weak consistency and strong consistency are obtained under the meaning of capacity.A simulation study is also presented to verify the validity of the theoretical results. 展开更多
关键词 least squares estimator nonlinear regression model sub-linear expectation large deviation consistency
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无人机非线性状态估计:扩展精确高斯变分推理学习方法 被引量:1
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作者 刘久富 Elishahidi S.B.Mvungi +3 位作者 汪恒宇 解晖 刘向武 王志胜 《国防科技大学学报》 北大核心 2025年第3期141-150,共10页
针对在对时变非线性系统进行状态估计以及参数学习时估计误差大、抗干扰能力差等问题,提出一种面向非线性系统的精确稀疏高斯变分推理的批量状态估计与参数学习方法。基于高斯变分推理提出损失函数,状态估计问题转化为对真实后验近似问... 针对在对时变非线性系统进行状态估计以及参数学习时估计误差大、抗干扰能力差等问题,提出一种面向非线性系统的精确稀疏高斯变分推理的批量状态估计与参数学习方法。基于高斯变分推理提出损失函数,状态估计问题转化为对真实后验近似问题,并引入需要学习的参数。对状态概率分布的参数使用高斯-牛顿式优化器的方法进行迭代更新,利用Stein引理、协方差矩阵的稀疏性及高斯容积方法得到完整的状态估计迭代方案。使用期望最大化学习测量模型的噪声参数,同时引入逆Wishart先验减少测量噪声和离群值对参数学习以及状态估计结果的影响。通过对无人机仿真模型进行模拟实验,在不加入无人机运动以及测量噪声真实值的情况下,对无人机轨迹能够进行精确的估计,且有效抑制测量噪声和测量离群值对轨迹估计精度带来的影响。 展开更多
关键词 精确稀疏高斯变分推理 非线性系统批量状态估计 参数学习 期望最大化方法 轨迹估计
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多尺度和多层级特征融合的人体姿态估计 被引量:2
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作者 王燕妮 胡敏 +2 位作者 韩世鹏 陈艺瑄 吕昊 《计算机工程与应用》 北大核心 2025年第6期199-209,共11页
人体姿态估计的精度提升通常依赖于特征融合,但是现有特征融合策略往往忽略了尺度特征和层级特征之间的交互作用。为了充分利用不同特征之间的互补性,提出了一种新特征融合策略用以提升人体姿态估计精度,即多尺度和多层级特征融合网络(m... 人体姿态估计的精度提升通常依赖于特征融合,但是现有特征融合策略往往忽略了尺度特征和层级特征之间的交互作用。为了充分利用不同特征之间的互补性,提出了一种新特征融合策略用以提升人体姿态估计精度,即多尺度和多层级特征融合网络(multi-scale and multi-level network,MSLNet)。采用高分辨率网络(high-resolution network,HRNet)作为主干,通过跨尺度信息交互,实现不同分辨率特征图之间的信息交换,获取同时包含细粒度和粗粒度的姿态特征;引入期望最大化注意力-加权双向特征金字塔网络(expectation maximization attention-bidirectional feature pyramid network,EMA-BiFPN),实现多尺度特征融合后的多层级特征聚合,从局部到全局捕捉人体姿态的细节和关联信息;设计由残差结构组成的关键点检测头,完成输出特征的最终融合并提升人体关键点检测准确率。实验结果表明,MSLNet在COCO和MPII数据集上分别取得了75.8%和91.1%的准确率,实现了最优精度,充分验证了MSLNet能够融合尺度和层级之间的互补特征,进而提升人体姿态估计精度。 展开更多
关键词 高分辨率网络(HRNet) 人体姿态估计 期望最大化注意力 双向特征金字塔网络 特征融合
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