Академический Документы
Профессиональный Документы
Культура Документы
Theory
Applications and
Digital Signal Processing
Detection
Theory
Applications and
Digital Signal Processing
Ralph D. Hippenstiel
CRC PR E S S
Boca Raton London New York Washington, D.C.
0434/disclaimer Page 1 Wednesday, October 17, 2001 8:48 AM
This book contains information obtained from authentic and highly regarded sources. Reprinted material
is quoted with permission, and sources are indicated. A wide variety of references are listed. Reasonable
efforts have been made to publish reliable data and information, but the author and the publisher cannot
assume responsibility for the validity of all materials or for the consequences of their use.
Neither this book nor any part may be reproduced or transmitted in any form or by any means, electronic
or mechanical, including photocopying, microfilming, and recording, or by any information storage or
retrieval system, without prior permission in writing from the publisher.
The consent of CRC Press LLC does not extend to copying for general distribution, for promotion, for
creating new works, or for resale. Specific permission must be obtained in writing from CRC Press LLC
for such copying.
Direct all inquiries to CRC Press LLC, 2000 N.W. Corporate Blvd., Boca Raton, Florida 33431.
Trademark Notice: Product or corporate names may be trademarks or registered trademarks, and are
used only for identification and explanation, without intent to infringe.
+\SRWKHVLV 7HVWLQJ
,1752'8&7,21
%$<(6
'(7(&7,21
0$;,080 $ 3267(5,25, 0$3 '(7(&7,21
0$;,080 /,.(/,+22' 0/ &5,7(5,21
0,1,080 352%$%,/,7< 2) (5525 &5,7(5,21
0,10$; &5,7(5,21
1(<0$13($5621 &5,7(5,21
,QWURGXFWLRQ
2SWLPL]DWLRQ DQG /DJUDQJH 0XOWLSOLHUV
1H\PDQ3HDUVRQ $SSURDFK
08/7,3/( +<327+(6(6
&20326,7( +<327+(6,6 7(67,1*
1XLVDQFH 3DUDPHWHUV ZLWK .QRZQ RU 8QNQRZQ
3UREDELOLW\ 'HQVLW\ )XQFWLRQ RU ZLWK 8QNQRZQ EXW )L[HG
9DOXHV
5(&(,9(5 23(5$725 &+$5$&7(5,67,& &859(6
$1' 3(5)250$1&(
*HQHUDO %DFNJURXQG
52& &XUYHV
6800$5<
352%/(06
(VWLPDWLRQ
,1752'8&7,21
%$6,& (67,0$7,21 6&+(0(6
0$3 (VWLPDWLRQ
0/ (VWLPDWLRQ
%D\HV
(VWLPDWRU
3523(57,(6 2) (67,0$7256
&5$0(55$2 %281'
:$9()250 (67,0$7,21
:LHQHU )LOWHULQJ
'LVFUHWH7LPH :DYHIRUP (VWLPDWLRQ
6800$5<
352%/(06
,QWURGXFWLRQ
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
GHWHFWHG E\ UDGDU RSWLFDO RU LPDJLQJ V\VWHPV
,Q HDFK RQH RI WKHVH VFHQDULRV DXWRPDWHG GHWHFWLRQ DOORZV VFDQQLQJ RI
ODUJH GDWD VHWV IRU WKH SXUSRVH RI GHWHFWLQJ ORFDOL]LQJ DQG LGHQWLI\LQJ SDUWLF
XODU WDUJHWV RI LQWHUHVW :H UHDOL]H LI WKHUH LV QR GLVWRUWLRQ LH QR QRLVH RU
LQWHUIHUHQFH ZKHQ REVHUYLQJ GDWD WKHQ RQH FDQ UHDGLO\ GHGXFH WKH SUHVHQFH
RU DEVHQFH DQG ZKHQ DSSURSULDWH WKH W\SH RI WKH VLJQDO HPLWWHU
7\SLFDOO\ WKURXJKRXW WKLV WH[W ZH DVVXPH WKDW WKH QRLVH LV RI WKH DGGLWLYH
W\SH WKDW LV WKH REVHUYHG UHFHLYHG FRPSRQHQW FRQVLVWV RI D VLJQDO RU VLJQDOV
HPEHGGHG LQ DGGLWLYH QRLVH :LWK WKH H[FHSWLRQ RI &KDSWHU ZKLFK GLVFXVVHV
K\SRWKHVLV WHVWLQJ PRVW RI WKH QRLVH ZLOO EH RI WKH *DXVVLDQ W\SH 'XULQJ
WKH nUVW SDUW RI WKH WH[W ZH ZLOO GHDO ZLWK GHOWD FRUUHODWHG QRLVH LH ZKLWH
QRLVH ZKLOH ODWHU VHFWLRQV ZLOO DGGUHVV FRORUHG QRLVH
6LQFH WKH V PRGHUQ GLJLWDO VLJQDO SURFHVVLQJ KDV LQoXHQFHG DOO DUHDV
RI VLJQDO FRQGLWLRQLQJ DQG VLJQDO SURFHVVLQJ 6RPH GHWHFWRU LPSOHPHQWDWLRQV
ZLOO GUDZ RQ WKLV WRSLF 7R WKLV H[WHQW VRPH LQWURGXFWRU\ GLJLWDO VLJQDO
SURFHVVLQJ LV LQFOXGHG HVSHFLDOO\ DV LW UHODWHV WR WKH XVH DQG LQWHUSUHWDWLRQ RI
WKH IDVW )RXULHU WUDQVIRUP ))7 DQG WKH ZDYHOHW WUDQVIRUP :7 ERWK RI
ZKLFK KDYH UHYROXWLRQL]HG PDQ\ VLJQDO SURFHVVLQJ DSSOLFDWLRQV
0DQ\ ERRNV KDYH EHHQ ZULWWHQ WKDW FRYHU GHWHFWLRQ UHODWHG WRSLFV >^@
7KH UHIHUHQFH OLVW LV E\ QR PHDQV H[KDXVWLYH EXW LW LV PHDQW WR SURYLGH
DGGLWLRQDO KHOSIXO PDWHULDO $W WKLV WLPH UHIHUHQFHV >^^@ UHPDLQ LQ
SULQW 7KHVH ERRNV DUH H[FHOOHQW UHIHUHQFHV EXW DUH VRPHWLPHV D OLWWOH GLpFXOW
WR UHDG
2XU WH[W DWWHPSWV WR TXHVWLRQ ZK\ WKLQJV DUH VHW XS LQ D SDUWLFXODU ZD\
DQG KRZ WKH UHVXOWV DUH GHULYHG 2XU VWXGHQWV SULPDULO\ PLOLWDU\ RpFHUV
DUH LQWHUHVWHG LQ WKH WRSLFV IURP D SUDFWLFDO SRLQW RI YLHZ EHFDXVH JRRG XQ
GHUVWDQGLQJ ZLOO SRWHQWLDOO\ DmHFW WKH RSHUDWLRQ DQG VXFFHVV RI VRPH RI WKHLU
IXWXUH PLVVLRQV
7KH PDWKHPDWLFDO OHYHO LV NHSW DW D PLQLPXP ZLWK PRVW RI WKH QHFHVVDU\
LGHDV GHYHORSHG LQ WKH WH[W RU JLYHQ LQ WKH DSSHQGLFHV ,I WKDW LV QRW IHDVLEOH DW
OHDVW DPSOH UHIHUHQFHV DUH SURYLGHG 0DWKHPDWLFV LV NHSW DW D OHYHO ZKHUH WKH
W\SLFDO HQJLQHHU FDQ IROORZ DQG XQGHUVWDQG WKH PDWHULDO 7KH PDWKHPDWLFDO
GHYHORSPHQW LV DSSURSULDWH IRU HQJLQHHUV DQG SK\VLFLVWV DQG LQ QR ZD\ LV
PHDQW WR EH ULJRURXV
7KH SUHVHQWDWLRQ LV RULHQWHG WRZDUG +LOEHUW VSDFHV DQG SURMHFWLRQV LQQHU
SURGXFWV LQ WKHVH VSDFHV 7KLV DOORZV D JHQHUDO GHVFULSWLRQ DQG VROXWLRQV
IRU GLmHUHQW VFHQDULRV :LWK WKLV DSSURDFK WKH H[WHQVLRQV WR RWKHU EDVLV
IXQFWLRQV VXFK DV .DUKXQHQ/Rt
HYH LV D QDWXUDO RQH DOORZLQJ D VWUDLJKWIRUZDUG
LQWHUSUHWDWLRQ
,QWURGXFWLRQ
'HWHFWLRQ
6RPH W\SLFDO GHWHFWLRQ H[DPSOHV DUH
D 5DGDU SDVVLYH DFWLYH RU ELVWDWLF LH LW XVHV DQ DQWHQQD DQG WHVWV IRU
WDUJHW SUHVHQFH
([DPSOH
V W FRV W LH D VLJQDO ZLWK FDUULHU IUHTXHQF\
UW VL W QW IRU W7 L
([DPSOH
UW FRVL W tL QW IRU L DQG IRU W7
ZKHUH UW LV WKH UHFHLYHG QRLVH FRUUXSWHG VLJQDO t DQG t DUH XQNQRZQ
GHWHUPLQLVWLF SKDVH YDOXHV DQG DQG DUH NQRZQ
([DPSOH
VW FRV>F W@ IRU W7 UDGDU VRQDU SUREOHP
D FRV >
F ' W b ~ t@ QW
UW
QW IRU ~ W~ 7
([DPSOH
V W QW
Z LI WKH WDUJHW LV SUHVHQW
UW
QW LI WKH WDUJHW LV QRW SUHVHQW IRU W7
ZKHUH V W LV D UHDOL]DWLRQ RI D UDQGRP SURFHVV DQG D SUREDELOLVWLF GHVFULS
Z
WLRQ RI V W LV DYDLODEOH
Z
(VWLPDWLRQ
6RPH W\SLFDO H[DPSOHV DUH
( (YHQW 6SDFH
,Q WKH HYHQW VSDFH ( RQH RI WKH , SRVVLEOH HYHQWV FDQ KDSSHQ :H PD\ RU PD\
QRW NQRZ D SULRUL SUREDELOLWLHV RI WKH HYHQW H
L LH 3U IHL J IRU L c c c , b
7\SLFDO HYHQWV PD\ EH
6 6LJQDO 6SDFH
7KH HYHQWV DUH FRQYHUWHG LQWR UHSUHVHQWDWLYH VLJQDOV 2I FRXUVH RQH PDSSLQJ
PLJKW XVH WKH RULJLQDO GDWD HYHQWV DV WKH VLJQDO GLUHFWO\
H F t V W $ FRV W t
H F t V W $ FRV W t IRU W7
([DPSOH (YHQW (QFRGLQJ
(YHQWV 6LJQDOV
H QR WDUJHW ~ W V W IRU W
H WDUJHW SUHVHQW ~ W V W D VW b W5 IRU WU W5 W5 7
ZKHUH D LV WKH VLJQDO ORVV FRHpFLHQW
([DPSOH 3DVVLYH 'HWHFWLRQ
1DUURZ EDQG GHWHFWLRQ SDVVLYH GHWHFWLRQ DGGUHVVHV WKH TXHVWLRQ LV D SDUWL
FXODU VSHFWUDO FRPSRQHQW DW D FHUWDLQ IUHTXHQF\ SUHVHQW RU QRW "
(YHQWV 6LJQDOV
H QR WDUJHW V W
H WDUJHW SUHVHQW V W $ FRVF W tF IRU W W W 7
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
H QR LQWUXGHU VW $ FRV W t
H LQWUXGHU SUHVHQW VW $ FRV W ' W t
ZKHUH D LV WKH VLJQDO ORVV FRHpFLHQW LH QR 'RSSOHU VKLIW DVVXPHG LQ WKLV
SDUWLFXODU H[DPSOH DQG W LV WKH SURSDJDWLRQ GHOD\ ZKLFK DFFRXQWV IRU WKH
5
URXQG WULS WR DQG IURP WKH WDUJHW
([DPSOH 7ZR $UUD\ 3URFHVVLQJ
7ZR DUUD\V DUH UHFHLYLQJ GDWD IURP D SDUWLFXODU JHRJUDSKLFDO DUHD 7KH WDUJHW
PD\ RU PD\ QRW EH SUHVHQW DQG PD\ EH RU QRW EH REVHUYHG DW HLWKHU RU ERWK
ORFDWLRQV 'HWDLOV FDQ EH VHHQ LQ )LJXUH
'HQRWH E\ U W WKH GDWD UHFHLYHG DW DUUD\ L JLYHQ + WKH M WK K\SRWKHVLV
LM M
LV WUXH
(YHQWV 5HFHLYHG 'DWD
ZKHUH D LV WKH ORVV FRHpFLHQW IRU WKH VLJQDO FRPSRQHQW DW WKH LWK DUUD\
L
DVVXPLQJ D ]HUR 'RSSOHU VKLIW DQG W UHSUHVHQWV WKH GHOD\ WR UHDFK WKH LWK
L
DUUD\ IRU L DQG 7 LV WKH GXUDWLRQ RI WKH VQDSVKRW XVHG LQ WKH GHFLVLRQ
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
([DPSOH %LQDU\ )6. 3UREOHP
7KLV H[DPSOH UHSUHVHQWV DQ )6. VLJQDO RYHU D IDGLQJ FKDQQHO PXOWLSOLFDWLYH
IDGLQJ LQ DGGLWLYH QRLVH 7KH PXOWLSOLHU PW UHSUHVHQWV WKH PXOWLSOLFDWLYH
IDGLQJ WHUP DQG QW LV WKH DGGLWLYH REVHUYDWLRQ QRLVH
(YHQWV 5HFHLYHG 'DWD
;
H U W PQ W FRV > W b ~Q W@ QW
Q
;
H U W PQ W FRV > W b ~Q W@ QW
Q
6800$5<
,Q 6HFWLRQ D JHQHUDO LQWURGXFWLRQ WR WKH GHWHFWLRQ WRSLF LV JLYHQ DQG
UHODWHG UHIHUHQFH PDWHULDO LV SRLQWHG RXW $W WKH VDPH WLPH D KLVWRULFDO FRQ
QHFWLRQ WR PRGHUQ VLJQDO SURFHVVLQJ LV PDGH 6HFWLRQ SURYLGHV LQVLJKW
LQWR GHWHFWLRQ DQG HVWLPDWLRQ SUREOHPV XVLQJ H[DPSOHV 7KH VLJQDO GHWHFWLRQ
SUREOHP LV FODVVLnHG LQWR WKUHH W\SHV RI FODVVHV NQRZQ SDUDPHWHUV XQNQRZQ
,QWURGXFWLRQ
5HIHUHQFHV
>@ :KDOHQ $ 'HWHFWLRQ RI 6LJQDOV LQ 1RLVH 2UODQGR )/ $FDGHPLF
3UHVV
>@ 9DQ 7UHHV +/ 'HWHFWLRQ (VWLPDWLRQ DQG 0RGXODWLRQ 7KHRU\ 3DUW
1HZ <RUN -RKQ :LOH\ 6RQV
>@ %DUNDW 0 6LJQDO 'HWHFWLRQ DQG (VWLPDWLRQ 1RUZRRG 0$ $UWHFK
+RXVH
>@ :HEHU &/ (OHPHQWV RI 'HWHFWLRQ DQG 6LJQDO 'HVLJQ 1HZ <RUN
0F*UDZ+LOO %RRN &R DQG 6SULQJHU9HUODJ
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
>@ 0HOVD 7/ DQG &RKQ '/ 'HFLVLRQ DQG (VWLPDWLRQ 7KHRU\ 1HZ
<RUN 0F*UDZ+LOO
5HYLHZ RI 'HWHUPLQLVWLF
DQG 5DQGRP 6\VWHP DQG
6LJQDO &RQFHSWV
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
+HUH V LV WKH VLJQDO FRPSRQHQW ZKLFK PD\ DOVR KDYH D SDUDPHWULF GHSHQ
c
6FDODU 0XOWLSOLFDWLRQ
0XVW VDWLVI\
D DE[ DE[
E [ [
DQG EH UHODWHG WR YHFWRU DGGLWLRQ E\ WKH WZR GLVWULEXWLYH ODZV
D F[ \ F[ F\ IRU DOO [ DQG \ LQ .
E D E[ D[ E[ IRU DOO [ DQG \ LQ .
