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变转速下滚动轴承阶比峭度图法故障特征提取 被引量:7
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作者 柏林 甄杰 +1 位作者 彭畅 徐冠基 《振动.测试与诊断》 EI CSCD 北大核心 2016年第4期653-658,807,共6页
结合传统阶比分析和峭度图算法的优势,利用计算阶比跟踪方法将时域非平稳信号转换为角域平稳信号,并利用峭度指标准确表征滚动轴承振动信号中的故障瞬态冲击大小,提出了阶比峭度图算法。仿真故障信号及实测滚动轴承外圈故障信号分析结... 结合传统阶比分析和峭度图算法的优势,利用计算阶比跟踪方法将时域非平稳信号转换为角域平稳信号,并利用峭度指标准确表征滚动轴承振动信号中的故障瞬态冲击大小,提出了阶比峭度图算法。仿真故障信号及实测滚动轴承外圈故障信号分析结果表明,阶比峭度图算法能够有效识别阶比域内的最优包络解调频带参数,显著提高了变转速工况下滚动轴承故障特征提取的准确性。 展开更多
关键词 滚动轴承 变转速 阶比谱 阶比峭度图
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An Intelligent Non-Collocated Control Strategy for Ball-Screw Feed Drives with Dynamic Variations 被引量:7
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作者 Hui Liu Jun Zhang Wanhua Zhao 《Engineering》 SCIE EI 2017年第5期641-647,共7页
The ball-screw feed drive has varying high-order dynamic characteristics due to flexibilities of the slender screw spindle and joints between components, and an obvious feature of non-collocated control when a direct ... The ball-screw feed drive has varying high-order dynamic characteristics due to flexibilities of the slender screw spindle and joints between components, and an obvious feature of non-collocated control when a direct position measurement using a linear'scale is employed. The dynamic characteristics and non- collocated situation have long been the source of difficulties in motion and vibration control, and deterio- rate the achieved accuracy of the axis motion. In this study, a dynamic model using a frequency-based sub- structure approach is established, considering the flexibilities and their variation. The position-dependent variation of the dynamic characteristics is then fully investigated. A corresponding control strategy, which is composed of a modal characteristic modifier (MCM) and an intelligent adaptive tuning algorithm (ATA), is then developed. The MCM utilizes a combination of peak filters and notch filters, thereby shaping the plant dynamics into a virtual collocated system and avoiding control spillover. An ATA using an artificial neural network (ANN) as a smooth parameter interpolator updates the parameters of the filters in real time in order to cope with the feed drive's dynamic variation. Numerical verification of the effectiveness and robustness of the orooosed strategy is shown for a real feed drive. 展开更多
关键词 Ball-screw feed drives varying high-order dynamics Non-collocated control Modal characteristic modifier Intelligent adaptive tuning algorithm
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Time-varying parameter auto-regressive models for autocovariance nonstationary time series 被引量:2
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作者 FEI WanChun BAI Lun 《Science China Mathematics》 SCIE 2009年第3期577-584,共8页
In this paper, autocovariance nonstationary time series is clearly defined on a family of time series. We propose three types of TVPAR (time-varying parameter auto-regressive) models: the full order TVPAR model, the t... In this paper, autocovariance nonstationary time series is clearly defined on a family of time series. We propose three types of TVPAR (time-varying parameter auto-regressive) models: the full order TVPAR model, the time-unvarying order TVPAR model and the time-varying order TV-PAR model for autocovariance nonstationary time series. Related minimum AIC (Akaike information criterion) estimations are carried out. 展开更多
关键词 autocovariance nonstationary time series time-varying parameter time-varying order auto-regressive model minimum AIC estimation 37M10 68Q10
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Research on Anti-Fluctuation Control of Winding Tension System Based on Feedforward Compensation
