We consider the valuation of a correlation option, a two-factor analog of a European call option, under a Hull-White interest rate model with regime switching. More specifically, the model parameters are modulated by ...We consider the valuation of a correlation option, a two-factor analog of a European call option, under a Hull-White interest rate model with regime switching. More specifically, the model parameters are modulated by an observable, continuous-time, finite-state Markov chain. We obtain an integral pricing formula for the correlation option by adopting the techniques of measure changes and inverse Fourier transform. Numerical analysis, via the fast Fourier transform, is provided to illustrate the practical implementation of our model.展开更多
Due to the induced polarization(IP)eff ect,the sign reversal often occurs in timedomain airborne electromagnetic(AEM)data.The inversions that do not consider IP eff ect cannot recover the true umderground electrical s...Due to the induced polarization(IP)eff ect,the sign reversal often occurs in timedomain airborne electromagnetic(AEM)data.The inversions that do not consider IP eff ect cannot recover the true umderground electrical structures.In view of the fact that there are many parameters of airborne induced polarization data in time domain,and the sensitivity diff erence between parameters is large,which brings challenges to the stability and accuracy of the inversion.In this paper,we propose an inversion mehtod for time-domain AEM data with IP effect based on the Pearson correlation constraints.This method uses the Pearson correlation coeffi cient in statistics to characterize the correlation between the resistivity and the chargeability and constructs the Pearson correlation constraints for inverting the objective function to reduce the non uniqueness of inversion.To verify the eff ectiveness of this method,we perform both Occam’s inversion and Pearson correlation constrained inversion on the synthetic data.The experiments show that the Pearson correlation constrained inverison is more accurate and stable than the Occam’s inversion.Finally,we carried out the inversion to a survey dataset with and without IP eff ect.The results show that the data misfit and the continuity of the inverted section are greatly improved when the IP eff ect is considered.展开更多
We propose two variable selection methods in multivariate linear regression with highdimensional covariates.The first method uses a multiple correlation coefficient to fast reduce the dimension of the relevant predict...We propose two variable selection methods in multivariate linear regression with highdimensional covariates.The first method uses a multiple correlation coefficient to fast reduce the dimension of the relevant predictors to a moderate or low level.The second method extends the univariate forward regression of Wang[(2009).Forward regression for ultra-high dimensional variable screening.Journal of the American Statistical Association,104(488),1512–1524.https://doi.org/10.1198/jasa.2008.tm08516]in a unified way such that the variable selection and model estimation can be obtained simultaneously.We establish the sure screening property for both methods.Simulation and real data applications are presented to show the finite sample performance of the proposed methods in comparison with some naive method.展开更多
论文研究了存在信道估计误差及天线相关条件下,上行多用户MIMO中继系统的预编码问题,目标是提升系统的误比特率性能。针对基于放大转发中继技术的上行多用户MIMO中继系统,考虑源-中继和中继-目的端信道中存在的信道估计误差及天线相关,...论文研究了存在信道估计误差及天线相关条件下,上行多用户MIMO中继系统的预编码问题,目标是提升系统的误比特率性能。针对基于放大转发中继技术的上行多用户MIMO中继系统,考虑源-中继和中继-目的端信道中存在的信道估计误差及天线相关,提出一种基于不完全信道状态信息(Channel State Information,CSI)的预编码设计方案。首先根据最小均方误差(Minimum Mean-Squared Error,MMSE)准则设计代价函数,以发射端和中继端最大功率为约束条件,通过理论推导求得中继端和发射端的线性预编码矩阵,最后采用迭代下降法得到接收端处理矩阵的闭式解。数值仿真结果表明,在存在信道估计误差和天线相关的条件下,与现有算法相比,所提算法能有效降低系统的误比特率。展开更多
In this paper,the performance analysis of cooperative space shift keying(SSK)system with dual hop amplify and forward(AF)in receive correlated Rayleigh channel is presented.By means of the performance analysis,a close...In this paper,the performance analysis of cooperative space shift keying(SSK)system with dual hop amplify and forward(AF)in receive correlated Rayleigh channel is presented.By means of the performance analysis,a closed form approximate expression of the average bit error rate(BER)is derived for the performance evaluation.With this expression,in a high signal to noise ratio(SNR)region,a tight closed form asymptotic BER of the system is also derived.It can simplify the calculation of average BER and provide effective evaluation for asymptotic performance.By minimizing this asymptotic BER expression,a suboptimum power allocation(PA)scheme is developed,and the closed form PA coefficients are obtained.Simulation indicates that the suboptimal PA scheme outperforms the conventional equal PA scheme,and its performance is very close to that of the exhaustive search based optimal PA scheme but with low complexity.Moreover,the system performance under the spatially correlated channel is worse than that in spatially independent channel due to the effect of spatial correlation.展开更多
基金This work was supported by the National Natural Science Foundation of China （Grant Nos. 11501211, 11571113, 11231005）, the Program of Shanghai Subject Chief Scientist （14XD1401600）, the 111 Project （B14019）, the Shanghai Pujiang Program （15PJC026）, the Shanghai Philosophy Social Science Planning Office Project （2015EJB002）, the China Postdoctoral Science Foundation （2015M581564）, and the Shanghai Chenguang Plan （15CG22）.