,Q DGGLWLRQ WKH YHFWRU VSDFH PXVW KDYH D GLVWDQFH QRUP DQG DQ DQJOH LQQHU
SURGXFW PHDVXUH 6R LI ZH WDNH D FRPSOHWH LQQHU SURGXFW VSDFH LH D
YHFWRU VSDFH DOO RI WKHVH SURSHUWLHV KROG 6LQFH WKH PDMRULW\ RI SUREOHPV
DQG DSSOLFDWLRQV GHDO ZLWK GLVFUHWHWLPH SUREOHPV PRUH DWWHQWLRQ LV EURXJKW
WR WKHVH W\SHV RI SUREOHPV :KHUH DSSURSULDWH WKH FRQWLQXRXV WLPH W\SH
SUREOHPV DUH DGGUHVVHG 7KH KLHUDUFK\ IRU WKH YHFWRU VSDFH LV DV IROORZV
JURXS ULQJ nHOG YHFWRU VSDFH DOJHEUD FRPSOHWH QRUPHG VSDFH
VSUHDG RI WKH GHQVLW\ IXQFWLRQ RI WKH UDQGRP YDULDEOH DERXW LWV PHDQ 7KHVH
FRQFHSWV DUH H[WHQGHG WR SURYLGH DXWRFRUUHODWLRQ DQG FURVVFRUUHODWLRQ IXQF
WLRQV RI UDQGRP SURFHVVHV RU UDQGRP VHTXHQFHV 0DQ\ RI WKH SURSHUWLHV RI
WKH FRUUHODWLRQ IXQFWLRQV DQG WKHLU )RXULHU WUDQVIRUPV LH WKH SRZHU VSHF
WUDO GHQVLW\ 36' DUH JLYHQ LQ $SSHQGL[ $ &KDSWHU 6HFWLRQ H[DPLQHV
SRZHU VSHFWUDO GHQVLW\ HVWLPDWLRQ ZLOO SURYLGH VRPH PRUH LQVLJKW
DQG
;
(\ Q KQ b P ([P
P b
7KH VHFRQG RUGHU PRPHQWV DUH REWDLQHG E\ IRUPLQJ WKH DSSURSULDWH SURGXFWV
DQG WKHQ WDNLQJ DQ H[SHFWDWLRQ )RU H[DPSOH IRU WKH FRQWLQXRXV WLPH V\VWHP
DVVXPLQJ WKH LQSXW LV ZLGH VHQVH VWDWLRQDU\ ZH KDYH
= =
(\ W\ X KW ~ KX b } ( [~ [} G~ G}
b b
b
= =
KW ~ KX b } 5; ~ b } G~G}
b b
b
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
7KDW LV 5< < W X LV WKH FRQYROXWLRQ RI WKH LQSXW FRUUHODWLRQ IXQFWLRQ ZLWK
b
WKH LPSXOVH UHVSRQVH DQG D FRQYROXWLRQ ZLWK WKH WLPH UHYHUVDO RI WKH LP
SXOVH UHVSRQVH 7KH SRZHU VSHFWUDO GHQVLW\ LV WKH )RXULHU WUDQVIRUP RI WKH
FRUUHODWLRQ IXQFWLRQ DQG FDQ EH H[SUHVVHG DV
6< < 6;; M+ MM
ZKHUH + M FDQ DOVR EH ZULWWHQ DV + $ VLPLODU H[SUHVVLRQ KROGV LQ WKH
VDPSOHG ZVV GDWD FDVH
5< < Q b P ( \Q\P
;
;
KQ b N KP b C ( [N [C
N b C b
;
;
KQ b N KP b C 5; N b C
N b C b
0RUH EDFNJURXQG FDQ EH IRXQG LQ >@ 7KH SRZHU VSHFWUDO GHQVLW\
LV WKH )RXULHU WUDQVIRUP RI WKH FRUUHODWLRQ IXQFWLRQ DQG FDQ EH H[SUHVVHG DV
n n
6< < HM 6;; HM n+ HM n
6RPH WH[WERRNV IRU H[DPSOH VHH >@ UHIHU WR WKH LQWHJUDO H[SUHVVHG LQ DV
WKH FRPSOHPHQWDU\ HUURU IXQFWLRQ LH HUIF7 )LJXUH VKRZV D W\SLFDO
*DXVVLDQ 3') DQG WKH DUHD UHIHUUHG WR LQ
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
7KH IRXUWK RUGHU PRPHQW RI WKH ]HUR PHDQ UHDO YDOXHG *DXVVLDQ ZKLFK
LV YHU\ XVHIXO LQ FRPSXWLQJ WKH YDULDELOLW\ RI WKH VHFRQG RUGHU PRPHQW RI
*DXVVLDQ EDVHG YDULDEOHV FDQ HDVLO\ EH FRPSXWHG DQG LV RI WKH IRUP
([ [ [ [ ([ [ ([ [ ([ [ ([ [ ([ [ ([ [
(YHQ LI [ [ [ [ [ WKHQ ([ ([ ([ ([ ([
([ ([ }; :H QRWH LI OLQHDU RSHUDWLRQV DUH SHUIRUPHG RQ *DXVVLDQ
UDQGRP YDULDEOHV WKH UHVXOWDQW VWD\V *DXVVLDQ 7KLV UHVXOW LV HVSHFLDOO\ XVHIXO
ZKHQ GHDOLQJ ZLWK GLVFUHWH WLPH V\VWHPV VXFK DV WKRVH XVHG ZKHQ ZRUNLQJ
ZLWK GLJLWDO SURFHVVLQJ LPSOHPHQWDWLRQV $ W\SLFDO H[DPSOH LV WKH DYHUDJLQJ
SURFHGXUH 6XSSRVH ZH WDNH D ER[FDU DYHUDJHU WKDW LV D GHYLFH RU DOJRULWKP
WKDW VXPV XS 1 FRQWLJXRXV VDPSOHV RI [ DV VKRZQ LQ )LJXUH DQG XQLIRUPO\
ZHLJKWV WKH GDWD DV GHVFULEHG E\
b
1;
\ [L
L
*DXVVLDQ WKH RXWSXW \ ZLOO EH *DXVVLDQ WRR +HQFH DOO WKDW QHHGV WR EH
HVWDEOLVKHG LV WKH QHZ PHDQ RI \ DQG LWV YDULDQFH 6XSSRVH WKH LQSXW [L DUH
LLG *DXVVLDQ UDQGRP YDULDEOHV ZLWK PHDQ P; DQG YDULDQFH }; WKHQ WKH
RXWSXW \ LV *DXVVLDQ ZLWK PHDQ
b
1; b
1;
(\ ( [L ([L
L L
b
1;
P; 1P;
L
b
1;
1 1P;
b ([L [L
L
1 P; 1};
DQG YDULDQFH
}<
1};
+HQFH \ z 1 1P; 1};
S
] [ \
*LYHQ WKDW
I;< [ \
H[S [ \
{} } b
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
WKHQ
] b]
I= ] H[S
} } 8 ]
ZKHUH 8 ] GHQRWHV WKH XQLW VWHS IXQFWLRQ
7KH DUHD WR WKH ULJKW RI D JLYHQ WKUHVKROG 7 LV JLYHQ E\
= ] ]
H[S b
} G]
7
}
7KH YDULDEOH ] LV WKH RXWSXW RI D W\SLFDO HQYHORSH GHWHFWRU XQGHU WKH QRLVH
RQO\ FRQGLWLRQV :H QRWH WKDW WKH YDULDEOH ] FDQ DOVR GHQRWH WKH PDJQLWXGH
RI D FRPSOH[ YDULDEOH ZKHUH [ DQG \ DUH WKH UHDO DQG LPDJLQDU\ FRPSRQHQWV
RU WKH (XFOLGHDQ GLVWDQFH LQ D WZRGLPHQVLRQDO VSDFH
6RPH WLPH DJR D FRQYHQLHQW DQDORJ HOHFWURQLF FLUFXLW ZDV WKH HQYHORSH
GHWHFWRU W\SLFDOO\ LPSOHPHQWHG ZLWK D RQH ZD\ UHFWLnHU GLRGH DQG DQ 5& nOWHU
VHH )LJXUH D (TXLYDOHQWO\ ZH FDQ WDNH WKH GDWD DIWHU GLJLWL]DWLRQ DQG
DSSO\ DQ HQYHORSH IRUPLQJ RSHUDWLRQ )LJXUH E 0DQ\ WLPHV LW WXUQV
RXW WKDW D YLGHR RXWSXW ZKLFK LV DFWXDOO\ DQ HQYHORSH VTXDUHG W\SH RXWSXW
LV FUHDWHG E\ WKH SURFHVVLQJ WHFKQLTXH $ W\SLFDO H[DPSOH LV WKH TXDGUDWXUH
GHPRGXODWRU IROORZHG E\ D VTXDULQJ DQG VXPPLQJ RSHUDWLRQ )LJXUH F
2U DV LQ WKH FDVH RI WKH IDVW )RXULHU WUDQVIRUP ))7 LPSOHPHQWDWLRQ WKH
VTXDUH URRW RI WKH VXP RI WKH UHDO DQG LPDJLQDU\ RXWSXW VTXDUHG )LJXUH
G PDNHV XS WKH HQYHORSH +HUH WKH VLJQDO UW LV JLYHQ
U W ] W FRV F W W
[W FRV F W \ WVLQF W
b
)URP WKH &DXFK\ GHQVLW\ WKH XQLIRUP GHQVLW\ FDQ HDVLO\ EH GHULYHG 7KH
XQLIRUP GHQVLW\ LV IUHTXHQWO\ XVHG WR PRGHO WKH XQFHUWDLQW\ LQ WKH SKDVH RI D
EDQGOLPLWHG *DXVVLDQ RU D VLQXVRLGDO UDQGRP SURFHVV
8QLIRUP 'HQVLW\
/HW Z DUFWDQW DUFWDQ\ [ WKHQ ZH REWDLQ
I: Z
{ MZ {
M
7KH DUHD WR WKH ULJKW RI D WKUHVKROG 7 LV
= {
GZ { 7
7
{ { b
5HYLHZ RI 6\VWHPV 6LJQDOV
)LJXUH D VKRZV WKH XQLIRUP 3') ZKLOH )LJXUH E VKRZV D W\SLFDO
SKDVH HVWLPDWLRQ VFKHPH XVLQJ WKH NWK ELQ RI WKH ))7 ZKLFK ZKHQ GHDOLQJ
ZLWK *DXVVLDQ QRLVH OHDGV WR WKH XQLIRUP 3') :H QRWH WKDW D QDUURZEDQG
*DXVVLDQ QRLVH SURFHVV FDQ HTXLYDOHQWO\ EH H[SUHVVHG DV D UDQGRP SURFHVV
ZLWK D 5D\OHLJK GLVWULEXWHG HQYHORSH DQG D XQLIRUP UDQGRP SKDVH IRU HDFK
SRLQW LQ WLPH RU DV D SURFHVV FRQVLVWLQJ RI TXDGUDWXUH FRPSRQHQWV FHQWHUHG
DW D FDUULHU IUHTXHQF\
&KL6TXDUHG 'HQVLW\
7KH 3') RI WKH VXP RI 1 LQGHSHQGHQW VTXDUHG LGHQWLFDOO\ GLVWULEXWHG *DXV
VLDQ UDQGRP YDULDEOHV LV FKLVTXDUHG ZLWK 1 GHJUHHV RI IUHHGRP ZKHUH 1 LV
WKH QXPEHU RI YDULDWHV LQYROYHG LQ WKH VTXDULQJ RSHUDWLRQ DQG [L 1 }
z
IRU L 1 >@
ccc
7KLV GHQVLW\ RFFXUV W\SLFDOO\ DW WKH RXWSXW RI D VSHFWUXP DQDO\]HU XQGHU WKH
*DXVVLDQ QRLVH RQO\ FRQGLWLRQ 7KLV LV WKH HTXLYDOHQW WR )LJXUH G ZLWK
RXW WKH XVH RI WKH VTXDUH URRW RSHUDWLRQ ,Q JHQHUDO LI WKH LQSXW QRLVH GHQVLW\
LV *DXVVLDQ RU ZH FDQ FODLP WKH VXPPDWLRQ RI PDQ\ LQGHSHQGHQW UDQGRP
YDULDEOHV IRUP WZR LQGHSHQGHQW LGHQWLFDOO\ GLVWULEXWHG *DXVVLDQ YDULDEOHV
WKHQ WKH RXWSXW GHQVLW\ WHQGV WR EH H[SRQHQWLDO LH FKLVTXDUHG ZLWK WZR
GHJUHHV RI IUHHGRP $ W\SLFDO SURFHVVLQJ VFKHPH LV WKH DUUDQJHPHQW JLYHQ
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
ZKHUH WKH [L z 1 }
7KH 3') WKHQ EHFRPHV
r F s
I& F F1 b H[S
1 1
} b1 b
} 8 F
6RPH W\SLFDO PHPEHUV RI WKLV 3') XVLQJ D } RI DUH VKRZQ LQ )LJXUH
:H QRWH WKDW WKLV FRUUHVSRQGV WR LQFRKHUHQW DOVR FDOOHG SRZHU DYHUDJ
LQJ RI SHULRGRJUDPV 7\SLFDOO\ RQH VHHNV WR LPSURYH WKH YDULDQFH RI WKH
EDVLF SHULRGRJUDP E\ DYHUDJLQJ VHTXHQWLDO VSHFWUDO RXWSXWV 7KHVH RXWSXWV
DUH VHTXHQWLDO LQ WLPH DQG IRU WKH SXUSRVH RI RXU GLVFXVVLRQ DVVXPHG WR
EH LQGHSHQGHQW $V\PSWRWLFDOO\ IRU ODUJH QXPEHUV RI DYHUDJHV RQH H[SHFWV
DERXW D G% GHFLEHO LPSURYHPHQW SHU GRXEOLQJ RI WKH QXPEHU RI WHUPV
XVHG LQ WKH DYHUDJLQJ SURFHGXUH 7KH EDVLF nOWHU EDQGZLGWK RI WKH VSHFWUXP
DQDO\]HU ))7 UHPDLQV FRQVWDQW URXJKO\ IVDPSOLQJ 1 SURYLGLQJ VRPH UR
EXVWQHVV 2Q WKH RWKHU KDQG XVLQJ FRKHUHQW DYHUDJLQJ ZRXOG KDYH UHVXOWHG
LQ D G% JDLQ SHU GRXEOLQJ RI WKH QXPEHU RI WHUPV LQ WKH ))7 RSHUDWLRQ
EXW WKHQ WKH nOWHU EDQGZLGWK VKULQNV IVDPSOLQJ 1 ZLWK WKH LQFUHDVLQJ 1
'HSHQGLQJ RQ ZKDW WKH VLJQDO RI LQWHUHVW GRHV LW PD\ EH ORVW E\ EHLQJ RYHU
UHVROYHG WKDW LV WKH VLJQDO VSLOOV LQWR PDQ\ DGMDFHQW VSHFWUDO ELQV 2QH QHHGV
WR FDUHIXOO\ HYDOXDWH WKH WUDGHRmV EHWZHHQ YDULDQFH UHGXFWLRQ EDQGZLGWK
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
DQG
1
S
b
7
X
} S
5HYLHZ RI 6\VWHPV 6LJQDOV
5LFLDQ 'HQVLW\ 1RQ&HQWUDO 5D\OHLJK
7KH 5LFLDQ GHQVLW\ LV D PRGLnHG 5D\OHLJK GHQVLW\ ZKLFK LV REWDLQHG DV WKH
HQYHORSH RI WZR LQGHSHQGHQW *DXVVLDQ UDQGRP YDULDEOHV WKDW KDYH RQH RU
WZR VLJQDO UHODWHG FRPSRQHQWV LQ RQH RU ERWK YDULDEOHV UHVSHFWLYHO\ 7KLV
FRUUHVSRQGV WR WKH GHQVLW\ RI WKH RXWSXW RI DQ HQYHORSH GHWHFWRU ZKLFK LV IHG
E\ WKH VLJQDO FRPSRQHQWV HPEHGGHG LQ *DXVVLDQ EDQGSDVV QRLVH 62 5LFH
DIWHU ZKLFK WKH GHQVLW\ LV QDPHG LV FUHGLWHG ZLWK WKH RULJLQDO ZRUN >@ 7KH
GHWHFWRU IRUP LV WKH VDPH DV LQ )LJXUH 7KH GHQVLW\ LV H[SUHVVHG DV
I X
HbX P } X , r XP s
8 }
}
IRU SRVLWLYH X ZKHUH S
X [ \
DQG
H[S [ P \
I;< [ \
b
{} } b
1
;
Y $ [L
L
r Y s1 b t u w
I9 Y
H[S wY Yw
} w
b
} ,1 b
}
IRU Y ZLWK w $ 1 $ W\SLFDO VHW RI 3')V LV VKRZQ LQ )LJXUH
w
6RPH UHVXOWV DUH DYDLODEOH XVLQJ KLJKHU RUGHU PRPHQWV RU FXPXODQWV &X
PXODQWV RI RUGHU WKUHH DQG KLJKHU DUH ]HUR IRU WUXH *DXVVLDQ YDULDWHV DOORZLQJ
WKH HVWLPDWLRQ DQG LGHQWLnFDWLRQ RI WKH GHJUHH RI *DXVVLDQLW\ LH KRZ PXFK
RI WKH QRLVH LV *DXVVLDQ >@ 5HFHQWO\ VHYHUDO SDSHUV DSSHDULQJ LQ WKH ,(((
6LJQDO 3URFHVVLQJ 7UDQVDFWLRQV GHDO ZLWK WKHVH W\SHV RI SUREOHPV >@
:H QRWH DOVR WKDW WKH W\SHV RI GHQVLWLHV GHVFULEHG HDUOLHU LQ WKLV FKDSWHU
DUH W\SLFDO IRU WKRVH REVHUYHG DW WKH RXWSXW RI ))7W\SH SURFHVVRUV ZKLFK DUH
XVHG WR REWDLQ VSHFWUDO GHWHFWLRQ LH SRZHU VSHFWUXP RU VSDWLDO GHWHFWLRQ
LH LQWHQVLW\ RU SRZHU RXW RI D EHDP IRUPHU DV D IXQFWLRQ RI ORRN GLUHFWLRQ
6800$5<
7KLV FKDSWHU SURYLGHV VRPH V\VWHP VLJQDO DQG VWDWLVWLFDO EDFNJURXQG 7KH
nUVW VHFWLRQ LQWURGXFHV WKH QRWLRQ RI YHFWRU VSDFHV 6HFWLRQ GLVFXVVHV VRPH
DVSHFWV RI V\VWHP WKHRU\ LQ WHUPV RI FRUUHODWLRQ IXQFWLRQV DQG SRZHU VSHF
WUDO GHQVLWLHV 6HFWLRQ LQWURGXFHV WKH WUDQVIRUPDWLRQ RI *DXVVLDQ UDQGRP
YDULDEOHV ,Q SDUWLFXODU WKH UDQGRP YDULDEOHV RI LQWHUHVW LQ FRPPXQLFDWLRQV
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
GHWHFWLRQ WKHRU\ DQG VLJQDO SURFHVVLQJ DUH GLVFXVVHG $Q HmRUW LV PDGH WR
VKRZ KRZ WKHVH 3')V PLJKW EH JHQHUDWHG 6RPH RI WKH DSSHQGLFHV SURYLGH
PRUH GHWDLOV DQG VXPPDULHV RI WKH EDVLF SUREDELOLW\ SURSHUWLHV
352%/(06
&RPSXWHU ([HUFLVH
D &UHDWH XQLIRUP UDQGRP YDULDEOHV XQ IRU Q RU ccc
LLG *DXVVLDQ UDQGRP YDULDEOHV UYV KDYLQJ D ]HUR PHDQ DQG D YDUL
DQFH RI 2QH ZD\ WR GR WKLV LV WR VFDOH WKH UDQGRP YDULDEOHV REWDLQHG
LQ VWHS E RU WR XVH WKH *DXVVLDQ QRLVH JHQHUDWRU UDQGQ LQ 0$7/$%
GLUHFWO\ 0DNH VXUH WKDW QRQH RI WKH UDQGRP YDULDEOHV JQ LV XVHG PRUH
WKDQ RQFH
S
U Q J L JM L M
G &UHDWH 5LFLDQ UDQGRP YDULDEOHV E\ XVLQJ WZR MRLQWO\ *DXVVLDQ LQGH