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作者 Yujie Duan Jianguo Liang +4 位作者 Jianglin Liu Haifeng Gao Yinhui Li Jinzhu Zhang Xinyu Wen 《Computer Modeling in Engineering & Sciences》 SCIE EI 2024年第5期1239-1261,共23页
In the fiber winding process,strong disturbance,uncertainty,strong coupling,and fiber friction complicate the winding constant tension control.In order to effectively reduce the influence of these problems on the tens... In the fiber winding process,strong disturbance,uncertainty,strong coupling,and fiber friction complicate the winding constant tension control.In order to effectively reduce the influence of these problems on the tension output,this paper proposed a tension fluctuation rejection strategy based on feedforward compensation.In addition to the bias harmonic curve of the unknown state,the tension fluctuation also contains the influence of bounded noise.A tension fluctuation observer(TFO)is designed to cancel the uncertain periodic signal,in which the frequency generator is used to estimate the critical parameter information.Then,the fluctuation signal is reconstructed by a third-order auxiliary filter.The estimated signal feedforward compensates for the actual tension fluctuation.Furthermore,a time-varying parameters fractional-order PID controller(TPFOPID)is realized to attenuate the bounded noise in the fluctuation.Finally,TPFOPID is enhanced by TFO and applied to control a tension control system considering multi-source disturbances.The stability of the method is analyzed by using the Lyapunov theorem.Finally,numerical simulations verify that the proposed scheme improves the tracking ability and robustness of the system in response to tension fluctuations. 展开更多
关键词 Constant tension control anti-fluctuation strategy tension fluctuation observer time-varying parameters fractional-order PID controller feedforward compensate
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LPV modeling and controller design for body freedom flutter suppression subject to actuator saturation 被引量:1
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作者 Wei TANG Yu WANG +1 位作者 Jiawei GU Zhiwei SUN 《Chinese Journal of Aeronautics》 SCIE EI CAS CSCD 2020年第10期2679-2693,共15页
In recent years,the Active Flutter Suppression(AFS)employing Linear ParameterVarying(LPV)framework has become a hot spot in the research field.Nevertheless,the flutter suppression technique is facing two severe challe... In recent years,the Active Flutter Suppression(AFS)employing Linear ParameterVarying(LPV)framework has become a hot spot in the research field.Nevertheless,the flutter suppression technique is facing two severe challenges.On the one hand,due to the fatal risk of flight test near critical airspeed,it is hard to obtain the accurate mathematical model of the aeroelastic system from the testing data.On the other hand,saturation of the actuator may degrade the closed-loop performance,which was often neglected in the past work.To tackle these two problems,a new active controller design procedure is proposed to suppress flutter in this paper.Firstly,with the aid of LPV model order reduction method and State-space Model Interpolation of Local Estimates(SMILE)technique,a set of high-fidelity Linear Time-Invariant(LTI)models which are usually derived from flight tests at different subcritical airspeeds are reduced and interpolated to construct an LPV model of an aeroelastic system.And then,the unstable aeroelastic dynamics beyond critical airspeed are‘predicted’by extrapolating the resulting LPV model.Secondly,based on the control-oriented LPV model,an AFS controller in LPV framework which is composed of a nominal LPV controller