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Technical Trading Rules and Nonlinear Time Series Models
Akitoshi Ito 한국증권학회 2003 Asia-Pacific Journal of Financial Studies Vol.32 No.1
This study examines whether the two classes of nonlinear models, the self-exciting threshold autoregressive model (SETAR) and the autoregressive asymmetric moving average model (ARasMA), can explain the moving average rule results obtained from the data of the daily Toronto Stock Exchange (TSE 300) Index during January 1977-December 1995. First, this study estimates various models including the random walk and AR(1) as linear models and the SETAR and ARasMA as nonlinear models. Then, using the estimates of parameters and the fitted residuals, the bootstrap simulations are conducted to obtain simulated p-values for the moving average rule results from the actual series under each null model. Our simulation results show that the SETAR model can explain the mean returns on the moving average rules reasonably well. However, the results also show that none of our four null models can explain the standard deviation of returns on the moving average rules.
A SLAM-Integrated Kinematic Calibration Method for Industrial Manipulators with RGB-D Cameras
Jinghui LI,Akitoshi ITO,Yusuke MAEDA 제어로봇시스템학회 2019 제어로봇시스템학회 국제학술대회 논문집 Vol.2019 No.10
The accuracy of robot manipulator, one of the long-standing problem, is a major issue in the industry community. The manipulator may produce kinematic errors during operation. Traditional methods require expensive equipment with complex steps to calibrate kinematic parameters. Another issue is motion planning of the manipulator, which requires a map of the workspace. However, the mapping is time-consuming. In order to employ an efficient way to accomplish kinematic calibration and offer convenience to plan the motions of the manipulator, we study a new method called SKCLAM (Simultaneous Kinematic Calibration, Localization, and Mapping), which can calibrate the kinematic parameters of an industrial manipulator and achieve 3D environmental mapping simultaneously by employing an RGBD camera attached to the end effector. In this paper, the true kinematic parameters were changed randomly to test and evaluate the effectiveness of our approach in simulation.