SHQGHQW UY RQH ZLWK PHDQ ]HUR RQH ZLWK PHDQ YDULDQFH )RU
Z Q IRU Q 0DNH VXUH WKDW QRQH RI WKH UDQGRP YDULDEOHV
ccc
DQG \ 1 }
z
[ 1 P; } I; [
H[S [ P; b
z S
{}
b
}
\ 1 P< } I< \
H[S [ P< b
z S
{}
b
}
I;< [ \
H[S [ \
{} }
ZKHUH [ DQG \ DUH MRLQWO\ *DXVVLDQ ZLWK [ 1 } DQG \ 1 }
z z
/HW W EH WKH UDWLR RI WKH WZR LLG *DXVVLDQ UDQGRP YDULDEOHV DV GHnQHG
LQ SUREOHP DERYH VR W [ \ )LQG I W
/HW Z DUFWDQ W DUFWDQ [ \ )LQG I Z ZKHUH [ DQG \ DUH MRLQWO\
*DXVVLDQ UDQGRP YDULDEOHV DV GHnQHG LQ SUREOHP DERYH
/HW H EH WKH VXP RI LLG VTXDUHG MRLQWO\ *DXVVLDQ UDQGRP YDULDEOHV
DV GHnQHG LQ SUREOHP IRU L [L 1 } )LQG I H ZKHUH
z
H [ [
S
/HW Y EH [ \ ZKHUH [ DQG \ DUH MRLQWO\ *DXVVLDQ DQG [ z
1 P } DQG \ 1 } )LQG I Y
z
5HIHUHQFHV
>@ )UDQNV /( 6LJQDO 7KHRU\ (QJOHZRRG &OLmV 1- 3UHQWLFH+DOO
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
>@ 9DQ 7UHHV +/ 'HWHFWLRQ (VWLPDWLRQ DQG 0RGXODWLRQ 7KHRU\ 3DUW
1HZ <RUN -RKQ :LOH\ 6RQV
>@ 1REOH % DQG 'DQLHO -: $SSOLHG /LQHDU $OJHEUD (QJOHZRRG &OLmV
1- 3UHQWLFH+DOO
>@ 6FKDUI // 6WDWLVWLFDO 6LJQDO 3URFHVVLQJ 'HWHFWLRQ (VWLPDWLRQ DQG
7LPH 6HULHV $QDO\VLV 1HZ <RUN $GGLVRQ:HVOH\
>@ )DQWH 5/ 6LJQDO $QDO\VLV DQG (VWLPDWLRQ DQ ,QWURGXFWLRQ 1HZ
<RUN -RKQ :LOH\ 6RQV
>@ :KDOHQ $' 'HWHFWLRQ RI 6LJQDOV LQ 1RLVH 1HZ <RUN $FDGHPLF
3UHVV &KDSWHU
>@ 3DSRXOLV $ 3UREDELOLW\ 5DQGRP 9DULDEOHV DQG 6WRFKDVWLF 3URFHVVHV
1HZ <RUN 0F*UDZ+LOO
>@ 0F'RQRXJK 51 DQG :KDOHQ $' 'HWHFWLRQ RI 6LJQDOV LQ 1RLVH
QG (G 6DQ 'LHJR &$ $FDGHPLF 3UHVV
>@ 5LFH 62 ?0DWKHPDWLFDO DQDO\VLV RI UDQGRP QRLVH %HOO 6\VW 7HFK
- 9RO SS ^
>@ 0HQGHO -0 ?7XWRULDO RQ KLJKHURUGHU VWDWLVWLFV VSHFWUD LQ VLJQDO
SURFHVVLQJ DQG V\VWHP WKHRU\ 7KHRUHWLFDO UHVXOWV DQG VRPH DSSOLFD
WLRQV 3URF ,((( 9RO 1R SS ^ 0DUFK
>@ 1LNLDV &/ DQG 5DJKXYHHU 05 ?%LVSHFWUXP HVWLPDWLRQ $ GLJLWDO
VLJQDO SURFHVVLQJ IUDPHZRUN 3URF ,((( 9RO 1R SS ^
-XO\
>@ 7KH 0DWKZRUNV ,QF 1DWLFN 0$
>@ 7KHUULHQ &: 'LVFUHWH 5DQGRP 6LJQDOV DQG 6WDWLVWLFDO 6LJQDO 3UR
FHVVLQJ (QJOHZRRG &OLmV 1- 3UHQWLFH+DOO
>@ .D\ 60 0RGHUQ 6SHFWUDO (VWLPDWLRQ 7KHRU\ DQG $SSOLFDWLRQ (Q
JOHZRRG &OLmV 1- 3UHQWLFH+DOO
>@ 0DUSOH 6/ 'LJLWDO 6SHFWUDO $QDO\VLV (QJOHZRRG &OLmV 1- 3UHQWLFH
+DOO
>@ &KHQ &7 /LQHDU 6\VWHPV 7KHRU\ DQG 'HVLJQ 1HZ <RUN +ROW 5LQH
KDUW DQG :LQVWRQ
>@ 0RUWHQVHQ 5( 5DQGRP 6LJQDOV DQG 6\VWHPV 1HZ <RUN -RKQ :LOH\
6RQV
>@ .DLODWK 7 /LQHDU 6\VWHPV (QJOHZRRG &OLmV 1- 3UHQWLFH+DOO
5HYLHZ RI 6\VWHPV 6LJQDOV
>@ *ROXE *+ DQG 9DQ/RDQ &) 0DWUL[ &RPSXWDWLRQV QG (G %DO
WLPRUH DQG /RQGRQ 7KH -RKQV +RSNLQV 8QLYHUVLW\ 3UHVV
>@ 6KDQPXJDQ .6 DQG %UHLSRKO $0 5DQGRP 6LJQDOV 'HWHFWLRQ
(VWLPDWLRQ DQG 'DWD $QDO\VLV 1HZ <RUN -RKQ :LOH\ 6RQV
>@ 1LNLDV &/ DQG 3HWURSXOX $3 +LJKHU2UGHU 6SHFWUD $QDO\VLV $
1RQOLQHDU 6LJQDO 3URFHVVLQJ )UDPHZRUN (QJOHZRRG &OLmV 1- 3UHQWLFH
+DOO
>@ /DUVRQ +- DQG 6KXEHUW %2 3UREDELOLVWLF 0RGHOV LQ (QJLQHHULQJ
6FLHQFHV 9ROXPH 5DQGRP 9DULDEOHV DQG 6WRFKDVWLF 3URFHVVHV 1HZ
<RUN -RKQ :LOH\ 6RQV
>@ 3HDUVRQ . 7DEOHV RI WKH ,QFRPSOHWH b)XQFWLRQ /RQGRQ DQG 1HZ
<RUN &DPEULGJH 8QLYHUVLW\ 3UHVV
>@ 0DUFXP -, ?7DEOH RI 4)XQFWLRQV 5DQG &RUSRUDWLRQ 5HSRUW 50
-DQXDU\
>@ 3URDNLV -* 'LJLWDO &RPPXQLFDWLRQV UG (G 1HZ <RUN 0F*UDZ
+LOO
&KDSWHU
,QWURGXFWLRQ WR 6LJQDO
3URFHVVLQJ
,1752'8&7,21
7KLV FKDSWHU SURYLGHV DQ LQWURGXFWLRQ WR VRPH RI WKH EDVLF DVSHFWV RI GLJL
WDO VLJQDO SURFHVVLQJ '63 ,W FDQ DOVR EH XVHG IRU D TXLFN UHYLHZ RI VRPH
RI WKH HVVHQWLDO LGHDV 7KH EDVLF PDWKHPDWLFDO EDFNJURXQG UHTXLUHG LV DQ
H[SRVXUH WR VXPPDWLRQV =WUDQVIRUPV DQG GLVFUHWHWLPH )RXULHU WUDQVIRUPV
'7)7V $IWHU nQLVKLQJ WKH nUVW SDUW RI WKLV FKDSWHU WKH UHDGHU ZLOO KDYH
EHHQ H[SRVHG WR WKH FRQFHSWV RI FRQYROXWLRQ nOWHULQJ FRUUHODWLRQ DQG WKH
SRZHU VSHFWUDO GHQVLW\ DQG ZLOO KDYH JDLQHG VRPH DSSUHFLDWLRQ IRU WKH '7)7
WKH GLVFUHWH )RXULHU WUDQVIRUP ')7 DQG LWV IDVW FRXVLQ WKH IDVW )RXULHU
WUDQVIRUP ))7 7KH ))7 LV WKH PDLQ WRRO LQ PDQ\ VLJQDO SURFHVVLQJ DSSOL
FDWLRQV DQG ZLOO EH H[DPLQHG IURP VHYHUDO SRLQWV RI YLHZ 7KH VHFRQG SDUW RI
WKH FKDSWHU DGGUHVVHV WKH ZDYHOHW WUDQVIRUP :7 DW D YHU\ HOHPHQWDU\ OHYHO
DOORZLQJ WKH UHDGHU WR EHFRPH IDPLOLDU ZLWK VRPH RI WKH LPSRUWDQW DWWULEXWHV
RI WKH :7 DW OHDVW DV IDU DV WKHLU DSSOLFDWLRQ LV FRQFHUQHG
WKHRUHP >@ 7KH GDWD VHTXHQFHV FDQ DOVR EH UHSUHVHQWHG LQ YHFWRU IRUP $
W\SLFDO GDWD oRZ VFHQDULR LV VKRZQ LQ )LJXUH )RU PRUH LQIRUPDWLRQ WKH
UHDGHU LV HQFRXUDJHG WR FRQVXOW >@
6XSSRVH WKDW ZH KDYH WKH VHTXHQFH
I[L JL1>
I[ [ [ c c c [1> J
WKHQ ZH FDQ DOVR UHSUHVHQW WKH VHTXHQFH XVLQJ WKH YHFWRU QRWDWLRQ
[7 I[ [ c c c [1> J
,I WKH LQWHQW LV FOHDU ZH FDQ ZULWH WKH VHTXHQFH DV
I[ [ c c c [1> J I[Q Q c c c 1 b J
RU LQ VKRUW KDQG QRWDWLRQ DV [Q RU [Q E\ GURSSLQJ WKH FXUO\ EUDFNHWV
*LYHQ WZR HTXDO OHQJWK VHTXHQFHV [Q DQG XQ ZH FDQ RSHUDWH RQ WKHP LQ WKH
IROORZLQJ ZD\V
3URGXFW ]L [L XL IRU L c c c 1 b
SRLQW E\ SRLQW
6XP ZL [L XL IRU L c c c 1 b
SRLQW E\ SRLQW
&RQYROXWLRQ
;L [Q
e
\Q
L
[ XQ>L
FRQY XQ
&RUUHODWLRQ
;L [Q
e
FQ
L
[ X L Q
FRUU XQ
,QQHU SURGXFW F [7 X VL]H d ZKHUH [ DQG \ DUH RI
RU 6FDODU SURGXFW GLPHQVLRQ 1 d
2XWHU SURGXFW 4 [X7 VL]H 1 d 1 ZKHUH [ DQG \ DUH RI
GLPHQVLRQ 1 d
,QWURGXFWLRQ WR 6LJQDO 3URFHVVLQJ
',6&5(7(7,0( 75$16)250$7,216
7KH ELODWHUDO =WUDQVIRUP RI WKH VHTXHQFH [Q LV GHnQHG E\
= I[QJ ; ]
; [Q ] >Q
Q >
ZKHUH ] UHM >b{ {@ DQG U LV D SRVLWLYH UHDO QXPEHU :H QRWH
WKDW LQ FLUFXLW DQG V\VWHP DQDO\VLV ZKHQ JRLQJ WR WKH WUDQVIRUP GRPDLQ
FRQYROXWLRQ DQG FRUUHODWLRQ RSHUDWLRQV DUH UHGXFHG WR SURGXFW RSHUDWLRQV 2I
FRXUVH RQH KDV WR SHUIRUP ERWK WKH IRUZDUG DQG LQYHUVH WUDQVIRUPDWLRQV
7KH LQYHUVH LV JLYHQ E\
[Q = > I; ] J
,
; ] ]Q> G]
{M F
0RVW HQJLQHHUV SHUIRUP WKH LQYHUVH SUHIHUDEO\ LQ WHUPV RI VWDQGDUG H[SUHV
VLRQV YLD SDUWLDO IUDFWLRQ H[SDQVLRQ 7KHVH H[SUHVVLRQV DUH HDVLO\ LQYHUWHG
XVLQJ WDEOHV DV FDQ EH IRXQG LQ >@ 1RWH WKDW LQ WKH ELOLQHDU WUDQVIRUPD
WLRQ WKH WLPH YDULDEOH Q UDQJHV RYHU DOO WLPH LQGH[HV 7KLV DGPLWV WKH H[LV
WHQFH RI D QRQFDXVDO VHTXHQFH ,Q FLUFXLW DQDO\VLV WKH YDULDEOH Q ZLOO WDNH
RQ RQO\ QRQQHJDWLYH YDOXHV WKH H[FHSWLRQV DUH WKH SRVVLEOH QRQ]HUR LQLWLDO
FRQGLWLRQV )RU ELODWHUDO TXDQWLWLHV VXFK DV FRUUHODWLRQ IXQFWLRQV SUREDELO
LW\ GHQVLW\ IXQFWLRQV SRZHU VSHFWUDO GHQVLWLHV DQG RI FRXUVH VSDWLDO YDULDEOHV
LH SRVLWLRQ LQ [ \ ] RQH QHHGV WR UHVRUW WR WKH WZRVLGHG WUDQVIRUP DV
GHnQHG LQ
7KH '7)7 SDLU LV GHnQHG E\ WKH IRUZDUG WUDQVIRUP
; HM
; [Q H>MQ
Q >
ZKLFK LV MXVW WKH =WUDQVIRUP HYDOXDWHG RQ WKH XQLW FLUFOH LH ] U H[S>M
[Q
=
ZLWK U ZKLOH WKH LQYHUVH WUDQVIRUP LV JLYHQ E\
{ ; HM HMQ G
{ >{
,I WKH GDWD VHWV DUH nQLWH LQ GXUDWLRQ I[Q Q c c c 1 b J WKHQ WKH
'7)7 SDLU EHFRPHV WKH GLVFUHWH )RXULHU WUDQVIRUP ')7 SDLU JLYHQ E\
; N
;
1>
[Q H>M { 1 NQ
Q
DQG
[Q
;
1> ; N HM { 1 NQ
1 N
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
ZKHUH { 1 N FRUUHVSRQGV WR WKH NWK IUHTXHQF\ FRPSRQHQW DOVR H[SUHVVHG
DV N 7KH ')7 LV WKH GLVFUHWH WLPH DQDORJ RI WKH FRQWLQXRXV WLPH )RXULHU
VHULHV H[SDQVLRQ WKDW LV ; N LV WKH SURMHFWLRQ RI [Q RQWR D FRPSOH[ VLQXVRLG
ZKLFK KDV H[DFWO\ N SHULRGV RYHU 1 VHTXHQWLDO SRLQWV LQ WLPH 7R VLPSOLI\
WKH PDWKHPDWLFDO H[SUHVVLRQV ZH VRPHWLPHV UHSODFH H[S bM {N 1 ZLWK WKH
V\PERO :1N 7KH ')7 DQG LWV LQYHUVH FDQ WKHQ EH ZULWWHQ DV
; N
;
1>
[Q :1NQ
Q
DQG
[Q
;
1> ; N : >NQ
1
1 Q
7KH QRUPDOL]DWLRQ
S E\ 1 FDQ EH DSSOLHG LQ HLWKHU GRPDLQ RU FDQ EH VSOLW
LH 1 DQG EH DSSOLHG LQ ERWK GRPDLQV
7KHUH LV D EUXWH IRUFH ZD\ WR HYDOXDWH WKH ')7 DQG D IDVW ZD\
7UDGLWLRQDOO\ LI 1 LV D SRZHU RI LH 1 y IRU y SRVLWLYH LQWHJHU
WKHQ LV FRPSXWHG XVLQJ WKH ))7 5HODWLYH WR WKH EUXWH IRUFH ZD\ ZKLFK
UHTXLUHV 1 PXOWLSOLFDWLRQV ZKHQ PDQLSXODWLQJ 1 LQSXW GDWD SRLQWV WKH ))7
LV IDVWHU LH WKH W\SLFDO FRVW LV 1 ORJ 1 PXOWLSOLFDWLRQV ZKLOH SUHVHUYLQJ
H[DFWO\ WKH VDPH DFFXUDF\ 7KHUH DUH PDQ\ RWKHU ZD\V WR LPSOHPHQW WKH
))7 RSHUDWLRQ LH WKH :LQRJUDG WUDQVIRUP QXPEHU WKHRUHWLF WUDQVIRUP
HWF >@
),/7(5,1*
2QH RI WKH PDLQ VLJQDO FRQGLWLRQLQJ DQG VLJQDO SURFHVVLQJ RSHUDWLRQV SHU
IRUPHG LV WKH nOWHULQJ RSHUDWLRQ 5RXJKO\ VSHDNLQJ JLYHQ D GDWD VHW ZLWK
VRPH SDUWLFXODU FKDUDFWHULVWLFV ZH ZDQW WR LVRODWH EORFN RU SDVV FHUWDLQ
W\SHV RI FKDUDFWHULVWLFV 8VXDOO\ ZH GHDO ZLWK D VSHFWUDO GLVFXVVLRQ LQ ZKLFK
ZH WDON DERXW D VSHFWUDO UHJLRQ IUHTXHQF\ UHJLRQV WKDW ZH ZDQW WR VKDSH
WKDW LV DQQLKLODWH RU SDVV $ VLPSOH H[DPSOH UHODWHV WR WKH UDGLR VSHFWUXP
VD\ WKH )0 SRUWLRQ LQ ZKHUH ZH ZDQW WR SDVV WKDW LV WR OLVWHQ WR RQH
JLYHQ )0 UDGLR VWDWLRQ 7\SLFDOO\ ZH WXQH D nOWHU EDQGSDVV WR WKH VSHF
WUDO UHJLRQ VD\ IRU H[DPSOH 0+] DQG SDVV VLJQDOV WKDW H[LVW LQ WKH
QHLJKERUKRRG RI WKH FDUULHU IUHTXHQF\ 0+] )RU FRPPHUFLDO )0 VWD
WLRQV WKH QHLJKERUKRRG LV h .+] LH EDQGZLGWK DQG WKH FDUULHU VSDFLQJ
LH SRWHQWLDOO\ WKH PLQLPXP VSHFWUDO GLVWDQFH WR DQRWKHU )0 VWDWLRQ LV
.+]
7\SLFDO nOWHU IXQFWLRQV DUH RI D ORZ SDVV KLJK SDVV EDQGSDVV RU EDQGVWRS
QDWXUH $V WKH QDPH LPSOLHV ORZ IUHTXHQF\ KLJK IUHTXHQF\ DQG LQWHUPHGLDWH
IUHTXHQF\ FRPSRQHQWV DUH SDVVHG RU LQWHUPHGLDWH IUHTXHQF\ FRPSRQHQWV DUH
,QWURGXFWLRQ WR 6LJQDO 3URFHVVLQJ
UHPRYHG ,Q VRPH DSSOLFDWLRQV WKH nOWHU IUHTXHQF\ UHVSRQVH LQ WKH SDVV EDQG
UHJLRQ LV IXQFWLRQDOO\ UHODWHG WR WKH VLJQDO DQG QRLVH SRZHU VSHFWUDO GHQVLWLHV
LH WKH PDWFKHG nOWHU
\ Q
j
) > < HM
k
DQG REWDLQ WKH RXWSXW LQ WKH WLPH GRPDLQ YLD WKH LQYHUVH WUDQVIRUP JLYHQ E\
,I WKLV LV GRQH XVLQJ ))7V ZH FDOO WKH RSHUDWLRQ RI
\Q ) ) 7 > < N
) ) 7 > I) ) 7 I[QJ ) ) 7 IKQJJ
WKH IDVW FRQYROXWLRQ )RU ORQJ nOWHUV LH 1 LV ODUJH LW PD\ EH PXFK PRUH
HFRQRPLFDO WR WDNH WKH UHTXLUHG IRUZDUG DQG LQYHUVH WUDQVIRUPV WR REWDLQ WKH
WLPH GRPDLQ LH \Q GDWD 6RPH FRQVLGHUDWLRQV PXVW EH JLYHQ WR DYRLG
WKH ZUDSDURXQG PRGXOXV 1 DOVR FDOOHG PRG1 SUREOHP ZKLFK LV FDXVHG
E\ WKH FLUFXODU FRQYROXWLRQV >@
([DPSOH %R[FDU $YHUDJHU
7KLV EXLOGLQJ EORFN LV DOVR FDOOHG DQ LQWHJUDWH DQG GXPS nOWHU )LJXUH
VKRZV WKH DYHUDJHU LQ D EORFN GLDJUDP DQG E ),5 nOWHU IRUP ZKLOH F
GHSLFWV WKH IUHTXHQF\ UHVSRQVH
%\ LQVSHFWLQJ )LJXUH F WKH LPSXOVH UHVSRQVH LV WKH VHTXHQFH
] `_ ^
1 WLPHV
I c c c J
+ HM
; >MQ
1>
H
b H>M1
Q
b H>M
VLQ1
H>M1 >
VLQ
7KH UDWLR RI WKH WZR VLQXVRLGDO IXQFWLRQV LV DOVR NQRZQ DV WKH GLJLWDO VLQF