and an LPV anti-windup compensator is designed to suppress the aeroelastic vibration and overcome the performance degradation caused by actuator saturation.Although the nominal LPV controller may have superior performance in linear simulation in which the saturation effect is ignored,the results of the numerical simulations show that the nominal LPV controller fails to suppress the Body Freedom Flutter(BFF)when encountering the actuator saturation.However,the LPV anti-windup compensator not only enhances the nominal controller’s performance but also helps the nominal controller to stabilize the unstable aeroelastic system whenencountering serious actuator saturation. 展开更多
关键词 Anti-windup compensation Flutter suppression Linear parameter-varying interpolation Model order reduction SATURATION
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英译汉中长句处理方法浅析
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作者 张圣素 《芜湖职业技术学院学报》 2001年第3期106-108,共3页
英语长句结构复杂,我们在做英译汉时,应采用顺译、变序、拆句和重组等方法,按照汉语的表达习惯理顺原文,重新安排句子的顺序。
关键词 长句处理 顺译 变序 拆句 重组 英译汉 长句结构 处理方法
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Tail asymptotic expansions for L-statistics
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作者 HASHORVA Enkelejd LING ChengXiu PENG ZuoXiang 《Science China Mathematics》 SCIE 2014年第10期1993-2012,共20页
We derive higher-order expansions of L-statistics of independent risks X1,..., Xn under conditions on the underlying distribution function F. The new results are applied to derive the asymptotic expansions of ratios o... We derive higher-order expansions of L-statistics of independent risks X1,..., Xn under conditions on the underlying distribution function F. The new results are applied to derive the asymptotic expansions of ratios of two kinds of risk measures, stop-loss premium and excess return on capital, respectively. Several examples and a Monte Carlo simulation study show the efficiency of our novel asymptotic expansions. Keywords smoothly varying condition, second-order regular variation, tail asymptotics, value-at-risk, con- ditional tail expectation, largest claims reinsurance, ratio of risk measure, excess return on capital 展开更多
关键词 smoothly varying condition second-order regular variation tail asymptotics VALUE-AT-RISK conditional tail expectation largest claims reinsurance ratio of risk measure excess return on capital 60E05 60F99
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High-Order Models of Nonlinear and Dispersive Wave in Water of Varying Depth with Arbitrary Sloping Bottom 被引量:26
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作者 Hong Guangwen Professor, Coastal and Ocean Engineering Research Institute, Hohai University, Nanjing 210024, P. R. China. 《China Ocean Engineering》 SCIE EI 1997年第3期243-260,共18页
High-order models with a dissipative term for nonlinear and dispersive wave in water of varying depth with an arbitrary sloping bottom are presented in this article. First, the formal derivations to any high order of ... High-order models with a dissipative term for nonlinear and dispersive wave in water of varying depth with an arbitrary sloping bottom are presented in this article. First, the formal derivations to any high order of mu(= h/lambda, depth to deep-water wave length ratio) and epsilon(= a/h, wave amplitude to depth ratio) for velocity potential, particle velocity vector, pressure and the Boussinesq-type equations for surface elevation eta and horizontal velocity vector (U) over right arrow at any given level in water are given. Then, the exact explicit expressions to the fourth order of mu are derived. Finally, the linear solutions of eta, (U) over right arrow, C (phase-celerity) and C-g (group velocity) for a constant water depth are obtained. Compared with the Airy theory, excellent results can be found even for a water depth as large as the wave legnth. The present high-order models are applicable to nonlinear regular and irregular waves in water of any varying depth (from shallow to deep) and bottom slope (from mild to steep). 展开更多
