Statistical properties of winds near the Taichung Harbour are investigated. The 26 years'incomplete data of wind speeds, measured on an hourly basis, are used as reference. The possibility of imputation using simu...Statistical properties of winds near the Taichung Harbour are investigated. The 26 years'incomplete data of wind speeds, measured on an hourly basis, are used as reference. The possibility of imputation using simulated results of the Auto-Regressive (AR), Moving-Average (MA), and/ or Auto-Regressive and Moving-Average (ARMA) models is studied. Predictions of the 25-year extreme wind speeds based upon the augmented data are compared with the original series. Based upon the results, predictions of the 50- and 100-year extreme wind speeds are then made.展开更多
Signal-to-noise ratio（SNR）estimation for signal which can be modeled by Auto-regressive（AR）process is studied in this paper.First,the conventional frequency domain method is introduced to estimate the SNR for the ...Signal-to-noise ratio（SNR）estimation for signal which can be modeled by Auto-regressive（AR）process is studied in this paper.First,the conventional frequency domain method is introduced to estimate the SNR for the received signal in additive white Gauss noise（AWGN）channel.Then a parametric SNR estimation algorithm is proposed by taking advantage of the AR model information of the received signal.The simulation results show that the proposed parametric method has better performance than the conventional frequency doma in method in case of AWGN channel.展开更多
The subset threshold auto regressive (SSTAR) model, which is capable of reproducing the limit cycle behavior of nonlinear time series, is introduced. The algorithm for fitting the sampled data with SSTAR model is pr...The subset threshold auto regressive (SSTAR) model, which is capable of reproducing the limit cycle behavior of nonlinear time series, is introduced. The algorithm for fitting the sampled data with SSTAR model is proposed and applied to model and forecast power load. Numerical example verifies that desirable accuracy of short term load forecasting can be achieved by using the SSTAR model.展开更多
Outbreaks of hand-foot-mouth disease（HFMD） have occurred many times and caused serious health burden in China since 2008. Application of modern information technology to prediction and early response can be helpful ...Outbreaks of hand-foot-mouth disease（HFMD） have occurred many times and caused serious health burden in China since 2008. Application of modern information technology to prediction and early response can be helpful for efficient HFMD prevention and control. A seasonal auto-regressive integrated moving average（ARIMA） model for time series analysis was designed in this study. Eighty-four-month（from January 2009 to December 2015） retrospective data obtained from the Chinese Information System for Disease Prevention and Control were subjected to ARIMA modeling. The coefficient of determination（R^2）, normalized Bayesian Information Criterion（BIC） and Q-test P value were used to evaluate the goodness-of-fit of constructed models. Subsequently, the best-fitted ARIMA model was applied to predict the expected incidence of HFMD from January 2016 to December 2016. The best-fitted seasonal ARIMA model was identified as（1,0,1）（0,1,1）12, with the largest coefficient of determination（R^2=0.743） and lowest normalized BIC（BIC=3.645） value. The residuals of the model also showed non-significant autocorrelations（P_（Box-Ljung（Q））=0.299）. The predictions by the optimum ARIMA model adequately captured the pattern in the data and exhibited two peaks of activity over the forecast interval, including a major peak during April to June, and again a light peak for September to November. The ARIMA model proposed in this study can forecast HFMD incidence trend effectively, which could provide useful support for future HFMD prevention and control in the study area. Besides, further observations should be added continually into the modeling data set, and parameters of the models should be adjusted accordingly.展开更多
This paper is devoted to a study of geometric properties of AR(q) nonlinear regression models. We present geometric frameworks for regression parameter space and autoregression parameter space respectively based on th...This paper is devoted to a study of geometric properties of AR(q) nonlinear regression models. We present geometric frameworks for regression parameter space and autoregression parameter space respectively based on the weighted inner product by fisher information matrix. Several geometric properties related to statistical curvatures are given for the models. The results of this paper extended the work of Bates & Watts(1980,1988)[1.2] and Seber & Wild (1989)[3].展开更多