IXQFWLRQ 7KH PDJQLWXGH VTXDUHG IUHTXHQF\ UHVSRQVH EHFRPHV
nn
+ HM
nn
VLQ 1
VLQ
,QWURGXFWLRQ WR 6LJQDO 3URFHVVLQJ
)LJXUH %R[FDU DYHUDJHU LQWHJUDWH DQG GXPS nOWHU D EORFN GLDJUDP E
),5 nOWHU IRUP DQG F PDJQLWXGH RI WKH IUHTXHQF\ UHVSRQVH
ZKLFK LV SORWWHG LQ )LJXUH F ,W VKRZV WKDW WKH ER[FDU DYHUDJHU LV D ORZ
SDVV nOWHU VLQFH IUHTXHQF\ FRPSRQHQWV DURXQG DUH SDVVHG ZLWK SRZHU
JDLQ HTXDO WR 1 DQG IUHTXHQF\ FRPSRQHQWV DZD\ IURP LH '& DUH
DWWHQXDWHG 7KH DWWHQXDWLRQ WHQGV WR LQFUHDVH ZLWK IUHTXHQF\ LH WKH IXUWKHU
DZD\ IURP WKH ODUJHU WKH DWWHQXDWLRQ ,Q WHUPV RI SDVVEDQG GHnQLWLRQ
RQH FRXOG XVH WKH G% SRLQWV WKH QXOOWRQXOO GLVWDQFH RU WKH FRQFHSW RI
QRLVH HTXLYDOHQW EDQGZLGWK 2I DOO SRVVLEOH ORZ SDVV nOWHU LPSOHPHQWDWLRQV
WKH ER[FDU DYHUDJHU WHQGV WR EH WKH ZRUVW RQH LQ WHUPV RI VLGH OREH OHDNDJH
DQG UROO Rm LQ WKH WUDQVLWLRQ EDQG
:H n[HG WKH WLPH LQGH[ DW Q EXW LW VKRXOG EH REYLRXV ZH FRXOG DVN IRU WKH
RXWSXW DW WLPH Q L LQ ZKLFK FDVH DOO GDWD VDPSOHV LQ WKH GHOD\ OLQH PRYH ?L
SODFHV WR WKH ULJKW LH WKH \RXQJHVW GDWD VDPSOH ZRXOG EH [Q L ZKLOH
WKH ROGHVW GDWD VDPSOH ZRXOG EH [L 8VXDOO\ GDWD LV SURFHVVHG LQ VHJPHQWV
EORFNV RI VL]H 1 ZKHUH 1 FDQ EH WKH OHQJWK RI D GDWD VHJPHQW RU D VKRUWHU
SLHFH RI LW 2QH FRXOG DOVR ]HUR SDG D VKRUWHU VHJPHQW VD\ ZH XVH 0 GDWD
SRLQWV ZKHUH 0 1 DQG DSSHQG WKH GDWD YHFWRU WR VL]H 1 XVLQJ 1 b 0
]HURV )RU PRUH GHWDLOV VHH &KDSWHU 6HFWLRQ DQG &KDSWHU 6HFWLRQ
7KH DFWXDO GDWD OHQJWK PD\ EH PXFK ORQJHU WKDQ WKH ')7))7 VL]H LH
UHDO WLPH SURFHVVLQJ VR RQH XVHV VHJPHQWV RI WKH GDWD LQ D VHTXHQWLDO PDQQHU
,I WKH VHJPHQWV DUH FRQWLJXRXV WKDW LV QRQRYHUODSSHG ZLWK QR GDWD SRLQW
EHLQJ RPLWWHG WKHQ WKH ),5 nOWHU RXWSXW UDWH DW HDFK VSHFWUDO ELQ N LV
1 WLPHV WKH LQSXW VDPSOH UDWH ,Q WKLV VHQVH WKH ))7 ')7 FRUUHVSRQGV
WR D PXOWLUDWH nOWHU LH nOWHU DQG GHFLPDWH LQ WLPH VHH 6HFWLRQ &KDSWHU
6HFWLRQ DQG $SSHQGL[ ( >@
&RPSOH[ 'HPRGXODWRU ,QWHUSUHWDWLRQ
,I ZH ORRN DW ZH FDQ VHH WKDW LW LV WKH SURGXFW RI WZR VHTXHQFHV
IROORZHG E\ D VXPPDWLRQ GHYLFH )LJXUH SUHVHQWV WKLV W\SH RI LQWHU
SUHWDWLRQ :H QRWH WKDW H>M { 1 NQ LV SHULRGLF LQ 1 LH PRGXOXV 1
KHQFH ZH FDQ ORRN DW LW DV WKH RXWSXW RI DQ RVFLOODWRU LH H>M { 1 NQ
FRV{ 1 NQ b M VLQ{ 1 NQ ZKHUH HYHU\ N FRUUHVSRQGV WR D FRPSOH[ YDO
XHG VLQXVRLGDO VLJQDO WKDW KDV H[DFWO\ N SHULRGV RYHU 1 GDWD SRLQWV ,I ZH
LQWHUSUHW WKH 1 GDWD SRLQWV DV RQH SHULRG RI D ODUJHU GXUDWLRQ GDWD VHJPHQW
WKHQ ZH VHH WKDW WKLV LQWHUSUHWDWLRQ LV WKDW RI WKH GLVFUHWH WLPH )RXULHU VHULHV
GHFRPSRVLWLRQ 7KH VHWXS LQ )LJXUH LV WKH VDPH DV LQ DQ\ FRQYHQWLRQDO
KHWHURG\QH UHFHLYHU WKH GLmHUHQFH LV LQ WKH QDWXUH RI WKH RVFLOODWRU VLJQDO D
FRPSOH[ YDOXHG VLQXVRLG UDWKHU WKDQ D UHDO YDOXHG VLQXVRLG 7KH PXOWLSOLFD
WLRQ FUHDWHV WKH VXP DQG GLmHUHQFH IUHTXHQF\ WHUPV ZKLOH WKH VXPPHU D ORZ
SDVV nOWHU VHH ([DPSOH UHPRYHV WKH KLJK LH VXP IUHTXHQF\ WHUPV
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
WKH ]HUR ODJ EXW LW FRXOG HDVLO\ EH PRGLnHG WR GR VR :H DOVR QRWH WKDW WKH
FURVVFRUUHODWLRQ LV MXVW WKH LQQHU SURGXFW ZKLFK LV WKH SURMHFWLRQ RI WKH GDWD
RQWR D VHW RI RUWKRJRQDO VLQXVRLGDO IXQFWLRQV 7KLV RSHUDWLRQ LV DOVR FDOOHG D
VFDODU SURGXFW
&RQYROYHU ,QWHUSUHWDWLRQ
,Q JHQHUDO WKH RXWSXW RI D OLQHDU WLPH LQYDULDQW nOWHU FDQ EH ZULWWHQ DV
\ Q
;Q [L KQ b L
L
\1 b
;
1>
H>M { 1 N1>>L [1 b b L
L
ZKLFK HTXDOV E\ XVLQJ D FKDQJH RI YDULDEOHV DQG UHYHUVLQJ WKH XSSHU DQG
ORZHU OLPLWV RI WKH VXPPDWLRQ 7KLV LQWHUSUHWDWLRQ LV JLYHQ LQ )LJXUH
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
ZKHUH 1 LV WKH GDWD OHQJWK SRZHU RI WZR DQG ZQ LV D GDWD ZLQGRZ LH
+DPPLQJ *DXVVLDQ HWF >@ 7KLV HVWLPDWH RI WKH SRZHU VSHFWUDO GHQVLW\
LV FDOOHG WKH SHULRGRJUDP ,I RQH XVHV QR ZLQGRZ WKHQ RQH DFWXDOO\ XVHV D
UHFWDQJXODU ZLQGRZ RI VL]H 1 ,I D GDWD VHJPHQW LV QRW HTXDO LQ OHQJWK WR D
SRZHU RI WZR RU LV FKRVHQ QRW WR EH WKH VHJPHQW LV ]HUR SDGGHG WR D SRZHU
RI WZR SRVVLEO\ WKH QH[W SRZHU RI WZR EXW PD\EH HYHQ WR D ODUJHU SRZHU RI
WZR =HUR SDGGLQJ SURGXFHV DQ LQWHUSRODWHG VSHFWUXP 7KH H[SOLFLW XVH RI
D ZLQGRZ ZLOO EURDGHQ WKH PDLQ OREH UHVSRQVH LH WKH ZLGWK RI WKH VSHFWUDO
SHDN RI D FRUUHVSRQGLQJ VLQXVRLG 7KH UHFWDQJXODU ZLQGRZ LH QR H[SOLFLW
ZLQGRZ KDV WKH PRVW QDUURZ VSHFWUDO PDLQ OREH UHVSRQVH EXW DOVR KDV WKH
SRRUHVW VLGH OREH LH OHDNDJH UHVSRQVH
)RU D FURVVVSHFWUDO GHQVLW\ H[SUHVVLRQ GLVUHJDUGLQJ ZLQGRZV LV
PRGLnHG WR
;
1> [Q H>M { 1 NQ
1>;
A
3;< N \ Q H>M { 1 NQ
1 Q Q
:$9(/(76
,QWURGXFWLRQ
:DYHOHWV KDYH FDXJKW WKH DWWHQWLRQ RI WKH VLJQDO SURFHVVLQJ DQG FRPPXQLFD
WLRQV FRPPXQLW\ RQ D ODUJH VFDOH ,QJULG 'DXEHFKLHV >@ DGYRFDWHG WKH XVH
RI EDVLV IXQFWLRQV KDYLQJ D VKRUW VXSSRUW GXUDWLRQ 7KH HmHFWLYH OHQJWK RI
WKH VXSSRUW LV GLmHUHQW DW GLmHUHQW IUHTXHQFLHV VFDOHV +HU UHVHDUFK IROORZHG
HDUOLHU ZRUN E\ 0RUOHW *URVVPDQQ 0H\HU 0DOODW DQG RWKHUV IRU PRUH GH
WDLO WKH UHDGHU LV HQFRXUDJHG WR FRQVXOW >@ ,I WKH UHDGHU LV LQWHUHVWHG LQ D
,QWURGXFWLRQ WR 6LJQDO 3URFHVVLQJ
'63 UHODWHG GLVFUHWH WLPH ZDYHOHW UHIHUHQFH WKH ERRNV E\ 6WUDQJ DQG 1JX\HQ
>@ DQG 9HWWHUOL DQG .RYDFHYLuF >@ DUH UHFRPPHQGHG :H FDQQRW GR MXVWLFH
WR DOO WKH ERRNV DQG SDSHUV WKDW UHODWH WR ZDYHOHWV VLQFH ZH PXVW OLPLW RXU
VHOYHV WR D IHZ UHIHUHQFHV 2QH RI WKH SUREOHPV ZLWK WKH ZDYHOHW OLWHUDWXUH LV
WKDW PRVW DXWKRUV FODLP WR KDYH D GHVFULSWLRQ WKDW FDQ EH IROORZHG HDVLO\ E\
WKH W\SLFDO HQJLQHHU 'HVSLWH VRPH YHU\ HQWLFLQJ ERRN WLWOHV WKLV LV MXVW QRW
WKH FDVH :H PDNH DQ DWWHPSW WR UHODWH ZDYHOHW FRQFHSWV WR LGHDV HQJLQHHUV
DUH DOUHDG\ H[SRVHG WR DQG OHDYH LW XS WR WKH UHDGHU WR JR RQ WR WKH UHIHUHQFHV
VRPH RI WKHP DUH OLVWHG LQ KHUH WR REWDLQ D GHHSHU XQGHUVWDQGLQJ
:DYHOHW SURFHVVLQJ LV DOVR NQRZQ DV PXOWLUDWH nOWHULQJ RFWDYH EDQG SUR
FHVVLQJ FRQVWDQW 4nOWHULQJ ZDYHOHW VHULHV H[SDQVLRQ PXOWLUHVROXWLRQ VLJQDO
SURFHVVLQJ DQG EDQGZLGWK SURSRUWLRQDO SURFHVVLQJ 2QH FRXOG IROORZ WKH UHI
HUHQFHV XQGHU HDFK RQH RI WKHVH KHDGLQJV WR JHW PRUH LQIRUPDWLRQ DERXW WKHVH
DQG UHODWHG WRSLFV )RU WKH QHZFRPHU WKHUH DUH PDQ\ UHIHUHQFHV PDLQO\ UH
SULQWV DYDLODEOH E\ GRLQJ DQ ,QWHUQHW VHDUFK RQ WKH WRSLFV PHQWLRQHG 7KH
ZDYHOHW FRPPXQLW\ DOVR PDLQWDLQV DQ LQIRUPDWLYH HPDLO EDVHG QHZVOHWWHU
'HWDLOV FDQ EH IRXQG DW KWWSZZZZDYHOHWRUJ (DUOLHU FRSLHV RI WKH
QHZVOHWWHU DUH DUFKLYHG DQG HDVLO\ PDGH DYDLODEOH ZKHQ XVLQJ DQ ,QWHUQHW
EURZVHU LH 1HWVFDSH 1DYLJDWRU ,QWHUQHW ([SORUHU RU VLPLODU
:H DUH LQWHUHVWHG LQ ZDYHOHWV LQ WKH FRQWH[W RI GHWHFWLRQ DQG DOVR SDUDPH
WHU HVWLPDWLRQ 7KHUH DUH RWKHU JURXSV DQG LQGLYLGXDOV WKDW DUH LQWHUHVWHG LQ
ZDYHOHW EDVHG FRQFHSWV WR VROYH SDUWLDO GLmHUHQWLDO HTXDWLRQV FRPSUHVV GDWD
LH SLFWXUHV YLGHR PXVLF VSHHFK RU GHQRLVH GDWD LH UHPRYH XQZDQWHG
GLVWXUEDQFHV MXVW WR PHQWLRQ D IHZ (DFK RQH RI WKHVH DUHDV KDV D ODUJH ERG\
RI UHIHUHQFH PDWHULDO :H ZLOO GHYHORS WKH EDVLF LGHDV RI ZDYHOHW EDVHG SUR
FHVVLQJ nUVW LQ D EUXWH IRUFH ZD\ DQG WKHQ LQ WHUPV RI D IDVW YHUVLRQ VLPLODU
WR WKH QRWLRQ RI FODVVLFDO ')7 DQG ))7 SURFHVVLQJ
$V IDU DV WKH ZDYHOHW WRSLF LV FRQFHUQHG ZH XVH ),5 nOWHUV OLQHDU DQG WLPH
LQYDULDQW WKDW DUH W\SLFDOO\ RI VKRUW OHQJWK DQG DUH IROORZHG E\ D GHFLPDWLRQ
LQWHJHU UHVDPSOLQJ SURFHGXUH 0RUH RIWHQ WKDQ QRW WKH PXOWLSOLHUV RI WKH
),5 nOWHU DUH UHDO YDOXHG
5HYLVLWLQJ ),5 )LOWHUV DQG WKH ')7))7
/HW XV ORRN DW D GDWD VHTXHQFH [Q Q w DQG D QHWZRUN nOWHU ZLWK LPSXOVH
UHVSRQVH KQ VLQ Q IRU Q 1 b ZKHUH {C 1 DQG C LV
VRPH n[HG LQWHJHU
7KH IXQFWLRQ KQ LI SORWWHG ZLOO JR H[DFWO\ WKURXJK C FRPSOHWH SHULRGV
RYHU 1 GDWD SRLQWV 7KH IUHTXHQF\ UHVSRQVH + HM LV WKH )RXULHU WUDQVIRUP
RI KQ GHQRWHG E\ ) IKQJ 7KLV LV WKH VDPH VFHQDULR DV LQ )LJXUH F
H[FHSW WKDW WKH nOWHU KDV LWV FHQWHU IUHTXHQF\ DW ORFDWLRQV SOXV DQG PLQXV
C DQG RI FRXUVH WKH VSHFWUDO KHLJKW LH HQHUJ\ GHQVLW\ ZLOO EH VFDOHG
/HW XV LGHDOL]H WKH UHVSRQVH E\ DVVXPLQJ LW UROOV Rm YHU\ IDVW DW WKH HGJHV
RI WKH EDQGSDVV DQG WKDW WKH VLGH OREHV DUH QHJOLJLEOH LH FORVH WR ]HUR
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
nn nn
7KHQ WKH VSHFWUDO UHVSRQVH LV DSSUR[LPDWHG DV VKRZQ LQ )LJXUH :H QRWH
WKDW WKH nOWHU UHVSRQVH LV JLYHQ E\ + HM ZKHUH WKH FHQWHU IUHTXHQF\
nn nn
LV h{C 1 ,I ZH HYDOXDWHG WKH RXWSXW RI WKLV nOWHU DW LWV FHQWHU
IUHTXHQF\ ZH FDQ UHIHU WR + HM {C 1 RU M+ CM ZLWK WKH XQGHUVWDQGLQJ
WKDW WKH LQWHJHU C FRUUHVSRQGV WR WKH VSHFWUDO ORFDWLRQ {C 1 RU C
7KH ))7 VHH 6HFWLRQ LV D FROOHFWLRQ RI ),5 EDQGSDVV nOWHUV ZLWK
FRPSOH[ YDOXHG LPSXOVH UHVSRQVHV ZKRVH RXWSXWV DUH GHFLPDWHG LQ WLPH
(DFK nOWHU KDV ZKHQ ZH LGHDOL]H WKH SHUIRUPDQFH D UHVSRQVH MXVW DV WKH
nOWHU GLVFXVVHG LQ 6HFWLRQV DQG 7KH UHVXOW LV D nOWHU EDQN ZLWK
WKH nOWHU
V FHQWHU IUHTXHQFLHV SRVLWLRQHG DW ORFDWLRQV C C c c c 1 b
7KH ]HUR ORFDWLRQ KDV QR FRPSOHPHQWDU\ VSHFWUDO WHUP LH h ]HUR LV ]HUR
DQG KDV WKH VDPH VSHFWUDO ZLGWK DV DQ\ RI WKH RQHVLGHG EDQGSDVV nOWHUV 7KH
PDJQLWXGH VTXDUHG UHVSRQVH LV WKH VDPH DW DOO VSHFWUDO ORFDWLRQV H[FHSW DW
ORFDWLRQV C DQG C 1 6LQFH DOO ORFDWLRQV WLPH DQG IUHTXHQF\ DUH
F\FOLF LH PRGXOXV 1 VSHFWUDO ORFDWLRQV 1 b N FRUUHVSRQG WR QHJDWLYH
IUHTXHQF\ ORFDWLRQV bN )RU UHDO YDOXHG LQSXW GDWD ZH H[SHFW +HUPLWLDQ
V\PPHWU\ LQ WKH DPSOLWXGH VSHFWUXP WKDW LV ; N ; A bN ; A 1 b N
)RU FRPSOH[ YDOXHG LQSXW GDWD WKHUH LV QR V\PPHWU\ DW DOO LQ WKH DPSOLWXGH
VSHFWUXP
,I ZH VHJPHQW WKH GDWD WKHQ HYHU\ 1 GDWD SRLQW VHJPHQW SURYLGHV D VLQ
JOH RXWSXW SRLQW RQH IURP HYHU\ nOWHU 6OLGLQJ WKH VHJPHQW E\ RQH GDWD
SRLQW DORQJ WKH GDWD VHTXHQFH DJDLQ SURGXFHV RQH GDWD SRLQW IURP HDFK nOWHU
ORFDWLRQ PDNLQJ WKH RXWSXW UDWH HTXDO WKH LQSXW UDWH 2I FRXUVH LQ D JLYHQ
VSHFWUDO ELQ WKH RXWSXW GDWD ZRXOG EH KHDYLO\ FRUUHODWHG ,I WKH VHJPHQWV
DUH FKRVHQ WR EH QRQRYHUODSSLQJ DQG FRQWLJXRXV WKHQ WKH RXWSXW GDWD UDWH
LV 1 WLPHV WKH GDWD VDPSOLQJ UDWH 'LmHUHQW RYHUODS IDFWRUV EHWZHHQ VXF
FHVVLYH WUDQVIRUPV OHDG WR GLmHUHQW RXWSXW GDWD UDWHV )RU H[DPSOH RYHUODS
IDFWRUV RI SHUFHQW RYHUODS DQG SHUFHQW RYHUODS OHDG WR RXWSXW
UDWHV RI IV 1 DQG IV 1 UHVSHFWLYHO\ ,Q WKLV FDVH WKH ')7))7 LV
D EDQN FRPELQDWLRQ RI EDQGSDVV nOWHUV IROORZHG E\ D GHFLPDWLRQ VFKHPH
,QWURGXFWLRQ WR 6LJQDO 3URFHVVLQJ
VHH )LJXUH )LJXUH E DWWHPSWV WR VKRZ WKDW WKH ')7))7 LV D