关键词 nonlinear wave dispersive wave high order models Boussinesq-type equations varying depth arbitrary sloping bottom
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基于高阶滑模观测器的自适应时变滑模再入姿态控制 被引量:22
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作者 王亮 刘向东 盛永智 《控制与决策》 EI CSCD 北大核心 2014年第2期281-286,共6页
针对再入飞行器鲁棒姿态控制问题,提出一种基于高阶滑模观测器的自适应时变滑模控制器设计方法.首先,设计了一种时变滑模面,并在此基础上推导了相应的时变滑模控制律,其中滑模控制中切换增益通过一种自适应算法获得,消除了控制器设计过... 针对再入飞行器鲁棒姿态控制问题,提出一种基于高阶滑模观测器的自适应时变滑模控制器设计方法.首先,设计了一种时变滑模面,并在此基础上推导了相应的时变滑模控制律,其中滑模控制中切换增益通过一种自适应算法获得,消除了控制器设计过程中对系统不确定性上界已知的要求;然后,利用高阶滑模观测器对控制器设计过程中用到的姿态角导数信息进行观测,同时能够获得系统扰动估计值,从而构造一种基于观测器的控制器形式;最后,通过仿真验证了所提出的控制算法在提高再入飞行器姿态控制精度以及系统鲁棒性方面的有效性. 展开更多
关键词 再入飞行器 姿态控制 自适应时变滑模 高阶滑模观测器
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基于谱峭度的滚动轴承故障包络阶比跟踪分析 被引量:19
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作者 刘亭伟 郭瑜 +1 位作者 李斌 高艳 《振动与冲击》 EI CSCD 北大核心 2012年第17期149-153,164,共6页
通过对旋转机械变速运行工况的齿轮箱振动分析研究,提出一种基于谱峭度的滚动轴承故障包络阶比跟踪分析方法。该方法利用旋转机械运行过程中滚动轴承故障引起的冲击性振动会激起其周围结构共振的原理,应用谱峭度方法自适应地确定优化的... 通过对旋转机械变速运行工况的齿轮箱振动分析研究,提出一种基于谱峭度的滚动轴承故障包络阶比跟踪分析方法。该方法利用旋转机械运行过程中滚动轴承故障引起的冲击性振动会激起其周围结构共振的原理,应用谱峭度方法自适应地确定优化的共振解调带通滤波中心频率和滤波带宽,进而通过共振解调算法获得包含轴承故障初始阶段振动特征的包络信号,再将变速工况下的非平稳包络信号通过等角度重采样转化为角度域的准平稳信号,进而获得消除了频率模糊的阶比谱,实现对旋转机械变速运行工况下的滚动轴承故障诊断。仿真和试验结果验证了本方法的有效性。 展开更多
关键词 旋转机械 变速运行 包络分析 阶比跟踪 谱峭度
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时变需求下基于两级信用支付的易腐品订货模型 被引量:16
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作者 赵忠 王淑云 李波 《系统管理学报》 CSSCI 北大核心 2016年第1期83-89,共7页
考虑由1个分销商与1个零售商和若干顾客构成的易腐品冷链系统,分销商向零售商提供信用支付条件,同时,零售商向顾客提供信用支付条件。在变质率为常数、需求为线性时变函数的情形下,构建了两级信用支付条件下的零售商库存模型;证明了最... 考虑由1个分销商与1个零售商和若干顾客构成的易腐品冷链系统,分销商向零售商提供信用支付条件,同时,零售商向顾客提供信用支付条件。在变质率为常数、需求为线性时变函数的情形下,构建了两级信用支付条件下的零售商库存模型;证明了最优解的存在性和唯一性。算例分析表明,最优解受需求参数a的影响较小,而受参数b的影响较大;对于信用支付期限,M增大时,最优订货周期和最小总成本均减小,而N增大时,最优订货周期和最小总成本均增大。 展开更多
关键词 易腐品 时变需求 两级信用支付 最优订货周期 最优订货批量
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基于自适应时变滤波阶比跟踪的齿轮箱故障诊断 被引量:17
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作者 彭富强 于德介 武春燕 《机械工程学报》 EI CAS CSCD 北大核心 2012年第7期77-85,共9页
针对多输入多输出齿轮箱传动系统和齿轮箱集群的振动信号中各啮合频率阶次相互干扰,从而导致故障诊断困难的问题,研究提出一种基于自适应时变滤波阶比跟踪的齿轮箱故障诊断方法。该方法利用基于多尺度线调频基稀疏信号分解提取各对传动... 针对多输入多输出齿轮箱传动系统和齿轮箱集群的振动信号中各啮合频率阶次相互干扰,从而导致故障诊断困难的问题,研究提出一种基于自适应时变滤波阶比跟踪的齿轮箱故障诊断方法。该方法利用基于多尺度线调频基稀疏信号分解提取各对传动齿轮的啮合频率,以各啮合频率为中心频率,对应转频的倍频为滤波带宽分别设计自适应时变滤波器对信号进行滤波,逐个提取振动信号中的啮合频率调制分量,再分别对提取的啮合频率调制分量单独进行阶比分析,有效地抑制其他无关联轴上齿轮啮合振动信号和其他非阶比噪声信号对阶比谱的影响,较好地解决阶比信号相互干扰的问题,提高阶比谱的调制识别效果,为多输入多输出齿轮箱系统和齿轮箱集群的故障诊断提供一条有效途径。仿真算例和应用实例说明方法的有效性。 展开更多
关键词 稀疏分解 时变滤波 阶比跟踪 齿轮箱 故障诊断
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基于时频挤压和阶比分析的变转速轴承故障检测方法 被引量:16
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作者 高冠琪 黄伟国 +4 位作者 李宁 李仕俊 石娟娟 江星星 朱忠奎 《振动与冲击》 EI CSCD 北大核心 2020年第3期205-210,226,共7页
阶比分析是实现变转速工况下旋转机械设备故障特征提取的主要方法之一,其核心在于转速信息的准确获取,传统阶比分析方法主要通过转速计等设备测得转速,成本高且抗噪性差,而基于时频分析的转速估计方法操作简单,鲁棒性和准确性也较好。... 阶比分析是实现变转速工况下旋转机械设备故障特征提取的主要方法之一,其核心在于转速信息的准确获取,传统阶比分析方法主要通过转速计等设备测得转速,成本高且抗噪性差,而基于时频分析的转速估计方法操作简单,鲁棒性和准确性也较好。提出了一种基于时频挤压的转频估计方法,该方法不依赖多余设备,通过时频挤压和重采样阶比分析,实现转频估计和特征提取,从而诊断轴承故障。将基于传统时频方法与所提方法得到的分析结果以及计算阶比分析结果三者进行比较,以验证所提方法的可行性与有效性,仿真和实验信号分析结果均表明,所提方法的时频聚集性和鲁棒性较传统方法更好,且在无转速计的情况下,分析结果精度也更高。 展开更多
关键词 变转速 时频挤压 转速估计 阶比分析 故障诊断
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时变混合共轭梯度盲提取算法 被引量:10
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作者 杨柳 张杭 《信号处理》 CSCD 北大核心 2015年第1期51-58,共8页