文摘We consider the valuation of a correlation option, a two-factor analog of a European call option, under a Hull-White interest rate model with regime switching. More specifically, the model parameters are modulated by an observable, continuous-time, finite-state Markov chain. We obtain an integral pricing formula for the correlation option by adopting the techniques of measure changes and inverse Fourier transform. Numerical analysis, via the fast Fourier transform, is provided to illustrate the practical implementation of our model.
基金This paper was fi nancially supported by the National Natural Science Foundation of China(Nos.42030806,41774125,41904104,41804098)the Pioneer Project of Chinese Academy of Sciences(No.XDA14020102).
文摘Due to the induced polarization(IP)eff ect,the sign reversal often occurs in timedomain airborne electromagnetic(AEM)data.The inversions that do not consider IP eff ect cannot recover the true umderground electrical structures.In view of the fact that there are many parameters of airborne induced polarization data in time domain,and the sensitivity diff erence between parameters is large,which brings challenges to the stability and accuracy of the inversion.In this paper,we propose an inversion mehtod for time-domain AEM data with IP effect based on the Pearson correlation constraints.This method uses the Pearson correlation coeffi cient in statistics to characterize the correlation between the resistivity and the chargeability and constructs the Pearson correlation constraints for inverting the objective function to reduce the non uniqueness of inversion.To verify the eff ectiveness of this method,we perform both Occam’s inversion and Pearson correlation constrained inversion on the synthetic data.The experiments show that the Pearson correlation constrained inverison is more accurate and stable than the Occam’s inversion.Finally,we carried out the inversion to a survey dataset with and without IP eff ect.The results show that the data misfit and the continuity of the inverted section are greatly improved when the IP eff ect is considered.
文摘We propose two variable selection methods in multivariate linear regression with highdimensional covariates.The first method uses a multiple correlation coefficient to fast reduce the dimension of the relevant predictors to a moderate or low level.The second method extends the univariate forward regression of Wang[(2009).Forward regression for ultra-high dimensional variable screening.Journal of the American Statistical Association,104(488),1512–1524.https://doi.org/10.1198/jasa.2008.tm08516]in a unified way such that the variable selection and model estimation can be obtained simultaneously.We establish the sure screening property for both methods.Simulation and real data applications are presented to show the finite sample performance of the proposed methods in comparison with some naive method.
文摘论文研究了存在信道估计误差及天线相关条件下,上行多用户MIMO中继系统的预编码问题,目标是提升系统的误比特率性能。针对基于放大转发中继技术的上行多用户MIMO中继系统,考虑源-中继和中继-目的端信道中存在的信道估计误差及天线相关,提出一种基于不完全信道状态信息(Channel State Information,CSI)的预编码设计方案。首先根据最小均方误差(Minimum Mean-Squared Error,MMSE)准则设计代价函数,以发射端和中继端最大功率为约束条件,通过理论推导求得中继端和发射端的线性预编码矩阵,最后采用迭代下降法得到接收端处理矩阵的闭式解。数值仿真结果表明,在存在信道估计误差和天线相关的条件下,与现有算法相比,所提算法能有效降低系统的误比特率。
基金supported in part by the Fundamental Research Funds for the Central Universities of NUAA (No.kfjj20180405)the Natural Science Foundation of Jiangsu in China (No. BK20181289)the Six Talent Peaks Project in Jiangsu (No.2015-DZXX-007)
文摘In this paper,the performance analysis of cooperative space shift keying(SSK)system with dual hop amplify and forward(AF)in receive correlated Rayleigh channel is presented.By means of the performance analysis,a closed form approximate expression of the average bit error rate(BER)is derived for the performance evaluation.With this expression,in a high signal to noise ratio(SNR)region,a tight closed form asymptotic BER of the system is also derived.It can simplify the calculation of average BER and provide effective evaluation for asymptotic performance.By minimizing this asymptotic BER expression,a suboptimum power allocation(PA)scheme is developed,and the closed form PA coefficients are obtained.Simulation indicates that the suboptimal PA scheme outperforms the conventional equal PA scheme,and its performance is very close to that of the exhaustive search based optimal PA scheme but with low complexity.Moreover,the system performance under the spatially correlated channel is worse than that in spatially independent channel due to the effect of spatial correlation.
