多元GARCH模型的估计一般采用拟极大似然法(quasi maximum likehood),对于这种方法估计的相合性及渐近正态性已经被很多学者证实,然而对于新息列的分布不是多元正态时,这种估计的有效性还没人研究,本文从拟极大似然估计得到的参数相合...多元GARCH模型的估计一般采用拟极大似然法(quasi maximum likehood),对于这种方法估计的相合性及渐近正态性已经被很多学者证实,然而对于新息列的分布不是多元正态时,这种估计的有效性还没人研究,本文从拟极大似然估计得到的参数相合估计入手,提出用非参数方法估计多元新息列的分布.展开更多
In this paper, the complexity and performance of the Auxiliary Vector (AV) based reduced-rank filtering are addressed. The AV filters presented in the previous papers have the general form of the sum of the signature ...In this paper, the complexity and performance of the Auxiliary Vector (AV) based reduced-rank filtering are addressed. The AV filters presented in the previous papers have the general form of the sum of the signature vector of the desired signal and a set of weighted AVs,which can be classified as three categories according to the orthogonality of their AVs and the optimality of the weight coefficients of the AVs. The AV filter with orthogonal AVs and optimal weight coefficients has the best performance, but requires considerable computational complexity and suffers from the numerical unstable operation. In order to reduce its computational load while keeping the superior performance, several low complexity algorithms are proposed to efficiently calculate the AVs and their weight coefficients. The diagonal loading technique is also introduced to solve the numerical unstability problem without complexity increase. The performance of the three types of AV filters is also compared through their application to Direct Sequence Code Division Multiple Access (DS-CDM A) systems for interference suppression.展开更多
文摘In this paper, the complexity and performance of the Auxiliary Vector (AV) based reduced-rank filtering are addressed. The AV filters presented in the previous papers have the general form of the sum of the signature vector of the desired signal and a set of weighted AVs,which can be classified as three categories according to the orthogonality of their AVs and the optimality of the weight coefficients of the AVs. The AV filter with orthogonal AVs and optimal weight coefficients has the best performance, but requires considerable computational complexity and suffers from the numerical unstable operation. In order to reduce its computational load while keeping the superior performance, several low complexity algorithms are proposed to efficiently calculate the AVs and their weight coefficients. The diagonal loading technique is also introduced to solve the numerical unstability problem without complexity increase. The performance of the three types of AV filters is also compared through their application to Direct Sequence Code Division Multiple Access (DS-CDM A) systems for interference suppression.