Based on the weekly closing price of Shenzhen Integrated Index, this article studies the volatility of Shenzhen Stock Market using three different models： Logistic, AR（1） and AR（2）. The time-variable parameters o...Based on the weekly closing price of Shenzhen Integrated Index, this article studies the volatility of Shenzhen Stock Market using three different models： Logistic, AR（1） and AR（2）. The time-variable parameters of Logistic regression model is estimated by using both the index smoothing method and the time-variable parameter estimation method. And both the AR（1） model and the AR（2） model of zero-mean series of the weekly dosing price and its zero-mean series of volatility rate are established based on the analysis results of zero-mean series of the weekly closing price, Six common statistical methods for error prediction are used to test the predicting results. These methods are： mean error （ME）, mean absolute error （MAE）, root mean squared error （RMSE）, mean absolute percentage error （MAPE）, Akaike＇s information criterion （AIC）, and Bayesian information criterion （BIC）. The investigation shows that AR（1） model exhibits the best predicting result, whereas AR（2） model exhibits predicting results that is intermediate between AR（1） model and the Logistic regression model.展开更多
为了解决传统自适应阈值算法对时间序列方差跟踪能力不足,以及故障阶段带宽自动放大的问题,提出了紧广义自回归条件异方差(Compact General Auto-Regressive Conditional Heteroskedasticity,CGARCH)模型。针对液体火箭发动机稳态试车...为了解决传统自适应阈值算法对时间序列方差跟踪能力不足,以及故障阶段带宽自动放大的问题,提出了紧广义自回归条件异方差(Compact General Auto-Regressive Conditional Heteroskedasticity,CGARCH)模型。针对液体火箭发动机稳态试车数据的波动性特点,提出一种基于自回归(Auto-Regressive,AR)模型和CGARCH模型的自适应阈值故障检测算法。采用AR模型对稳态参数的均值进行估计,并采用CGARCH模型对稳态参数的方差进行估计,从而利用均值和方差的估计值自适应地构造检测阈值。用某氢氧火箭发动机的热试车数据进行验证,结果表明,该算法能够准确、快速、灵敏地检测液体火箭发动机故障,在正常工作阶段,能够有效跟踪数据波动性,在故障阶段,能够避免阈值变宽带来的漏检。展开更多
The auto-regressive moving-average (ARMA) model with time-varying parameters is analyzed. The time-varying parameters are assumed to be a linear combination of a set of basis time-varying functions, and the feedbac...The auto-regressive moving-average (ARMA) model with time-varying parameters is analyzed. The time-varying parameters are assumed to be a linear combination of a set of basis time-varying functions, and the feedback linear estimation algorithm is used to estimate the time-varying parameters of the ARMA model. This algorithm includes 2 linear least squares estimations and a linear filter. The influence of the order of basis time-(varying) functions on parameters estimation is analyzed. The method has the advantage of simple, saving computation time and storage space. Theoretical analysis and experimental results show the validity of this method.展开更多
Damage detection in structures is performed via vibra-tion based structural identification. Modal information, such as fre-quencies and mode shapes, are widely used for structural dama-ge detection to indicate the hea...Damage detection in structures is performed via vibra-tion based structural identification. Modal information, such as fre-quencies and mode shapes, are widely used for structural dama-ge detection to indicate the health conditions of civil structures.The deep learning algorithm that works on a multiple layer neuralnetwork model termed as deep autoencoder is proposed to learnthe relationship between the modal information and structural stiff-ness parameters. This is achieved via dimension reduction of themodal information feature and a non-linear regression against thestructural stiffness parameters. Numerical tests on a symmetri-cal steel frame model are conducted to generate the data for thetraining and validation, and to demonstrate the efficiency of theproposed approach for vibration based structural damage detec-tion.展开更多
基金The project is partly supported by the National Science Council, Contract Nos. NSC-89-261 l-E-019-024 (JZY), and NSC-89-2611-E-019-027 (CRC).
文摘Statistical properties of winds near the Taichung Harbour are investigated. The 26 years'incomplete data of wind speeds, measured on an hourly basis, are used as reference. The possibility of imputation using simulated results of the Auto-Regressive (AR), Moving-Average (MA), and/ or Auto-Regressive and Moving-Average (ARMA) models is studied. Predictions of the 25-year extreme wind speeds based upon the augmented data are compared with the original series. Based upon the results, predictions of the 50- and 100-year extreme wind speeds are then made.
基金supported by the National Natural Science Foundation of China under Grant No. 60372022Program for New Century Excellent Talentsin University under Grant No. NCET-05-0806
文摘Signal-to-noise ratio（SNR）estimation for signal which can be modeled by Auto-regressive（AR）process is studied in this paper.First,the conventional frequency domain method is introduced to estimate the SNR for the received signal in additive white Gauss noise（AWGN）channel.Then a parametric SNR estimation algorithm is proposed by taking advantage of the AR model information of the received signal.The simulation results show that the proposed parametric method has better performance than the conventional frequency doma in method in case of AWGN channel.
文摘The subset threshold auto regressive (SSTAR) model, which is capable of reproducing the limit cycle behavior of nonlinear time series, is introduced. The algorithm for fitting the sampled data with SSTAR model is proposed and applied to model and forecast power load. Numerical example verifies that desirable accuracy of short term load forecasting can be achieved by using the SSTAR model.
