针对单矢量水听器,将旋转不变技术(estimation of signal parameters via rotational invariance techniques,ESPRIT)等参数估计算法用于直方图统计,并提出了基于单矢量水听器的多重信号分类(multiple signal classification,MUSIC)算法...针对单矢量水听器,将旋转不变技术(estimation of signal parameters via rotational invariance techniques,ESPRIT)等参数估计算法用于直方图统计,并提出了基于单矢量水听器的多重信号分类(multiple signal classification,MUSIC)算法,推导出波束形成的功率谱公式和半功率波束宽度公式以及不同声压振速组合情形下定向性能的理论下界,同时也对其他波达方向(direc-tion of arrival,DOA)估计方法进行了总结。理论分析和实验结果表明:ESPRIT等用于直方图统计后能够获取更为全面准确的目标信息;MUSIC算法可获得比最小方差无畸变响应(minimum variance distortionless response,MVDR)更高的分辨率,而且同样满足实时处理要求;MVDR的半功率波束宽度与信噪比大致呈现反比例关系,而常规波束形成(conventional beam-forming,CBF)的半功率波束宽度收敛于131.06°,两者都只与信噪比有关;声能流法等适用于较高信噪比情形,而波束形成和子空间方法的定向精度在较低信噪比情形下仍能接近理论下界,尤其是波束形成具有良好的宽容性;功率谱估计的3种算法具有相同的估计误差边界;各定向算法的时间花销都较小,均可应用于实时系统。展开更多
This paper studies a partially nonstationary vector autoregressive(VAR)model with vector GARCH noises.We study the full rank and the reduced rank quasi-maximum likelihood estimators(QMLE)of parameters in the model.It ...This paper studies a partially nonstationary vector autoregressive(VAR)model with vector GARCH noises.We study the full rank and the reduced rank quasi-maximum likelihood estimators(QMLE)of parameters in the model.It is shown that both QMLE of long-run parameters asymptotically converge to a functional of two correlated vector Brownian motions.Based these,the likelihood ratio(LR)test statistic for cointegration rank is shown to be a functional of the standard Brownian motion and normal vector,asymptotically.As far as we know,our test is new in the literature.The critical values of the LR test are simulated via the Monte Carlo method.The performance of this test in finite samples is examined through Monte Carlo experiments.We apply our approach to an empirical example of three interest rates.展开更多
文摘针对单矢量水听器,将旋转不变技术(estimation of signal parameters via rotational invariance techniques,ESPRIT)等参数估计算法用于直方图统计,并提出了基于单矢量水听器的多重信号分类(multiple signal classification,MUSIC)算法,推导出波束形成的功率谱公式和半功率波束宽度公式以及不同声压振速组合情形下定向性能的理论下界,同时也对其他波达方向(direc-tion of arrival,DOA)估计方法进行了总结。理论分析和实验结果表明:ESPRIT等用于直方图统计后能够获取更为全面准确的目标信息;MUSIC算法可获得比最小方差无畸变响应(minimum variance distortionless response,MVDR)更高的分辨率,而且同样满足实时处理要求;MVDR的半功率波束宽度与信噪比大致呈现反比例关系,而常规波束形成(conventional beam-forming,CBF)的半功率波束宽度收敛于131.06°,两者都只与信噪比有关;声能流法等适用于较高信噪比情形,而波束形成和子空间方法的定向精度在较低信噪比情形下仍能接近理论下界,尤其是波束形成具有良好的宽容性;功率谱估计的3种算法具有相同的估计误差边界;各定向算法的时间花销都较小,均可应用于实时系统。
文摘This paper studies a partially nonstationary vector autoregressive(VAR)model with vector GARCH noises.We study the full rank and the reduced rank quasi-maximum likelihood estimators(QMLE)of parameters in the model.It is shown that both QMLE of long-run parameters asymptotically converge to a functional of two correlated vector Brownian motions.Based these,the likelihood ratio(LR)test statistic for cointegration rank is shown to be a functional of the standard Brownian motion and normal vector,asymptotically.As far as we know,our test is new in the literature.The critical values of the LR test are simulated via the Monte Carlo method.The performance of this test in finite samples is examined through Monte Carlo experiments.We apply our approach to an empirical example of three interest rates.