针对传统独立分量分析(ICA)方法对时变信道跟踪能力较差的问题,提出了一种时变混合共轭梯度盲提取算法。该算法有效利用了各源信号的时序结构差异,仅利用其二阶统计量解决了具有不同功率谱密度的信号的分离,而无须估计信号的概率密度和... 针对传统独立分量分析(ICA)方法对时变信道跟踪能力较差的问题,提出了一种时变混合共轭梯度盲提取算法。该算法有效利用了各源信号的时序结构差异,仅利用其二阶统计量解决了具有不同功率谱密度的信号的分离,而无须估计信号的概率密度和计算高阶累积量,减少了运算的复杂度并可用于杂系信号混合的盲分离问题;同时,算法利用仅具有一个全局最优解的凸代价函数,采用计算简单并具有较好数值表现的自适应共轭梯度算法进行迭代,获得了更快的收敛速度和更好的稳定性能。仿真结果表明,该算法与传统ICA算法相比,具有对时变系统更好的跟踪能力。 展开更多
关键词 时变 二阶统计量 共轭梯度 杂系混合 跟踪能力
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A High-order Internal Model Based Iterative Learning Control Scheme for Discrete Linear Time-varying Systems 被引量:7
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作者 Wei Zhou Miao Yu De-Qing Huang 《International Journal of Automation and computing》 EI CSCD 2015年第3期330-336,共7页
In this paper, an iterative learning control algorithm is proposed for discrete linear time-varying systems to track iterationvarying desired trajectories. A high-order internal model(HOIM) is utilized to describe the... In this paper, an iterative learning control algorithm is proposed for discrete linear time-varying systems to track iterationvarying desired trajectories. A high-order internal model(HOIM) is utilized to describe the variation of desired trajectories in the iteration domain. In the sequel, the HOIM is incorporated into the design of learning gains. The learning convergence in the iteration axis can be guaranteed with rigorous proof. The simulation results with permanent magnet linear motors(PMLM) demonstrate that the proposed HOIM based approach yields good performance and achieves perfect tracking. 展开更多
关键词 Iterative learning control high-order internal model discrete linear time-varying systems iteration-varying desired tra-jectory
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时变需求订货批量问题的相关策略 被引量:2
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作者 唐加福 刘士新 汪定伟 《东北大学学报(自然科学版)》 EI CAS CSCD 北大核心 2002年第5期417-420,共4页
根据EOQ和时变需求量把计划期内各时间段分为常态时间段和非常态时间段 ,提出求解时变需求订货批量问题的相关策略·从理论上分析了独立策略、非常态独立策略与几种相关策略的性能 ,得到了相关策略的最优结构·提出了基于相关... 根据EOQ和时变需求量把计划期内各时间段分为常态时间段和非常态时间段 ,提出求解时变需求订货批量问题的相关策略·从理论上分析了独立策略、非常态独立策略与几种相关策略的性能 ,得到了相关策略的最优结构·提出了基于相关策略的启发式算法求解计划期初是常态时间段的订货批量问题·该启发式对计划期内有多个常态时间段的EOQ问题比S M有效· 展开更多
关键词 库存管理 EOQ 时变需求 订货批量 启发式 独立策略 常态时间段
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巡航段高超声速飞行器的高阶指数时变滑模飞行控制器设计 被引量:8
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作者 朱纪立 刘向东 +1 位作者 王亮 丛炳龙 《宇航学报》 EI CAS CSCD 北大核心 2011年第9期1945-1952,共8页
针对高超声速飞行器的巡航控制存在的不确定气动参数问题,提出了一种具有全局鲁棒性的指数时变滑模控制方法。首先将纵向模型进行精确线性化,提出了一种新的指数时变滑模面,在此基础上设计了一种高阶时变滑模控制律。该控制律使系统相... 针对高超声速飞行器的巡航控制存在的不确定气动参数问题,提出了一种具有全局鲁棒性的指数时变滑模控制方法。首先将纵向模型进行精确线性化,提出了一种新的指数时变滑模面,在此基础上设计了一种高阶时变滑模控制律。该控制律使系统相轨迹从初始时刻起始终处于滑动阶段,消除了常规时不变滑模控制的到达阶段,保证了控制过程中对系统参数不确定性的全局鲁棒性。最后,用李亚普诺夫理论证明了该控制律的稳定性。控制律参数采用遗传算法进行优化,优化的指标由系统响应误差的积分和参数违反约束时的惩罚项组成。仿真结果验证了该方法的有效性。 展开更多
关键词 高超声速飞行器 时变滑模 高阶滑模 飞行控制 鲁棒性 遗传算法
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Formation tracking control for time-delayed multi-agent systems with second-order dynamics 被引量:7
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作者 Han Liang Dong Xiwang +1 位作者 Li Qingdong Ren Zhang 《Chinese Journal of Aeronautics》 SCIE EI CAS CSCD 2017年第1期348-357,共10页