EDQGSDVV ),5 nOWHU EDQN IROORZHG E\ D GHFLPDWRU WKDW WKURZV DZD\ 1 b
RXWSXW GDWD SRLQWV DQG NHHSV WKH 1 WK RXWSXW GDWD SRLQW ,I PRUH VHJPHQWV
DUH WR EH SURFHVVHG WKHQ IURP HDFK nOWHU RQH REWDLQV RQH RXWSXW GDWD SRLQW
SHU VHJPHQW )URP )LJXUH D DQG 6HFWLRQ LW LV FOHDU WKDW HDFK nOWHU
KDV WKH VDPH EDQGZLGWK
),5 )LOWHUV DQG :DYHOHW 7UDQVIRUPV
6XSSRVH WKDW ZH OHW WKH EDQGZLGWK RI HDFK nOWHU EH SURSRUWLRQDO WR LWV FHQWHU
IUHTXHQF\ DQG ZH UHVDPSOH WKH RXWSXW DW D UDWH JRYHUQHG E\ WKH EDQGZLGWK
7KH nOWHUV nOWHUV LQ D EDQN DUH DUUDQJHG VXFK WKDW WKH VSHFWUDO UHJLRQ LV FRQ
WLJXRXVO\ FRYHUHG KDYLQJ QR KROHV DQG QR UHGXQGDQW FRYHUDJH 7KH PDMRULW\
RI ZDYHOHW nOWHUV DUH ),5 nOWHUV KDYLQJ D UHDO YDOXHG LPSXOVH UHVSRQVH :H
FDQ FRQVWUXFW ZDYHOHWV WKDW GR KDYH D FRPSOH[ YDOXHG LPSXOVH UHVSRQVH EXW
ZH ZLOO RQO\ XVH LW WR GHVFULEH D SRRU PDQ
V YHUVLRQ RI WKH ZDYHOHW WUDQVIRUP
7R LOOXVWUDWH WKH GLVFXVVLRQ ZH VKDOO FKRRVH D VPDOO GDWD VL]H VD\ 1
)LJXUH D DQG E VKRZV WKH GHVLUHG DUUDQJHPHQWV IRU VL]H 1
,I RQH ZHUH WR H[HFXWH RQH ))7 RI OHQJWK VSHFWUDO ELQ nOWHU RXWSXWV
ZRXOG EH REWDLQHG HDFK RQH FRQVLVWLQJ RI RQH GDWD SRLQW 7KH QXPEHU RI GDWD
SRLQWV LV SUHVHUYHG ZH VWDUWHG ZLWK WLPH VDPSOHV DQG ZH HQGHG XS ZLWK
nOWHUHG RXWSXW SRLQWV $ VLPLODU FRQFOXVLRQ FDQ EH GUDZQ IURP )LJXUH
,I ZH VXP XS WKH RXWSXW GDWD SRLQWV
ZH DJDLQ SUHVHUYH WKH QXPEHU RI GDWD SRLQWV 7KH VFKHPH LQ )LJXUH KDV
EHHQ DURXQG IRU D ORQJ WLPH DQG LV NQRZQ DV SURSRUWLRQDO EDQGSDVV nOWHULQJ
RFWDYH nOWHULQJ DQG FRQVWDQW 4nOWHULQJ 4 LV WKH UDWLR RI FHQWHU IUHTXHQF\
WR EDQGZLGWK ,W LV DOVR FDOOHG WKH TXDOLW\ IDFWRU LQ WKH HOHFWURQLF FLUFXLW
OLWHUDWXUH 7KH FLUFOH V\PERO ZLWK WKH GRZQSRLQWLQJ DUURZ DQG LQWHJHU ,
UHSUHVHQWV WKH GHFLPDWLRQ RSHUDWLRQ LH NHHS HYHU\ , WK VDPSOH 1RWH ZKLOH
RXU H[DPSOH XVHV D GDWD VL]H RI 1 LW FDQ EH DQ\ DUELWUDU\ SRZHU RI WZR
7KH QXPEHU RI EDQGSDVV nOWHUV ZLOO DOZD\V EH ORJ 1 LH ORJ ZKLOH
WKHUH LV RQO\ RQH ORZ SDVV nOWHU
:H KDYH HVWDEOLVKHG D ZDYHOHW WUDQVIRUPHU FRQVLVWLQJ RI ORJ 1 LH VL[
EDQGSDVV nOWHUV DQG RQH ORZ SDVV nOWHU /HW XV XVH WKH H[DPSOH GHVFULEHG LQ
)LJXUH WR PDNH VRPH REVHUYDWLRQV 7KH nUVW RQH LV WKDW WKH QXPEHU RI
GDWD SRLQWV LH D FRRUGLQDWH WUDQVIRUPDWLRQ LV SUHVHUYHG 1HHGOHVV WR VD\
LI ZH SURSHUO\ LQYHUW WKH VHYHQ DYDLODEOH nOWHU RXWSXWV ZH ZLOO JHW EDFN WKH
RULJLQDO GDWD VHTXHQFH 7KH nOWHU EDQG ZLGWK EHFRPHV SURJUHVVLYHO\ VPDOOHU
VWDUWLQJ ZLWK WKH KDOIEDQG nOWHU WRS OHJ LQ )LJXUH E ,W LV FXW LQ
KDOI LQ HDFK VXFFHVVLYH VWDJH LH SURJUHVVLQJ GRZQ WKH nOWHU EDQN 6LQFH
WKH EDQGSDVV nOWHUV UHGXFH WKH EDQGZLGWK RI WKHLU UHVSHFWLYH RXWSXWV ZH FDQ
UHVDPSOH LH FKDQJH WKH VDPSOLQJ UDWH DV LQGLFDWHG 7KH nUVW RXWSXW LH
WKH WRS RI )LJXUH E GHQRWHG E\ 6& KDV DQ RXWSXW VDPSOLQJ UDWH RQH
KDOI RI LWV LQSXW VDPSOLQJ UDWH 7KH VHFRQG RXWSXW GHQRWHG E\ 6& KDV DQ
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
/3
;
[Q RQH RXWSXW SRLQW
Q
7R REWDLQ WKH VFDOH RXWSXWV ZH VXP XS ZHLJKWHG GDWD SRLQWV ZKHUH WKH
VWDUW VWRS DQG VXPPDWLRQ WLPHV GHSHQG RQ WKH VFDOH 7KH VFDOH RXWSXWV DUH
REWDLQHG DV JLYHQ E\
6&
; >M {
[Q H Q
RXWSXW SRLQW
Q
; >M { !
6&
Q
[Q H Q !!
!!
6&
; >M {
[Q H Q !
RXWSXW SRLQWV
Q
,QWURGXFWLRQ WR 6LJQDO 3URFHVVLQJ
; !
6&
[Q H>M { Q !!!
Q
!!!
6&
;
[Q H>M { Q ! !!
Q
!!
6&
;
[Q H>M { Q !
!!!
RXWSXW GDWD SRLQWV
Q
;
!!!
Q !
6& [Q H>M {
Q
,I ZH XVH D FRPSDFW QRWDWLRQ ZH FDQ ZULWH WKH nOWHU RXWSXWV DV
6& L
;
L>
[Q H>M { Q
L c c c RXWSXW SRLQWV
Q L?
L ;>
6& L [Q H>M { Q
L c c c RXWSXW SRLQWV
Q L?
DQG nQDOO\
6& L
;
L>
[Q H>M { Q
L c c c RXWSXW SRLQWV
Q L?
ZKHUH L FRUUHVSRQGV WR WKH VHJPHQW QXPEHU DOVR FDOOHG WLOH QXPEHU 7KDW
LV VFDOH KDV RQO\ RQH VHJPHQW WKDW LV RQH RXWSXW GDWD SRLQW 6FDOH KDV
WZR VHJPHQWV WKDW LV WZR RXWSXW GDWD SRLQWV 6FDOH KDV IRXU VHJPHQWV
WKDW LV IRXU RXWSXW GDWD SRLQWV 6FDOH KDV HLJKW VHJPHQWV WKDW LV HLJKW
RXWSXW GDWD SRLQWV 6FDOH DQG VFDOH KDYH DQG VHJPHQWV LH GDWD
RXWSXW SRLQWV UHVSHFWLYHO\
7KLV SDUWLFXODU H[DPSOH ZDV FKRVHQ VLQFH ZH EHOLHYH PRVW UHDGHUV FDQ
UHODWH WR WKH )RXULHU WUDQVIRUP LQ D QDWXUDO ZD\ :H FRXOG KDYH XVHG DQ\ W\SH
RI ),5 nOWHU DV ORQJ DV LW FDQ EH FRQVWUXHG WR EH WKH EDQGSDVV nOWHUV ZLWK
WKH GHVLUHG SDUDPHWHUV $FWXDOO\ PRVW ZDYHOHW WUDQVIRUPV XVH UHDO YDOXHG
ZHLJKWV LQ WKHLU ),5 nOWHUV 7KLV UHGXFHV WKH FRPSXWDWLRQDO EXUGHQ UHODWLYH
WR WKH nOWHUV ZH KDYH FKRVHQ WR PDNH WKH LOOXVWUDWLRQ $W KLV SRLQW ZH UHDOL]H
WKDW WKH ZDYHOHW WUDQVIRUP LV MXVW D FROOHFWLRQ RI SURSRUWLRQDO EDQGZLGWK
OLQHDU WLPH LQYDULDQW EDQGSDVV nOWHUV ZLWK D FOHYHUO\ FKRVHQ EDQGZLGWK DQG
DQ RSWLPDO GHFLPDWLRQ RI WKH RXWSXW GDWD UDWH 7KH VSHFWUDO UHVSRQVH RI WKH
EDQGSDVV nOWHUV LV W\SLFDOO\ QRW YHU\ JRRG 7KLV LV D GLUHFW FRQVHTXHQFH RI
PDNLQJ WKHVH ),5 nOWHUV UHODWLYHO\ VKRUW LQ GXUDWLRQ LH IHZ nOWHU ZHLJKWV
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
WKHUHIRUH IHZ SURFHVVLQJ PXOWLSOLHV ,Q 6HFWLRQV DQG ZH DVVXPHG WR
KDYH D XQLW JDLQ LQ WKH SDVVEDQG UHJLRQ 7KLV LV XVXDOO\ QRW WUXH UDWKHU WKDQ
WKDW WKH JDLQ LQFUHDVHV DV WKH IUHTXHQF\ EDQGV VWHS WRZDUGV WKH '& UHJLRQ
$ ZKLWH LQSXW QRLVH SURFHVV ZRXOG WHQG WR KDYH WKH VDPH SRZHU HQHUJ\ LQ
HDFK GHWDLO VHTXHQFH
0DOODW
V $OJRULWKP
-XVW DV LQ WKH FDVH RI WKH ')7 WKHUH LV D FOHYHU ZD\ WR VSHHG XS WKH FRPSX
WDWLRQ RI WKH ZDYHOHW WUDQVIRUP $JDLQ ZH XVH )LJXUH WR KHOS ZLWK WKH
GHVFULSWLRQ :H QRWH WKDW H[WHQVLRQV WR DQ\ VL]H 1 LV VWUDLJKWIRUZDUG LH
MXVW DGG PRUH EDQGSDVV nOWHUV KHQFH VFDOHV :H VWDUW ZLWK D EDQGSDVV DQG
ORZ SDVV nOWHU VHFWLRQ WKDW VSOLWV WKH VSHFWUDO UHJLRQ LQWR HTXDO VHJPHQWV )LJ
XUH VKRZV WKH GHWDLOV RI WKH DOJRULWKP ZKLFK LV DOVR NQRZQ DV 0DOODW
V
DOJRULWKP >@ $OO KLJK SDVV +3 nOWHUV DUH LGHQWLFDO DQG DOO ORZ SDVV
/3 nOWHUV DUH LGHQWLFDO 7KH QXPEHU RI nOWHU ZHLJKWV LV DQ HYHQ QXPEHU
7KH +3 nOWHU LV MXVW WKH /3 nOWHU VSHFWUDOO\ UHORFDWHG WR WKH IROG RYHU IUH
TXHQF\ 7KDW LV WKH ORZ SDVV nOWHU WUDQVIHU IXQFWLRQ LV PRGXODWHG WR WKH IROG
RYHU IUHTXHQF\ DQG WKH ZHLJKWV DUH WLPH UHYHUVHG LH PLUURUHG
K+3 Q bQ K/3 0 b b Q
IRU Q c c c 0 b JLYHQ WKDW WKH ),5 nOWHUV KDYH 0 ZHLJKWV 7\SLFDOO\
WKH nOWHUV KDYH YHU\ IHZ ZHLJKWV ZKLFK IRU D JLYHQ ZDYHOHW WUDQVIRUP GR QRW
FKDQJH LQ QXPEHU QRU LQ YDOXH 7KH QXPEHU RI ZHLJKWV LV DW OHDVW WZR DQG
PD\EH DV KLJK DV WR 7KH ODUJHU WKH QXPEHU RI ZHLJKWV WKH EHWWHU WKH
nOWHU
V VSHFWUDO FKDUDFWHULVWLFV EXW WKH SRRUHU LWV DELOLW\ WR ORFDOL]H D SRVLWLRQ
LQ WLPH 7KHUH DUH FRQVWUDLQWV RQ WKH nOWHU ZHLJKWV LI UHFRQVWUXFWLRQ LH WKH
LQYHUVH ZDYHOHW WUDQVIRUP LV GHVLUHG >^@ )RU WKH SXUSRVHV RI WKLV ERRN
JRRG FKDUDFWHULVWLFV LQ WKH ZDYHOHW GRPDLQ DUH GHVLUDEOH ZKLOH ZH DUH OHVV
LQWHUHVWHG LQ XVLQJ WKH LQYHUVH ZDYHOHW WUDQVIRUP ,:7 ,Q PRVW FDVHV ZH
XVH D UHDO YDOXHG LPSXOVH UHVSRQVH IRU WKH nOWHUV EXW ZH QRWH WKDW WKHUH DUH
VHYHUDO ZDYHOHW FDQGLGDWHV DOORZLQJ FRPSOH[ YDOXHG ZHLJKWV :H ZDQW WR DOVR
FKHFN RXW WKH FRPSXWDWLRQDO EXUGHQ RI WKH :7 )URP WKH SUHYLRXV GLVFXVVLRQ
LW VKRXOG EH FOHDU WKDW RQH QHHGV ORJ 1 VWDJHV ZKHUH HDFK VWDJH FRQVLVWV RI
D EDQGSDVV DQG D ORZ SDVV nOWHU (DFK nOWHU DW WKH VWDUW RI WKH FKDLQ WUHH
SURFHVVHV 1 VDPSOHV XVLQJ 0 UHDO YDOXHG FRHpFLHQWV LQ ERWK WKH +3 DQG /3
nOWHUV 7KH FRPSXWDWLRQDO FRVW LQ WKH nUVW VWDJH LV c 0 c 1 $V ZH SURFHHG
WR WKH QH[W VWDJH ZH QRWLFH WKDW WKH nOWHU VL]HV VWD\ WKH VDPH EXW WKH QXPEHU
RI VDPSOHV KDV EHHQ UHGXFHG WR DERXW 1 +HQFH WKH FRVW RI PXOWLSOLFDWLRQ
RI WKH VHFRQG VWDJH LV c 0 c 1 $GGLQJ XS DOO WKH FRVWV PXOWLSOLFDWLRQV
t
IRU WKH ZKROH WUHH ZH JHW LQ JHQHUDO
&RVW :7 01 c c c 1 01
u
,QWURGXFWLRQ WR 6LJQDO 3URFHVVLQJ
6800$5<
7KLV FKDSWHU LQWURGXFHV GLVFUHWH WLPH VLJQDOV DQG W\SLFDO SURFHVVLQJ WRROV
,Q SDUWLFXODU OLQHDU GDWD SURFHVVLQJ LV H[DPLQHG ),5 nOWHULQJ LV DGGUHVVHG
LQ 6HFWLRQ 7KH )RXULHU WUDQVIRUP ')7))7 DUH GLVFXVVHG LQ GHWDLO LQ
6HFWLRQ SURYLGLQJ GLmHUHQW XVHIXO LQWHUSUHWDWLRQV RI WKLV SURFHVVLQJ RSHUD
WLRQ 6HFWLRQV DQG DGGUHVV IDVW FRUUHODWLRQ DQG WKH IDVW SRZHU VSHFWUDO
GHQVLW\ HVWLPDWLRQ WHFKQLTXHV 7KH nQDO VHFWLRQ SURYLGHV D OD\PDQ
V LQWUR
GXFWLRQ WR ZDYHOHW SURFHVVLQJ DQG FRQWUDVW WKH )RXULHU DQG :7 SURFHVVLQJ
PHWKRGV
5HIHUHQFHV
>@ 6WUXP 5' DQG .LUN '( )LUVW 3ULQFLSOHV RI 'LVFUHWH 6\VWHPV DQG
'LJLWDO 6LJQDO 3URFHVVLQJ 1HZ <RUN $GGLVRQ:HVOH\ 3XEOLVKHUV
>@ 0F&OHOODQ -+ 6FKDIHU 5: DQG <RGHU 0$ '63 )LUVW $ 0XO
WLPHGLD $SSURDFK 8SSHU 6DGGOH 5LYHU 1- 3UHQWLFH+DOO
>@ /XGHPDQ /& )XQGDPHQWDOV RI 'LJLWDO 6LJQDO 3URFHVVLQJ 1HZ <RUN
+DUSHU 5RZ
>@ (OOLRWW ') DQG 5DPDPRKDQ5DR . )DVW 7UDQVIRUPV $OJRULWKPV
$QDO\VLV $SSOLFDWLRQV 2UODQGR )/ $FDGHPLF 3UHVV
,QWURGXFWLRQ WR 6LJQDO 3URFHVVLQJ
>@ %XUUXV &6 *RSLQDWK 5$ DQG *XR + ,QWURGXFWLRQ WR :DYHOHWV
DQG :DYHOHW 7UDQVIRUPV $ 3ULPHU 8SSHU 6DGGOH 5LYHU 1- 3UHQWLFH
+DOO
>@ 6WUDQJ * /LQHDU $OJHEUD DQG ,WV $SSOLFDWLRQV QG HG 1HZ <RUN
$FDGHPLF 3UHVV
>@ +DUULV )* ?7KH GLVFUHWH )RXULHU WUDQVIRUP DSSOLHG WR WLPH GRPDLQ
VLJQDO SURFHVVLQJ ,((( &RPPXQLFDWLRQV 0DJD]LQH 0D\ SS
^
>@ 1REOH % DQG 'DQLHO -: $SSOLHG /LQHDU $OJHEUD UG HG (QJOHZRRG
&OLmV 1- 3UHQWLFH+DOO
>@ +DUULV )* ?2Q WKH XVH RI ZLQGRZV IRU KDUPRQLF DQDO\VLV ZLWK WKH
GLVFUHWH )RXULHU WUDQVIRUP 3URF ,((( 9RO 1R SS ^
-DQ
>@ .D\ 60 0RGHUQ 6SHFWUDO (VWLPDWLRQ 7KHRU\ DQG $SSOLFDWLRQV (Q
JOHZRRG &OLmV 1- 3UHQWLFH+DOO
>@ 0DUSOH 6/ 'LJLWDO 6SHFWUDO $QDO\VLV (QJOHZRRG &OLmV 1- 3UHQWLFH
+DOO
>@ 6WRLFD 3 DQG 0RVHV 5 ,QWURGXFWLRQ WR 6SHFWUDO $QDO\VLV 8SSHU 6DG
GOH 5LYHU 1- 3UHQWLFH+DOO
>@ 1DLGX 36 0RGHUQ 6SHFWUXP $QDO\VLV RI 7LPH 6HULHV %RFD 5DWRQ
)/ &5& 3UHVV
>@ 7KHUULHQ &: 'LVFUHWH 5DQGRP 6LJQDOV DQG 6WDWLVWLFDO 6LJQDO 3UR
FHVVLQJ (QJOHZRRG &OLmV 1- 3UHQWLFH+DOO
>@ 'DXEHFKLHV , ?2UWKRQRUPDO EDVHV RI FRPSDFWO\ VXSSRUWHG ZDYHOHWV
&RPPXQLFDWLRQV RQ 3XUH DQG $SSOLHG 0DWKHPDWLFV 9RO SS ^
1RY
>@ 'DXEHFKLHV , ?7HQ OHFWXUHV RQ ZDYHOHWV 6,$0 3KLODGHOSKLD 3$
>@ %XUUXV &6 *RSLQDWK 5$ DQG *XR + ,QWURGXFWLRQ WR :DYHOHWV
DQG :DYHOHW 7UDQVIRUPV $ 3ULPHU 8SSHU 6DGGOH 5LYHU 1- 3UHQWLFH
+DOO
>@ 6WUDQJ * DQG 1JX\HQ 7 :DYHOHWV DQG )LOWHU %DQNV :HOOHVOH\ 0$
:HOOHVOH\&DPEULGJH 3UHVV
>@ 9HWWHUOL 0 DQG .RYDFHYLuF - :DYHOHWV DQG 6XEEDQG &RGLQJ (QJOH
ZRRG &OLmV 1- 3UHQWLFH+DOO