基金financially supported by the Health and Family Planning Commission of Hubei Province(No.WJ2017F047)the Health and Family Planning Commission of Wuhan(No.WG17D05)
文摘Outbreaks of hand-foot-mouth disease（HFMD） have occurred many times and caused serious health burden in China since 2008. Application of modern information technology to prediction and early response can be helpful for efficient HFMD prevention and control. A seasonal auto-regressive integrated moving average（ARIMA） model for time series analysis was designed in this study. Eighty-four-month（from January 2009 to December 2015） retrospective data obtained from the Chinese Information System for Disease Prevention and Control were subjected to ARIMA modeling. The coefficient of determination（R^2）, normalized Bayesian Information Criterion（BIC） and Q-test P value were used to evaluate the goodness-of-fit of constructed models. Subsequently, the best-fitted ARIMA model was applied to predict the expected incidence of HFMD from January 2016 to December 2016. The best-fitted seasonal ARIMA model was identified as（1,0,1）（0,1,1）12, with the largest coefficient of determination（R^2=0.743） and lowest normalized BIC（BIC=3.645） value. The residuals of the model also showed non-significant autocorrelations（P_（Box-Ljung（Q））=0.299）. The predictions by the optimum ARIMA model adequately captured the pattern in the data and exhibited two peaks of activity over the forecast interval, including a major peak during April to June, and again a light peak for September to November. The ARIMA model proposed in this study can forecast HFMD incidence trend effectively, which could provide useful support for future HFMD prevention and control in the study area. Besides, further observations should be added continually into the modeling data set, and parameters of the models should be adjusted accordingly.
基金Supported by the NSSFC(02BTJ001) Supported by the NSSFC(04BTJ002) Supported by the Grant for Post-Doctorial Fellows in Southeast University
文摘This paper is devoted to a study of geometric properties of AR(q) nonlinear regression models. We present geometric frameworks for regression parameter space and autoregression parameter space respectively based on the weighted inner product by fisher information matrix. Several geometric properties related to statistical curvatures are given for the models. The results of this paper extended the work of Bates & Watts(1980,1988)[1.2] and Seber & Wild (1989)[3].
基金The research is supported by the National Natural Science Foundation of China (60574069)the Soft Science Foundation of Guangdong Province (2005B70101044)
文摘Based on the weekly closing price of Shenzhen Integrated Index, this article studies the volatility of Shenzhen Stock Market using three different models： Logistic, AR（1） and AR（2）. The time-variable parameters of Logistic regression model is estimated by using both the index smoothing method and the time-variable parameter estimation method. And both the AR（1） model and the AR（2） model of zero-mean series of the weekly dosing price and its zero-mean series of volatility rate are established based on the analysis results of zero-mean series of the weekly closing price, Six common statistical methods for error prediction are used to test the predicting results. These methods are： mean error （ME）, mean absolute error （MAE）, root mean squared error （RMSE）, mean absolute percentage error （MAPE）, Akaike＇s information criterion （AIC）, and Bayesian information criterion （BIC）. The investigation shows that AR（1） model exhibits the best predicting result, whereas AR（2） model exhibits predicting results that is intermediate between AR（1） model and the Logistic regression model.
文摘为了解决传统自适应阈值算法对时间序列方差跟踪能力不足,以及故障阶段带宽自动放大的问题,提出了紧广义自回归条件异方差(Compact General Auto-Regressive Conditional Heteroskedasticity,CGARCH)模型。针对液体火箭发动机稳态试车数据的波动性特点,提出一种基于自回归(Auto-Regressive,AR)模型和CGARCH模型的自适应阈值故障检测算法。采用AR模型对稳态参数的均值进行估计,并采用CGARCH模型对稳态参数的方差进行估计,从而利用均值和方差的估计值自适应地构造检测阈值。用某氢氧火箭发动机的热试车数据进行验证,结果表明,该算法能够准确、快速、灵敏地检测液体火箭发动机故障,在正常工作阶段,能够有效跟踪数据波动性,在故障阶段,能够避免阈值变宽带来的漏检。
文摘The auto-regressive moving-average (ARMA) model with time-varying parameters is analyzed. The time-varying parameters are assumed to be a linear combination of a set of basis time-varying functions, and the feedback linear estimation algorithm is used to estimate the time-varying parameters of the ARMA model. This algorithm includes 2 linear least squares estimations and a linear filter. The influence of the order of basis time-(varying) functions on parameters estimation is analyzed. The method has the advantage of simple, saving computation time and storage space. Theoretical analysis and experimental results show the validity of this method.
文摘Damage detection in structures is performed via vibra-tion based structural identification. Modal information, such as fre-quencies and mode shapes, are widely used for structural dama-ge detection to indicate the health conditions of civil structures.The deep learning algorithm that works on a multiple layer neuralnetwork model termed as deep autoencoder is proposed to learnthe relationship between the modal information and structural stiff-ness parameters. This is achieved via dimension reduction of themodal information feature and a non-linear regression against thestructural stiffness parameters. Numerical tests on a symmetri-cal steel frame model are conducted to generate the data for thetraining and validation, and to demonstrate the efficiency of theproposed approach for vibration based structural damage detec-tion.