In this paper, formation tracking control problems for second-order multi-agent systems(MASs) with time-varying delays are studied, specifically those where the position and velocity of followers are designed to for... In this paper, formation tracking control problems for second-order multi-agent systems(MASs) with time-varying delays are studied, specifically those where the position and velocity of followers are designed to form a time-varying formation while tracking those of the leader. A neighboring relative state information based formation tracking protocol with an unknown gain matrix and time-varying delays is presented. The formation tracking problems are then transformed into asymptotically stable problems. Based on the Lyapunov-Krasovskii functional approach, conditions sufficient for second-order MASs with time-varying delays to realize formation tracking are examined. An approach to obtain the unknown gain matrix is given and, since neighboring relative velocity information is difficult to measure in practical applications, a formation tracking protocol with time-varying delays using only neighboring relative position information is introduced. The proposed results can be used on target enclosing problems for MASs with second-order dynamics and time-varying delays. An application for target enclosing by multiple unmanned aerial vehicles(UAVs) is given to demonstrate the feasibility of theoretical results. 展开更多
关键词 Formation tracking control Multiple unmanned aerialvehicles Second-order dynamics Time-delayed multi-agentsystems Time-varying formation
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Affine formation maneuver tracking control of multiple second-order agents with time-varying delays 被引量:7
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作者 XU Yang LI DongYu +1 位作者 LUO DeLin YOU YanCheng 《Science China(Technological Sciences)》 SCIE EI CAS CSCD 2019年第4期665-676,共12页
This paper considers an affine maneuver tracking control problem for leader-follower type second-order multi-agent systems in the presence of time-varying delays, where the interaction topology is directed. Using the ... This paper considers an affine maneuver tracking control problem for leader-follower type second-order multi-agent systems in the presence of time-varying delays, where the interaction topology is directed. Using the property of the affine transformation,this paper gives the sufficient and necessary conditions of achieving the affine localizability and extends it to the second-order condition. Under the(n + 1)-reachable condition of the given n-dimensional nominal formation with n + 1 leaders, a formation of agents can be reshaped in arbitrary dimension by only controlling these leaders. When the neighboring positions and velocities are available, a formation maneuver tracking control protocol with time-varying delays is constructed with the form of linear systems, where the tracking errors of the followers can be specified. Based on Lyapunov-Krasovskii stability theory, sufficient conditions to realize affine maneuvers are proposed and proved, and the unknown control gain matrix can be solved only by four linear matrix inequalities independent of the number of agents. Finally, corresponding simulations are carried out to verify the theoretical results, which show that these followers can track the time-varying references accurately and continuously. 展开更多
关键词 FORMATION control AFFINE transformation multi-agent systems SECOND-order dynamics time-varying delays
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基于时变波动率的存款保险定价研究 被引量:8
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作者 袁金建 刘海龙 刘小涛 《管理科学学报》 CSSCI CSCD 北大核心 2019年第3期113-126,共14页
存款保险合理定价对于维护金融稳定至关重要,但是现有研究却很少考虑银行资产异方差性以及债务清偿顺序的差异.利用GARCH过程刻画资产收益波动率的时变性,结合债务清偿结构得到了封闭形式的存款保险定价公式,并给出了参数的极大似然估... 存款保险合理定价对于维护金融稳定至关重要,但是现有研究却很少考虑银行资产异方差性以及债务清偿顺序的差异.利用GARCH过程刻画资产收益波动率的时变性,结合债务清偿结构得到了封闭形式的存款保险定价公式,并给出了参数的极大似然估计方法.利用A股上市银行数据估计资产过程,并通过数值模拟分析了时变波动率和债务清偿结构对存款保险价格的影响.结果表明,忽视资产收益波动率的时变性在高风险时段将导致存款保险价格被高估,而在低风险时段却会导致价格被低估;高优先级负债越多,存款保险价格越高,普通债务(包括存款)越多,存款保险价格也越高,但前者的影响更大;受次级债的影响,忽视债务清偿顺序的差异往往导致存款保险价格被明显高估. 展开更多
关键词 存款保险定价 时变波动率 债务清偿顺序 Black-Scholes框架 GARCH框架
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