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
>@ 0DOODW 6* ?$ WKHRU\ IRU PXOWLUHVROXWLRQ VLJQDO GHFRPSRVLWLRQ 7KH
ZDYHOHW UHSUHVHQWDWLRQ ,((( 7UDQV RQ 3DWWHUQ 5HFRJQLWLRQ DQG 0D
FKLQH ,QWHOOLJHQFH 9RO 1R SS ^ -XO\
>@ 0DOODW 6* ?0XOWLUHVROXWLRQ DSSUR[LPDWLRQ DQG ZDYHOHW RUWKRQRUPDO
EDVHV RI / 7UDQV RI $PHU 0DWK 6RF 9RO SS ^
>@ 9DLG\DQDWKDQ 33 0XOWLUDWH 6\VWHPV DQG )LOWHU %DQNV (QJOHZRRG
&OLmV 1- 3UHQWLFH+DOO
&KDSWHU
+\SRWKHVLV 7HVWLQJ
,1752'8&7,21
+\SRWKHVLV WHVWLQJ DV SUHVHQWHG LQ WKLV FKDSWHU GHDOV ZLWK D nQLWH QXPEHU
RI VDPSOHV 7KH VDPSOHV DUH DOVR FDOOHG GDWD RU REVHUYDWLRQV 7KH GDWD
LV XVHG WR GHFLGH ZKLFK K\SRWKHVLV WKDW LV ZKLFK VLJQDO RU V\PERO LV WUXH
LH ZKLFK RQH LV SUHVHQW DQG KHQFH ZDV WUDQVPLWWHG 7KURXJKRXW 6HFWLRQV
^ ZH DVVXPH WKDW DOO SDUDPHWHUV DUH NQRZQ 7KDW LV ZH NQRZ ZKHUH
DQG ZKHQ WR ORRN IRU WKH VLJQDOV ,Q WKH nUVW VHYHQ VHFWLRQV WKH ELQDU\
FDVH LV DGGUHVVHG WKDW LV RQO\ RQH RI WZR VLJQDO FRQGLWLRQV FDQ EH WUXH
7KLV LV W\SLFDO LQ UDGDUVRQDU GHWHFWLRQ DQG ELQDU\ GLJLWDO FRPPXQLFDWLRQ
SUREOHPV 6HFWLRQ DGGUHVVHV PXOWLSOH K\SRWKHVLV WHVWLQJ ZKLOH 6HFWLRQ
GHDOV ZLWK FRPSRVLWH K\SRWKHVLV WHVWLQJ &RPSRVLWH K\SRWKHVLV WHVWLQJ
DOORZV XV WR GHDO ZLWK VLWXDWLRQV ZKHQ VRPH XQFHUWDLQW\ RI WKH SDUDPHWHUV
LV LQYROYHG 6HFWLRQ DGGUHVVHV UHFHLYHU RSHUDWLQJ FKDUDFWHULVWLFV 52&
FXUYHV DQG SHUIRUPDQFH GHVFULSWLRQV
7KH SUREOHPV LQ WKLV FKDSWHU FDQ EH VHSDUDWHG LQWR WZR GLVWLQFW W\SHV
7KH nUVW W\SH RI SUREOHP DGGUHVVHV WHVWLQJ IRU WKH SUHVHQFH RI RQH RI WZR
GLVWLQFW VLJQDOV ZKLFK DUH REVFXUHG E\ DGGLWLYH QRLVH 7KH VROXWLRQ SURYLGHV
DQ DQVZHU WR WKH TXHVWLRQ RI ZKLFK VLJQDO LV LPPHUVHG LQ WKH DGGLWLYH QRLVH
7KH VHFRQG W\SH RI SUREOHP DGGUHVVHV WKH WHVWLQJ IRU WKH SUHVHQFH RI RQH
RI WZR GLVWLQFW VLJQDOV ZKHUH HDFK VLJQDO KDV D XQLTXH VWDWLVWLFDO GHVFULSWLRQ
LH LWV RZQ 3') 7KH VROXWLRQ SURYLGHV DQ DQVZHU WR WKH TXHVWLRQ RI ZKLFK
SUREDELOLW\ GHQVLW\ IXQFWLRQ JRYHUQV WKH REVHUYHG GDWD RU HTXLYDOHQWO\ ZKLFK
VLJQDO LV SUHVHQW
3UREOHPV LQ WKLV FKDSWHU DUH QRW OLPLWHG WR *DXVVLDQ W\SH SUREDELOLW\
GHQVLW\ IXQFWLRQV ,Q ERWK W\SHV RI SUREOHPV WKH VWDWLVWLFDO SDUW WKH DGGLWLYH
QRLVH RU WKH RULJLQDO SRSXODWLRQ GHQVLW\ LV DOORZHG WR EH JRYHUQHG E\ DQ\
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
SUREDELOLW\ ODZ $Q\ W\SH RI SUREDELOLW\ GHQVLW\ IXQFWLRQ LV DOORZHG ,Q
PRVW SUREOHPV ZH ZDQW WR GHWHFW WKH SUHVHQFH RU DEVHQFH RI D VLJQDO ZLWK
D FHUWDLQ PHDVXUH RI UHOLDELOLW\ 2I FRXUVH XVXDOO\ GHWHFWLRQ DQG HVWLPDWLRQ
DUH SHUIRUPHG ZKHQ DGGLWLYH QRLVH LV SUHVHQW ,I LW ZDV QRW IRU WKH QRLVH
GLVWXUEDQFH WKHQ LW ZRXOG EH QR SUREOHP WR GHFLSKHU WKH PHVVDJH V\PERO
\HVQR ]HURRQH HWF 2QH ZRXOG VLPSO\ QHHG WR GHFLGH ZKLFK RQH RI WKH
WZR K\SRWKHVHV + RU + LV WUXH LH ZKLFK VLJQDO LV SUHVHQW E\ MXVW UHDGLQJ
LW Rm WKH GDWD
,Q DOO FDVHV D GHWHFWLRQ VFKHPH LQ WHUPV RI WKH VLPSOHVW IXQFWLRQ RU IXQF
WLRQDO RI WKH REVHUYDWLRQ LH WKH UHFHLYHG GDWD LV DWWHPSWHG 7KLV OHDGV LQ
PDQ\ FDVHV WR ZKDW LV FDOOHG D VXpFLHQW VWDWLVWLF ZKLFK FRQWDLQV DOO WKH LQIRU
PDWLRQ DV IDU DV WKH SUREOHP RI LQWHUHVW LV FRQFHUQHG EXW LV QXPHULFDOO\ DQG
DQDO\WLFDOO\ HDVLHU WR GHDO ZLWK WKDQ WKH RULJLQDO YDULDEOH RU YDULDEOHV 5HGXF
WLRQ WR D VLPSOH IRUP RI WKH REVHUYDWLRQ DOVR HQVXUHV WKDW WKH FRPSXWDWLRQDO
HmRUW WR REWDLQ WKH GHWHFWLRQ YDULDEOH LV PLQLPDO
,QLWLDOO\ WKH %D\HV
GHWHFWRU LV GHULYHG DQG WKHQ LWV VWUXFWXUH LV XVHG DV
WKH EDVLF EXLOGLQJ EORFN WR PRWLYDWH RWKHU GHWHFWLRQ VFKHPHV 7KHVH RWKHU
GHWHFWLRQ VFKHPHV DUH EDVHG RQ WKH PD[LPXP D SULRUL 0$3 WKH PD[L
PXP OLNHOLKRRG 0/ WKH PLQLPXP SUREDELOLW\ RI HUURU WKH 0LQ0D[ RU
WKH 1H\PDQ3HDUVRQ FULWHULRQ 6RPHWLPHV WKH SKUDVHV FULWHULRQ VWUDWHJ\
SKLORVRSK\ WHFKQLTXH PHWKRG DOJRULWKP GHWHFWRU RU UHFHLYHU DUH XVHG LQ
WHUFKDQJHDEO\ 7KHVH GHWHFWRUV DUH DOVR DSSURSULDWH LI HDFK K\SRWKHVLV LH
VLJQDO LV JRYHUQHG E\ D GLmHUHQW SUREDELOLW\ GHQVLW\ IXQFWLRQ ,Q WKHVH FDVHV
RQH HVWDEOLVKHV GHFLGHV ZKLFK JHQHUDWLQJ 3') HYHQW K\SRWKHVLV SURGXFHV
WKH REVHUYDWLRQ GDWD
%HIRUH WKH EDVLF GHWHFWRU VWUXFWXUH LV GHULYHG WKH FRQFHSW RI WKH ?D SRVWH
ULRUL SUREDELOLW\ LV H[DPLQHG 6XSSRVH WZR GLmHUHQW HYHQWV DUH SRVVLEOH VXFK
DV D ELQDU\ ?RQH RU ?]HUR LH WDUJHW SUHVHQW RU QRW 7KH OHWWHU L L
LV XVHG WR LQGLFDWH ZKLFK K\SRWKHVLV HYHQW LV WUXH 7KH SUREDELOLW\ RI WKH
HYHQW ?L LH K\SRWKHVLV + JLYHQ WKH REVHUYDWLRQ \ LV GHVFULEHG E\ WKH ?D
L
SRVWHULRUL SUREDELOLW\ 3UI+ M\J 7KH ?D SULRUL SUREDELOLW\ RI WKH HYHQW ?L
LH SUREDELOLW\ RI K\SRWKHVLV + LV JLYHQ E\ 3UI+ J 7KH VLWXDWLRQ LV EHVW
L
L L
LOOXVWUDWHG XVLQJ WKH JHQHUDO VLJQDO oRZ GLDJUDP RI )LJXUH
)LJXUH GHSLFWV WKH VRXUFH JHQHUDWLQJ WZR SRVVLEOH V\PEROV WZR HUURU
IUHH DQG WZR HUURU WUDQVPLVVLRQ SDWKV DQG WKH UHFHLYHU LH WKH GHFLVLRQ HO
HPHQW 7KH SDWK DFFRXQWV IRU WKH FKDQQHO RU PHGLXP XVHG WR FRQYH\ WKH
PHVVDJH IURP WKH WUDQVPLWWHU WR WKH UHFHLYHU $ ELQDU\ ?RQH RU D EL
QDU\ ?]HUR LV WUDQVPLWWHG ZLWK SUREDELOLW\ 3 RU 3 UHVSHFWLYHO\ 7KHVH
SUREDELOLWLHV DUH ?D SULRUL SUREDELOLWLHV NQRZQ SULRU WR WUDQVPLWWLQJ HLWKHU
RQH RI WKH V\PEROV 7KH WHUP ?WUDQVLWLRQ SUREDELOLW\ LV XVHG WR GHQRWH
3UIREVHUYHG GDWDV\PEROMDFWXDO V\PERO WUDQVPLWWHGJ 7KH TXDQWLW\ RI LQ
WHUHVW LV WKH SUREDELOLW\ 3UIV\PERO WUDQVPLWWHGMREVHUYHG GDWDJ
+\SRWKHVLV 7HVWLQJ
8VLQJ %D\HV
UXOH WKLV LV HDVLO\ REWDLQHG DV
3U >+ M\@ 3U3U> >\M+ @ 3U>+ @
L
L
\@ L
1RWH
3UI7 5J 3UI7 M5J 3UI5J d
3UI7 5J 3UI7 M5J 3UI5J d
1RWH $QRWKHU ZD\ RI REWDLQLQJ WKH UHVXOWV LV E\ XVLQJ D WUHOOLV UHSUHVHQWDWLRQ
DV VKRZQ LQ )LJXUH )RU H[DPSOH WKH SUREDELOLW\ RI UHFHLYLQJ D RQH LV
3UI5J d d DQG RI FRXUVH DV EHIRUH ZH FDQ FRPSXWH
3UI7 M5J 3UI5M7 J 3UI7 J 3UI5J c
8VXDOO\ RQH QHHGV WR HYDOXDWH KRZ ZHOO D GHWHFWLRQ VFKHPH GHWHFWRU
ZRUNV ,Q WKH ELQDU\ GHWHFWLRQ VLWXDWLRQ IRXU SUREDELOLWLHV DUH RI LQWHUHVW
7KHUH DUH WZR SURSHU DQG WZR LPSURSHU GHWHFWLRQV 7KH SURSHU GHWHFWLRQ RI
WKH ?RQH K\SRWKHVLV LV GHQRWHG E\ 3 7KH WZR SRVVLEOH HUURUV DUH GHQRWHG
E\ 3 DQG 3 3 FRUUHVSRQGV WR WKH GHWHFWLRQ RI WKH ?RQH HYHQW JLYHQ
'
WKDW WKH ?]HUR HYHQW LV WUXH DQG 3 FRUUHVSRQGV WR GHWHFWLQJ WKH ?]HUR
)$ 0 )$
0
HYHQW JLYHQ WKDW WKH ?RQH HYHQW LV WUXH 7KH VXP RI 3 DQG 3 PXVW
' 0
+\SRWKHVLV 7HVWLQJ
0 '
WKH WHVW LV WKH DUHD XQGHU I \ LQ UHJLRQ 5 7KH DUHD XQGHU I \ LQ UHJLRQ
5 GHQRWHG E\ 3 LV DOVR NQRZQ DV WKH VL]H RI WKH WHVW 7KH GHULYDWLRQ RI
)$
WKH GHWHFWRUV LV QRW XQLTXH WR WKLV ERRN RQH FDQ nQG VLPLODU H[SUHVVLRQV DQG
DGGLWLRQDO H[DPSOHV LQ UHIHUHQFHV >^@
%$<(6
'(7(&7,21
*LYHQ WKH REVHUYDWLRQ GDWD \WZH DVVXPH WKDW RQH ELQDU\ VLJQDO RU V\PERO
LV WUDQVPLWWHG GXULQJ WKH LQWHUYDO W 7 7R REWDLQ D YHFWRU RI OHQJWK
1 WKH GDWD VHJPHQW \W KDV EHHQ SURSHUO\ FRQYHUWHG IURP DQDORJ WR GLVFUHWH
WLPH $' 6R IRU D QRLV\ UHFHSWLRQ ZH KDYH \ V Q IRU Q c c c 1
7KH ODEHOLQJ LH WKH nUVW YDOXH RI WKH FRXQW YDULDEOH ?Q FDQ EH DUELWUDULO\
Q Q Q
VHW WR ]HUR RU RQH $ YHFWRU W\SH UHSUHVHQWDWLRQ XVXDOO\ SUHIHUV RQH DV WKH
nUVW LQGH[ ZKLOH ))7 W\SH SURFHVVLQJ SUHIHUV ]HUR DV WKH nUVW LQGH[ 7KH
VDPSOLQJ LH $' FRQYHUVLRQ RI FRXUVH LV GRQH LQ D ZD\ WKDW ZLOO QRW
LQWURGXFH HUURUV LH WKH 1\TXLVW FULWHULRQ LV QRW YLRODWHG DQG WKH DPSOLWXGH
GLVFUHWL]DWLRQ GRHV QRW FUHDWH HUURUV :H GHQRWH WKH VHTXHQFH E\ WKH YHFWRU
\ \ \ c c c \ WKH SULRU SUREDELOLW\ 3UI+ J E\ 3 DQG WKH OLNHOLKRRG
7
L
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
7KH SRVVLEOH RXWFRPHV DFFRXQWLQJ IRU WKH WUXH V\PERO WKDW LV WUDQVPLWWHG
LQ D ELQDU\ GHWHFWLRQ H[SHULPHQW DUH
D &KRRVH + + LV WUXH FRUUHFW GHFLVLRQ
E &KRRVH + + LV WUXH PLVWDNH
F &KRRVH + + LV WUXH FRUUHFW GHFLVLRQ
G &KRRVH + + LV WUXH PLVWDNH
2QO\ D DQG F DUH FRUUHFW GHFLVLRQV ZKLOH E DQG G DUH HUURUV /HW & LM
EH WKH FRVW DVVRFLDWHG ZLWK FKRRVLQJ K\SRWKHVLV ?L ZKHQ DFWXDOO\ K\SRWKHVLV
?M LV WUXH 6R WKH FRVWV IRU RXU SUREOHP EHFRPH
D & FKRRVH LV WUXH
E & FKRRVH LV WUXH
F & FKRRVH LV WUXH
G & FKRRVH LV WUXH
7KH DYHUDJH LH H[SHFWHG YDOXH RI WKH FRVW IXQFWLRQ DOVR FDOOHG WKH ULVN
RU WKH SHQDOW\ IXQFWLRQ ZLOO EH FRPSXWHG 7KH DYHUDJH FRVW LV D ZHLJKWHG
VXP RI FRVW WHUPV & 7KH ZHLJKWV DUH WKH SUREDELOLWLHV FRUUHVSRQGLQJ WR WKH
HYHQWV GHVLJQDWHG E\ WKH LQGLFHV RI WKH FRVW WHUPV 7KLV DYHUDJH FRVW & PXVW
LM
0 )$
VRPHWLPHV FDOOHG WKH SUREDELOLW\ RI SURSHU GLVPLVVDO
+\SRWKHVLV 7HVWLQJ
%XW WKHVH FRQGLWLRQDO SUREDELOLWLHV DUH FRQGLWLRQDO GHQVLWLHV LQWHJUDWHG
RYHU WKH DSSURSULDWH GHFLVLRQ UHJLRQ 7KHVH GHFLVLRQ UHJLRQV DUH GHQRWHG E\
5 DQG 5 7KHVH DUH WKH UHJLRQV LQ ZKLFK RQH GHFLGHV WKDW + RU + LV WUXH
:H QRWH WKDW VRPH DXWKRUV OLNH WR XVH WKH V\PEROV ' DQG ' WR LQGLFDWH
WKH GHFLVLRQ FRUUHVSRQGLQJ WR WKHVH WZR UHJLRQV VHH )LJXUH 7KH DYHUDJH
FRVW FDQ EH H[SUHVVHG DV
=
& & 3 I \ G\
5
=
& 3 I \ G\
5
=
& 3 I \ G\
5
=
& 3 I \ G\
5
ZKHUH WKH LQWHJUDOV DUH RI WKH VDPH GLPHQVLRQ DV WKH GLPHQVLRQ RI WKH YHFWRU
\ 7KH FRQGLWLRQDO GHQVLWLHV FDQ EH LQWHJUDWHG RYHU WKH WRWDO SUREDELOLW\
UHJLRQ 5 UHVXOWLQJ LQ
=
I \ G\ IRU L
L
5
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
ZKHUH WKH LQWHJUDOV DUH RI WKH VDPH GLPHQVLRQ DV WKH GLPHQVLRQ RI WKH YHFWRU
\ 7KH HTXDWLRQ IRU WKH DYHUDJH FRVW UHGXFHV WR
=
& & 3 I \ G\
5
t = u
& 3 b I \ G\
5
t = u
& 3 b I \ G\
5
=
& 3 I \ G\
5
+
1RWH DOO SULRU SUREDELOLWLHV DQG DOO WHUPV ZLWKLQ WKH VTXDUH EUDFNHWV DUH SRVL
WLYH KHQFH WKH UHDUUDQJHPHQW DFURVV WKH LQHTXDOLWLHV LV VLPSOH 7KH TXDQWLW\
RQ WKH OHIWKDQG VLGH LV FDOOHG WKH OLNHOLKRRG UDWLR /5 DQG LV GHQRWHG E\
+\SRWKHVLV 7HVWLQJ
e \ ZKLOH WKH ULJKWKDQG TXDQWLW\ LV GHQRWHG E\ w D SRVLWLYH VFDODU 6R ZH
FDQ ZULWH
+
e \ !
w
+
ZKHUH
w 33 && bb &&
(TXDWLRQ LV LQWHUSUHWHG DV IROORZV ,I e \ ! w GHFLGH RQ + FRQYHUVHO\
LI e \ w GHFLGH RQ + ,Q WKH XQOLNHO\ HYHQW WKDW WKHUH LV DQ HTXDOLW\
LH WKH OHIWKDQG VLGH RI HTXDOV WKH ULJKWKDQG VLGH WKHQ RQH DUELWUDULO\
FDQ DVVLJQ DQ\ K\SRWKHVLV RU OHW QDWXUH GHFLGH E\ oLSSLQJ DQ XQELDVHG FRLQ
DQG DVVLJQ WKH GHFLVLRQ DFFRUGLQJ WR WKH FRLQ WRVV 1RWH ERWK VLGHV RI WKH
LQHTXDOLW\ DUH QRQQHJDWLYH KHQFH LI RQH WDNHV WKH ORJDULWKP RI ERWK VLGHV
LH PRQRWRQLF IXQFWLRQ WKH LQHTXDOLW\ LV SUHVHUYHG 7KH QDWXUDO ORJDULWKP
RI WKH OLNHOLKRRG UDWLR /5 LV GHQRWHG E\ //5
+
OQ e \ !
OQ w
+
([DPSOH 8QGHU + D FRQVWDQW SRVLWLYH YROWDJH VD\ ?P YROWV LV WUDQV
PLWWHG RYHU D ZLUH 8QGHU + QRWKLQJ LH YROW LV WUDQVPLWWHG 1 VDPSOHV
DUH XVHG LQ PDNLQJ D GHFLVLRQ $GGLWLYH *DXVVLDQ QRLVH Q z 1 } LLG
Q
LV LQWURGXFHG E\ WKH FKDQQHO VHH )LJXUH IRU D W\SLFDO OLNHOLKRRG IXQFWLRQ
SORW ZKHQ 1
+ \ Q
Q Q IRU Q c c c 1
+ \ Q PQ Q IRU Q c c c 1
7KH MRLQW 3') RI WKH QRLVH LV JLYHQ E\
I1Q {} H[S b
;
1
Q Q
1
Q
}
/RRNLQJ DW \ ZH UHDOL]H WKDW LW LV WKH VXP RI WKH UDQGRP YDULDEOH Q DQG
WKH GHWHUPLQLVWLF TXDQWLW\ P KHQFH \ KDV D *DXVVLDQ GLVWULEXWLRQ $OO WKDW
Q Q
Q
GHVFULSWLRQ IRU WKLV UDQGRP YDULDEOH 7KH PHDQ RI \ LV JLYHQ E\Q
( \ ( P Q P
Q Q
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
+HQFH WKH LQGLYLGXDO 3')V IRU WKH QWK VDPSOH JLYHQ + RU + DUH WUXH DUH
JLYHQ E\
I\ H[S b \ b P Q
Q
{} }
I\ H[S b \ Q
Q
{} }
$FFRXQWLQJ IRU DOO WKH REVHUYDWLRQV WKLV EHFRPHV
H[S b \ b} P
<
1
I\ Q
Q {}
H[S b \}
<
1
I\ Q
{}
Q
e\ Q
<
H[S b } \
1
S
{}
Q
Q
H[S b}
;
1
\
Q b P
Q
H[S b } \
; 1
Q
Q
+\SRWKHVLV 7HVWLQJ
+
H[S b } ;
1
b
bP\ P
! w c
Q
Q
+
7DNLQJ WKH QDWXUDO ORJDULWKP OHDGV WR
+
;
1
>bP\ @ 1P ! OQ w
b
} Q
Q
+
RU
+ t u
]
;
1
! } 1
\ P OQ w P
Q
Q
+
7KH RSWLPDO UHFHLYHU SHUIRUPV D OLQHDU RSHUDWLRQ RQ WKH GDWD LH DQ ),5
nOWHU RSHUDWLRQ XVLQJ XQLW ZHLJKWV )LJXUH VKRZV WKH OLNHOLKRRG IXQFWLRQV
IRU WKH YDULDEOH ] ,I ZH XVH WKH IDPLOLDU VDPSOH PHDQ ZH REWDLQ
+ t u
Z ;
1
! } P
1 \ 1P OQ w
Q
Q
+
1RWH ERWK ] DQG Z DUH D RQHGLPHQVLRQDO WHVW VWDWLVWLF LH WKH VXP RI WKH
VDPSOHV RU WKH VDPSOH PHDQ YHUVXV D VLPSOH WKUHVKROG 7KHVH QHZ UDQGRP
YDULDEOHV DUH DOVR FDOOHG VXpFLHQW VWDWLVWLFV ,I WKH YROWDJH P LV QHJDWLYH LH
P WKHQ WKH LQHTXDOLWLHV LQ WKH ODVW HTXDWLRQ PXVW EH UHYHUVHG
([DPSOH *LYHQ 1 VDPSOHV RI \ LH \ \ c c c \ ZKLFK DUH *DXV 1
VLDQ LLG UDQGRP YDULDEOHV ZLWK ]HUR PHDQ ZKHUH WKH YDULDQFH FRQYH\V WKH
PHVVDJH :H ZDQW WR GHWHFW ZKLFK RQH RI WZR PHVVDJHV LV WUDQVPLWWHG
8QGHU + \ KDV YDULDQFH } IRU Q c c c 1
Q
{} 1
Q
Q
I\ H[S b } \
; 1
{} 1
Q
Q
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
7KH /57 EHFRPHV
t t +
e\ } u H[S b ;
1 1
\ u b t \ u
Q Q ! w
} } }
Q
+
ZKHUH w LV JLYHQ E\
w 3 && bb &&
7DNLQJ WKH QDWXUDO ORJDULWKP OHDGV WR
u t t u +
}
OQ e\ 1 OQ } \ } b } !
; 1
OQ w Q
+ Q
1RWH WKH FRQVWDQW PXOWLSOLHU WHUP LQVLGH RI WKH VXPPDWLRQ LV VWULFWO\ SRV
LWLYH IRU WKH JLYHQ SDUDPHWHUV KHQFH RQH FDQ EULQJ LW RYHU WR WKH RWKHU VLGH
RI WKH LQHTXDOLW\ ZLWKRXW DQ\ VSHFLDO FRQVLGHUDWLRQ +HQFH WKH ODVW H[SUHVVLRQ
FDQ EH UHZULWWHQ DV
+ t t uu
\ OQ w b 1 OQ }}
! t
;
1
Q
u
Q
+ } b }
7KLV FDQ EH VLPSOLnHG WR
+ t t uu
\ ! }}b }} OQ w b 1 OQ }}
;
1
]
Q o
Q
+
7KH RSWLPDO GHWHFWRU FRQVLVWV RI D QRQOLQHDU RSHUDWLRQ RQ WKH GDWD LH D
VTXDUH ODZ W\SH GHWHFWLRQ 1RWH WKHUH LV RQO\ D VLQJOH UDQGRP YDULDEOH LH
VXpFLHQW VWDWLVWLF ?] UDWKHU WKDQ WKH 1 UDQGRP YDULDEOHV RI \ 6R WKH
SUREDELOLWLHV RI LQWHUHVW DUH HDVLO\ REWDLQHG XVLQJ
=
3 I]G]
'
o
= o
3 0 I]G]
b
=
3 I]G]
)$
o
+\SRWKHVLV 7HVWLQJ
1RWH WKDW LI WKH RUGHU RI WKH PDJQLWXGH RI WKH YDULDQFHV LV UHYHUVHG LH
} } WKHQ WKH LQHTXDOLWLHV LQ WKH %D\HV
WHVW DUH DOVR UHYHUVHG VLQFH WKH
FRQVWDQW PXOWLSOLHU LQ LV QHJDWLYH +HQFH WKH %D\HV
WHVW EHFRPHV
+ t t uu
! } }
\ } b } OQ w b 1 OQ }}
;
1
] Q o
Q
+
([DPSOH 7KLV LV D QXPHULFDO H[DPSOH XVLQJ WKH UHVXOWV REWDLQHG LQ WKH
ODVW H[DPSOH 2QO\ D VLQJOH VDPSOH LV UHFHLYHG DQG EDVHG RQ WKLV VLQJOH VDPSOH
D GHFLVLRQ LV PDGH 7KH SULRU SUREDELOLW\ IRU HDFK V\PERO LV LGHQWLFDO LH
3 3 WKH FRVW RI D PLVWDNH RI HLWKHU W\SH LV HTXDO DQG WKH FRVW
IRU SURSHU GHFLVLRQ LV ]HUR 7KH YDULDQFHV DUH JLYHQ E\ } DQG }
+HQFH w WKH WKUHVKROG LV XQLW\
8QGHU + \ z 1
I\ H[S b \
{
8QGHU + \ z 1
I\ H[S b \
{ c
7KH OLNHOLKRRG UDWLR WHVW DQG FRUUHVSRQGLQJ WKUHVKROG XQGHU WKH %D\HV
GH
WHFWLRQ SKLORVRSK\ EHFRPHV
{ H[S b \ +!
e\ w
{ H[S b \ +
7KLV EHFRPHV
+
H[S \ ! w
+
7DNLQJ WKH ORJDULWKP RQ ERWK VLGHV DQG IXUWKHU VLPSOLI\LQJ OHDGV WR D SRZHU
RU VTXDUH ODZ GHWHFWRU
+
\ ! OQ c
+
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
(TXLYDOHQWO\ RQH FDQ XVH DQ HQYHORSH GHWHFWRU RI WKH IRUP
+
M\M
! S
+
([DPSOH $ VLJQDO YROWV PD\ RU PD\ QRW EH WUDQVPLWWHG DQG LV RE
VHUYHG LQ DGGLWLYH *DXVVLDQ QRLVH 7KH QRLVH KDV ]HUR PHDQ DQG XQLW YDUL
DQFH & & & & N 3 3 DQG N ! +HQFH WKH
WKUHVKROG w 1 HTXDOV WKDW LV RQH VDPSOH LV DYDLODEOH 8QGHU
+ \W QW
+ \W QW
:H VDPSOH WKH GDWD DW RQH SRLQW LQ WLPH DQG ZRUN ZLWK RQH REVHUYDWLRQ 7KH
GHQVLW\ IXQFWLRQ XQGHU HDFK K\SRWKHVLV EHFRPHV
I\ H[S b \
{
I\ H[S b \ b
{
7KH OLNHOLKRRG UDWLR WHVW EHFRPHV
+
e\ H[S b b \ !
+
)XUWKHU VLPSOLI\LQJ LW E\ WDNLQJ WKH ORJDULWKP OHDGV WR
+
] \ !
+
1RWH WKLV UHVXOW LV VRPHZKDW H[SHFWHG :KHQ WKH WKUHVKROG w HTXDOV WR XQLW\
WKHQ ZH DUH MXVW HTXDWLQJ WKH WZR OLNHOLKRRG IXQFWLRQV DQG WHVW ZKLFK RQH
LV WKH GRPLQDQW RQH 2EYLRXVO\ WKH SRLQW RI GLFKRWRP\ LV H[DFWO\ KDOIZD\
EHWZHHQ WKH PHDQV RI WKH WZR SRVVLEOH GHQVLWLHV PDNLQJ WKH WKUHVKROG VHOHFWLRQ
HTXLYDOHQW WR WKH FURVVRYHU SRLQW RI WKH WZR OLNHOLKRRG IXQFWLRQV 7KH SRZHU
RI WKH WHVW LH 3 DQG WKH IDOVH DODUP UDWH 3 DUH HDVLO\ FRPSXWHG $OVR
' )$
WKH SUREDELOLW\ RI D PLVV 3 WKDW LV WKH SUREDELOLW\ RI VD\LQJ + LV WUXH
ZKLOH LQ UHDOLW\ WKH K\SRWKHVLV + LV FRUUHFW LV HDVLO\ REWDLQHG 7KH QXPHULFDO
0
+\SRWKHVLV 7HVWLQJ
YDOXHV FDQ EH WDNHQ RXW RI D WDEOH LQ $SSHQGL[ ' RU EH FRPSXWHG YLD RQH RI
WKH PDQ\ QXPHULFDO SURFHGXUHV DYDLODEOH
=
3 I]G]
'
=
3 I]G]
)$
=
3 0 I]G]
b
b 3 b '
7KDW LV IRU SUREOHPV ZKHUH WKH DUHD XQGHU WKH WDLO VHFWLRQ RI D *DXVVLDQ LV
RQ WKH RUGHU RI WKLV HUURU RU VPDOOHU PRUH VRSKLVWLFDWHG SURFHGXUHV PXVW EH
XVHG
([DPSOH *LYHQ WKH VDPH VFHQDULR DV LQ WKH SUHYLRXV SUREOHP H[FHSW
WKDW QRZ WKHUH LV DFFHVV WR QLQH LQGHSHQGHQW VDPSOHV LH 1 8QGHU
+ \ z 1 Q c c c
Q
+ \ z 1 Q c c c
Q
] Q
Q
+
6LQFH \ LV *DXVVLDQ XQGHU HDFK K\SRWKHVLV LW LV REYLRXV WKDW ] ZLOO EH *DXV
VLDQ XQGHU HDFK K\SRWKHVLV 7R FKDUDFWHUL]H I ] IRU L DOO WKDW LV
Q
QHHGHG LV WKH PHDQ RI ] XQGHU HDFK K\SRWKHVLV DQG WKH YDULDQFH RI ] 7KH
L
PHDQV DUH
;
( ] ( \ Q c
Q
;
( ] ( \ Q c
Q
6R XQGHU
+ ] z 1
+ ] z 1
+HQFH WKH WHVW EHFRPHV
+
] !
+
DQG WKH GHWHFWLRQ SHUIRUPDQFH EHFRPHV
= t u t u
3
I] G] 4 b
4 b {
'
= t u
3 I ] G] 4 4 c
b
)$
1RWH WKDW ZH FRXOG KDYH XVHG D QRUPDOL]HG VWDWLVWLF WKDW LV WKH VDPSOH PHDQ
7KHQ WKH WHVW DQG WKUHVKROG ZRXOG EH DV IROORZV
+
6DPSOH PHDQ Z 1 ] \ !
;
Q
Q
+
VR
+
Z !
+
7KH VDPSOH PHDQ ZLOO EH DQG XQGHU WKH ]HUR DQG RQH K\SRWKHVLV UHVSHF
WLYHO\ 7KH YDULDQFH XQGHU HDFK K\SRWKHVLV ZLOO EH 6R ZH KDYH
+ Z z 1
+ Z z 1
+\SRWKHVLV 7HVWLQJ
2I FRXUVH WKH GHWHFWLRQ SHUIRUPDQFH RI WKH VWDWLVWLFV RI Z UHODWLYH WR WKH ]
GHWHFWLRQ VWDWLVWLF ZLOO QRW FKDQJH DW DOO DV WKH LQWHUHVWHG UHDGHU PLJKW TXLFNO\
YHULI\
([DPSOH $Q H[SHULPHQW LV SHUIRUPHG DQG WKH QXPEHU RI HYHQWV DUH
FRXQWHG 7KH QXPEHU RI HYHQWV REH\ D 3RLVVRQ ODZ 8QGHU
+ 3UIQ HYHQWVJ P Q H[S bP
Q
7KH %D\HV
GHWHFWRU LV JLYHQ E\ WKH OLNHOLKRRG UDWLR WHVW /57 ZKLFK LV FRP
SDUHG WR WKH WKUHVKROG w ZKLFK GHSHQGV RQ SULRU SUREDELOLWLHV DQG WKH FRVW
DVVRFLDWHG ZLWK HDFK GHFLVLRQ )RU WKLV H[DPSOH ZH REWDLQ
t +
e Q 3U Q HYHQWVM+ P u H
Q
P
! w
b P
3U Q HYHQWVM+ P
+
7KH ORJ OLNHOLKRRG UDWLR WHVW //57 EHFRPHV
t u +
P
Q OQ P P b P ! OQ w
+
'HSHQGLQJ RQ ZKLFK SDUDPHWHU LV WKH ODUJHU RQH WKH PXOWLSOLHU DVVRFLDWHG ZLWK
Q LV SRVLWLYH RU QHJDWLYH 7KH GHWHFWLRQ VFKHPH EHFRPHV
LI P ! P WKHQ
+
Q ! OQ w tPPbuP
+ OQ P
LI P ! P WKHQ
+
Q ! OQ w tPPbuP
+ OQ P
([DPSOH $Q HYHQW PD\ RU PD\ QRW KDYH RFFXUUHG 7KH FRVWV DQG SULRU
SUREDELOLWLHV DUH JLYHQ E\ & & & & DQG 3 3
UHVSHFWLYHO\ +HQFH WKH WKUHVKROG w 1 HTXDOV WKDW LV RQH VDPSOH
LV DYDLODEOH 7KH GHQVLW\ IXQFWLRQV DUH WZRVLGHG H[SRQHQWLDO GHQVLWLHV 7KH
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
FRQGLWLRQDO 3')V DUH JLYHQ E\
I\
H[S b M\M
I\ H[S b M\M
7KH OLNHOLKRRG UDWLR WHVW EHFRPHV
+
e\ !
H[SM\M b M\ M 7
+
)XUWKHU VLPSOLnFDWLRQ LH WDNH QDWXUDO ORJDULWKPV OHDGV WR
+
] M\M
! OQ
+
(TXLYDOHQWO\ WKLV FDQ DOVR EH ZULWWHQ DV
,I b \ WKHQ GHFLGH RQ + RWKHUZLVH GHFLGH RQ +
7KH QXPHULFDO YDOXHV IRU WKH SHUIRUPDQFH FDQ EH REWDLQHG IURP WKH VLPSOH
H[SRQHQWLDO LQWHJUDOV JLYHQ EHORZ
3 = H[S \
b G\
'
=
3 H[S b \ G\
)$
3 0 b3 '
([DPSOH $Q HYHQW PD\ RU PD\ QRW KDYH RFFXUUHG 7KH FRVWV DQG SULRU
SUREDELOLWLHV DUH JLYHQ E\ & & & & DQG 3 3
UHVSHFWLYHO\ +HQFH WKH WKUHVKROG w 1 LQGHSHQGHQW VDPSOHV DUH DYDLODEOH
7KH GHQVLW\ IXQFWLRQV DUH RQHVLGHG H[SRQHQWLDO GHQVLWLHV 7KH FRQGLWLRQDO
3')V JLYHQ WKDW + RU + DUH WUXH DUH JLYHQ E\
I\
Q H[S b \ 8 \ Q Q
I\ \
H[S b 8 \
Q
Q Q
+\SRWKHVLV 7HVWLQJ
$FFRXQWLQJ IRU DOO WKH REVHUYDWLRQV WKLV EHFRPHV
<
1
I \ H[Sb \ 8 \ Q Q
Q
I \
<
1
H[Sb \ 8 \ Q
Q
Q
<
1
H[S b \
Q
e\ Q
<
1
H[S b\ Q
Q
+
H[S \ !
; 1
w
1
Q
Q
+
7DNLQJ WKH ORJDULWKP OHDGV WR
+
\ ! 1 OQ
;
1
] Q
Q
+
7KH RSWLPDO UHFHLYHU SHUIRUPV D OLQHDU RSHUDWLRQ RQ WKH GDWD LH D ),5 nOWHU
RSHUDWLRQ XVLQJ XQLW ZHLJKWV
([DPSOH 7KLV LV D QXPHULFDO H[DPSOH RI D SUREOHP RI WKH W\SH VKRZQ
LQ ([DPSOH $ VWRFN PDUNHW DQDO\VW QRWLFHG WKDW KH FRXOG XVH WKH QXPEHU
RI WRXFKGRZQV VFRUHG E\ KLV IDYRULWH WHDP DV DQ LQGLFDWRU DV WR ZKDW WKH VWRFN
PDUNHW ZLOO EH GRLQJ WKH IROORZLQJ ZHHN ,Q WKLV PRGHO WKH WRXFKGRZQV IROORZ
D 3RLVVRQ ODZ DQG WKH WKUHVKROG w LV VHW WR RQH :H ZLOO QRWLFH ODWHU WKDW
WKLV WKUHVKROG VHOHFWLRQ FRUUHVSRQGV WR WKH PD[LPXP OLNHOLKRRG 0/ GHWHFWLRQ
VFKHPH 8QGHU
+ EXOO PDUNHW LH H[SDQGLQJ HFRQRP\
+ EHDU PDUNHW LH VWDJQDWLQJ RU FROODSVLQJ HFRQRP\
7KH SUREDELOLW\ ODZ XQGHU HDFK K\SRWKHVLV LV 3RLVVRQ ZLWK SDUDPHWHU P DQG
P UHVSHFWLYHO\ )URP H[SHULPHQWDO GDWD WKH DQDO\VW KDG HVWDEOLVKHG WKH
YDOXH RI P DV DQG RI P DV 6R KH SURSRVHG WR SORW WKH QXPEHU RI
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
WRXFKGRZQV RQ WKH KRUL]RQWDO D[LV VHH WKH OLNHOLKRRG IXQFWLRQ SORW LQ )LJXUH
7KHQ HVWDEOLVK ZKLFK RI WKH WZR SUREDELOLW\ GHQVLW\ IXQFWLRQV LV WKH
GRPLQDQW RQH WKHQ GHWHFW WKH W\SH RI PDUNHW YDOLG IRU WKH QH[W WUDGLQJ ZHHN
2I FRXUVH WKLV VFKHPH VHHPV WR GLVUHJDUG FDXVH DQG HmHFW EXW LW VHHPHG WR
ZRUN IRU WKLV PDUNHW DQDO\VW
6R IDU ZH KDYH XVHG WKH %D\HV
WHVW GHWHFWRU SKLORVRSK\ DSSURDFK HWF
EXW PDQ\ WLPHV QRW DOO WKH UHTXLUHG LQIRUPDWLRQ IRU WKH %D\HV
WHVW LV DYDLODEOH
3U \ \ \ G\ I \G\
$V WKH YHFWRU G\ EHFRPHV YHU\ VPDOO LH D GLmHUHQWLDO WKH FRQGLWLRQDO
SUREDELOLW\ FDQ EH ZULWWHQ DV
3U + M\ II \\ 3U +
L
L
L
IRU L 7KH GHWHFWLRQ LQHTXDOLW\ EHFRPHV ZKHQ XVLQJ 3U+ 3 L L
+
I\ ! 3 0$3 GHWHFWRU
I\ 3
+
1RWH QR FRVW IXQFWLRQ LV XVHG RU HTXLYDOHQWO\ & b & & b & :H
FDQ DOVR LQWHUSUHW WKH 0$3 GHWHFWRU DV D %D\HV
GHWHFWRU ZLWK D GLmHUHQW
WKUHVKROG 7KH WKUHVKROG IRU WKH 0$3 GHWHFWRU LV MXVW D IXQFWLRQ RI WKH SULRU
SUREDELOLWLHV LH 3 DQG 3 $W WKLV SRLQW LI LW LV GHVLUDEOH WR ZRUN ZLWK
D YHFWRU RI GDWD VDPSOHV DOO WKDW QHHGV WR EH GRQH LV WR UHSODFH WKH VFDODU \
ZLWK WKH YHFWRU \ LQ
+ \ z 1 P IRU Q c c c 1 LLG
Q
e\ Q
H[S b \ b P
< 1
Q
Q
+
H[S
;d1
Q
+ Q
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
ZKHUH WKH PHDQ RI WKH UDQGRP YDULDEOH ] LV JLYHQ E\
( ] 1
;
1
L (\ Q P L
Q
]
1 Q P
Q \ Q P \ P
;
1
}\ 1
1 Q
)$
]
= ]
3 0 I]G]
b
3
b3 ' 0
= =
& 3 & I\ G\ 3 & I\ G\
5
5
= =
3 & I \ G\ 3 & I\ G\
5
5
,I ZH DVVXPH WKDW & & DV LV WKH FDVH LQ PRVW UHDO OLIH VLWXDWLRQV
RI LQWHUHVW WKHQ DV ZH SORW WKH DYHUDJH FRVW & DV IXQFWLRQ RI 3 ZH REWDLQ
D JUDSK RI WKH IRUP JLYHQ LQ )LJXUH 7KH PD[LPXP RFFXUV ZKHUH WKH
VORSH RI WKH FXUYH LV ]HUR 7KH H[FHSWLRQ LV ZKHQ WKH DYHUDJH FRVW EHFRPHV D
VWUDLJKW OLQH WKHQ WKH PD[LPXP RFFXUV DW RQH RI WKH HQG SRLQWV 7R REWDLQ
WKH PD[LPXP RI WKH FXUYH ZH WDNH D SDUWLDO GHULYDWLYH RI & ZLWK UHVSHFW WR
3 DQG VHW LW WR ]HUR LH ZH nQG ZKHUH WKH VORSH LV ]HUR 6R JLYHQ WKH
PD[LPXP DYHUDJH FRVW ZH PLQLPL]H LW KHQFH WKH QDPH 0LQ0D[ FULWHULRQ
$IWHU ZH H[SUHVV HYHU\ WHUP LQ WHUPV RI 3 WDNLQJ D SDUWLDO GHULYDWLYH OHDGV
WR
#& #
#3 #3
> b 3 & 3 & 3 & b & 3 b 3 & b & 3 @
0 )$
6HWWLQJ WKH SDUWLDO GHULYDWLYH WR ]HUR OHDGV WR
& b & & b & 3 b & b & 3
0 )$
,I & & ZH JHW
& 30 &3)$
7KH GHWHFWRU IRUP XVLQJ WKH %D\HV
FRVW IRUPXOD LV WKH %D\HV
GHWHFWRU ZLWK
D WKUHVKROG w WKDW UHTXLUHV WR EH WUXH
([DPSOH 7KH FRVW IRU D FRUUHFW GHFLVLRQ LV ]HUR & IRU L
7KH QXPEHU RI VDPSOHV LV RQH 1 & & . ! 8QGHU
LL
+ \ Q ZKHUH Q z 1
+ \ Q
7KH 0LQ0D[ WHVW EHFRPHV 3 )$ 3 2U LQ WHUPV RI LQWHJUDOV ZH
0
REWDLQ
S
=
H[S \ b G\ S = H[S \ b G\
w
{ b {
w
:LWK HUURU IXQFWLRQ UHSODFHPHQW WKLV EHFRPHV HUI w b 4w b
8VLQJ WKH HUURU IXQFWLRQ WDEOHV ZH VHH WKDW WKH VROXWLRQ ZLOO EH D w
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
RI ,Q JHQHUDO LI & & DQG & & WKHQ ZH XVH & b & 3 b
& b & 3 & b & RU LQ WHUPV RI WKH GHWHFWLRQ VWDWLVWLF
0
)$
=
3 I\ G\
)$
w
=
I \G\ && bb && && bb &&
w
b
{
E 9LD /DJUDQJH PXOWLSOLHUV :H GHnQH WKH DSSHQGHG FRVW IXQFWLRQ DV
VKRZQ E\
- U C 9 U C w $U C b $
{UC w b{U {UC b $c
7KH nUVW WHUP LV WKH TXDQWLW\ WR EH RSWLPL]HG ZKLOH WKH VHFRQG WHUP
LV WKH HTXDOLW\ FRQVWUDLQW ZHLJKWHG E\ WKH /DJUDQJH PXOWLSOLHU w :H
QRWH WKDW LW LV SXUHO\ FRLQFLGHQWDO WKDW WKH /DJUDQJH PXOWLSOLHU LV ODEHOHG
ZLWK WKH *UHHN OHWWHU w ZKLFK LV DOVR WKH V\PERO XVHG WR GHQRWH PDQ\
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
RI WKH WKUHVKROGV LQ WKH GHWHFWRU LPSOHPHQWDWLRQV 7DNLQJ WKH SDUWLDO
GHULYDWLYHV ZUW C U DQG w OHDGV WR
#- {U w{U U b w
#C
#- {UC w{U {C C w
b
#U
#- {U {UC b $
#w
$ #bw$
_^]` { #b w$ #b
_^]` w$ {w
_^]`
U U C
+HQFH U
w h
$ {
6ROYLQJ IRU U DQG C OHDGV WR
U U
U $
$
{ {
U U
C $
$
{ {
6R ZH VHH WKLV V\VWHPDWLF ZD\ OHDGV GLUHFWO\ WR WKH FRQVWUDLQW VROXWLRQ
1H\PDQ3HDUVRQ $SSURDFK
/HW XV QRZ n[ WKH IDOVH DODUP UDWH 3 DW D YDOXH RI m DQG RSWLPL]H WKH
SUREDELOLW\ RI GHWHFWLRQ 3 RU HTXLYDOHQWO\ PLQLPL]H WKH SUREDELOLW\ RI D
)$
0 0 '
PLQLPL]H HTXDOLW\ FRQVWUDLQW
=] `_ ^ ]
= `_ ^
- I\G\ w I\G\ b m
5
5
= = w
I\G\ w b I\G\ b m
5
5
=
w b m I \ b wI \ G\
5
7KH nUVW WHUP LQ UHSUHVHQWV D n[HG SRVLWLYH FRVW ZKLOH WKH VHFRQG
WHUP LV DQ DGMXVWDEOH FRVW 7KH H[SUHVVLRQ LV VHW XS VLPLODU WR WKH %D\HV
FDVH
+\SRWKHVLV 7HVWLQJ
:KHQ ZH H[DPLQH WKH LQWHJUDO ZH QRWLFH WKDW ZH ZRXOG OLNH WR VHOHFW
WKH UHJLRQ 5 LQ VXFK D IDVKLRQ WKDW WKH IXQFWLRQ - LV PLQLPL]HG 7KHUH LV
QR QHHG WR WDNH DQ\ GHULYDWLYHV ZH MXVW XVHG WKH /DJUDQJH PXOWLSOLHU WR VHW
XS WKH IXQFWLRQ - 2EYLRXVO\ WKH WHUP - LV PLQLPL]HG ZKHQ RQH XVHV WKH
IROORZLQJ SKLORVRSK\ ,I WKH GDWD \ PDNHV WKH VHFRQG WHUP LQ WKH LQWHJUDQG
ODUJHU WKDQ WKH nUVW WHUP WKHQ LQFOXGH WKH GDWD DV EHORQJLQJ WR UHJLRQ 5
&RQYHUVHO\ LI WKH GDWD PDNHV WKH nUVW WHUP ODUJHU WKDQ WKH VHFRQG RQH WKHQ
LQFOXGH WKLV GDWD DV EHORQJLQJ WR UHJLRQ 5 ,Q RWKHU ZRUGV
+
I \ ! wI\
+
7KH IRUP RI WKH GHWHFWRU LV
+
I \ !
e\ I \ w
+
7KH WKUHVKROG w LV FKRVHQ VR WKDW WKH 3 FRQVWUDLQW LV PHW 7KH IDOVH DODUP
)$
UDWH LV JLYHQ E\ =
3 I\ G\
)$
w
+ \ Q
+ \ Q
+
e\ I\ H[S\ b !
I\ w
+
RU
+
OQ e\ \ b ! OQ w
+
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
RU
+
\ ! OQ w o
+
7KH n[HG DODUP UDWH LV JLYHQ E\
3
=
H[S b t \ u G\
)$
{
o
:H NQRZ WKH DERYH H[SUHVVLRQ LV 4o )URP WKH WDEOHV $SSHQGL[ '
ZH FDQ VROYH IRU o ZKLFK LV 7KH nQDO WHVW EHFRPHV
+
\ !
+
2I FRXUVH ZH DOVR ZDQW WR FRPSXWH WKH SUREDELOLW\ RI GHWHFWLRQ 8VLQJ WKH
WDEOHV ZH nQG 3 4 ZKLFK LV QRW D SDUWLFXODUO\ JRRG GHWHF
'
WLRQ SHUIRUPDQFH EXW LW LV WKH EHVW RQH FDQ REWDLQ XQGHU WKH FLUFXPVWDQFHV
([DPSOH 6XSSRVH WKDW ZH KDYH WKH VDPH FRQGLWLRQV DV LQ ([DPSOH
H[FHSW WKDW ZH KDYH DFFHVV WR VDPSOHV UDWKHU WKDQ MXVW RQH 8QGHU
+ \Q QQ IRU Q c c c DQG
+ \Q QQ IRU Q c c c
+
I \ H[S b b \Q !
;
e\ I \ OQ w
Q
+
+
\Q ! OQ w
;
Q
+
/HW XV FDOO WKH OHIWKDQG VLGH RI WKH LQHTXDOLW\ ] DQG WKH ULJKWKDQG VLGH o
WKDW LV
+
\Q ! o
;
]
Q
+
:H UHDOL]H WKDW ] LV D *DXVVLDQ UDQGRP YDULDEOH LH RQHGLPHQVLRQDO ZLWK
PHDQ RI RU XQGHU + RU + UHVSHFWLYHO\ 7KH YDULDQFH LV HDVLO\ VKRZQ
+\SRWKHVLV 7HVWLQJ
WR EH KHQFH WKH VWDQGDUG GHYLDWLRQ HTXDOV 7R JXDUDQWHH D 3 RI
ZH NQRZ 4o RU o +HQFH o DQG WKH SUREDELOLW\
)$
6XSSRVH WKDW ZH ZDQW WR n[ 3U ' M+ DW D OHYHO RI WKHQ ZH VKLIW WKH
RULJLQDO WKUHVKROG OQ DQ LQFUHPHQW WR WKH OHIW VR WKDW
=
G\ 7
+HQFH 7 7KH QHZ WKUHVKROG DOVR FKDQJHV 3U ' M+ WR
= =
3U ' M+ H G\ H G\
b\ b\
; ;
0 b 0 b
0 PXWXDOO\ GLVMRLQWHG DQG H[KDXVWLYH UHJLRQV 5 5 c c c 5 VXFK WKDW &
L M
0b
LV PLQLPL]HG 0XWXDOO\ H[KDXVWLYH DQG GLVMRLQWHG PHDQV
?
5L 5 M j WKH HPSW\ VHW WKH 1XOO VSDFH ZKHQ L M
>
0 b
= =
3U' M+ L M ccc I \ G\
M
5 L
8VLQJ 5 L 5b6 0 b
M M L
5 DQG
M
=
I \G\
M
5
ZH JHW
n[HG FRVW
] `_ ^
0 b 0 = 0 b
; ; ;
& &3 LL L 3 & M LM b & I \G\
MM M
L L 5 L M M L
'HnQH , \ DV
L
0 b
;
, \
L 3 &M LM b & I \
MM M
M LM
7KH nUVW WHUP LQ LV D n[HG FRVW WHUP ZKLOH WKH VHFRQG WHUP FRQVWLWXWHV
D YDULDEOH FRVW $V LQ WKH ELQDU\ GHFLVLRQ FDVH ZH DVVLJQ HDFK REVHUYDWLRQ \
WR WKH UHJLRQ ZKLFK ZLOO PDNH WKH YDULDEOH FRVW WKH VPDOOHVW 7R GR WKLV OHW
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
XV GHnQH RXU GHFLVLRQ UXOH WKDW LV ?FKRRVH WKDW K\SRWKHVLV WKDW FRUUHVSRQGV
WR WKH PLQLPXP RI , \ DV WKH FRUUHFW RQH LH VD\ + LV WUXH
'LYLGLQJ , \ RI E\ I \ ZH JHW WKH DYHUDJHG ZHLJKWHG E\ FRVW
L L
L
DQG SULRU SUREDELOLWLHV OLNHOLKRRG IXQFWLRQ - \ DV IROORZV L
- \ , \ L
L
I\
0 b
;
3 &M LM b & e \G\
MM M
M M L
ZKHUH
e \ II \\ M
M
7KH GHFLVLRQ GHWHFWLRQ FULWHULRQ EHFRPHV ?FKRRVH WKH K\SRWKHVLV IRU ZKLFK
- \ LV PLQLPXP LH VD\ + LV WUXH )RU H[DPSOH FKRRVH + LI DOO WKH
L L
IROORZLQJ LQHTXDOLWLHV DUH WUXH
;
0 b
;
0 b
- - 3 & b & e \
M M MM M 3 & b & e \
M M MM M
M M
M M
0 b 0 b
; ;
- - 3 & b & e \
M M MM M 3 & b & e \
M M MM M
M M
M M
;
0 b
;
0 b
- - 0 b 3 & b & e \
M M MM M 3 &
M 0 bM b & e \
MM M
M M
M M 0 b
+ \ z 1 P }
Q
+ \ z 1 P }
Q
LM
VDPSOHV 8QGHU
+ I \
<
1
S
H[S b \ b P L
L L
Q {} } Q L
;
,\ 3 & I \
M M M
M M
I \ I \
;
,\ 3 & I \
M M M
M M
I \ I \
;
,\ 3 & I \
M M M
M M
I \ I \
,Q WHUPV RI WKH - \ IRU L ZH KDYH
L
-\ , \ e \ e \
I \
-\ I \ I \ e \
I \ I \
-\ I \ I \ e \
I \ I \
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
6XSSUHVVLQJ WKH DUJXPHQW LQ WKH OLNHOLKRRG IXQFWLRQV WKLV VD\V WKH IROORZLQJ
&KRRVH +
LI - - DQG - - WKDW LV
D e e e e
E e e e e
&KRRVH +
LI - - DQG - - WKDW LV
D e e e e
E e e e e
&KRRVH +
LI - - DQG - - WKDW LV
D e e e e
E e e e e
7KHVH GHFLVLRQ UHJLRQV DUH VKRZQ LQ )LJXUH ZKLFK VKRZV WKH UHJLRQV LQ
WHUPV RI WKH OLNHOLKRRG UDWLRV e DQG e 7KH GHFLVLRQ VHSDUDWLQJ VXUIDFHV DUH
e e DQG e e $V LQGLFDWHG LQ )LJXUH ZH GHFLGH RQ WKH
HYHQW L LI WKH HYHQW LV ORFDWHG LQ UHJLRQ L LH ZH GHFLGH RQ + LQ UHJLRQ 5 L L
E\ LQVHUWLQJ WKH DSSURSULDWH SUREDELOLW\ GHQVLW\ IXQFWLRQ WKH H[SUHVVLRQ EH
FRPHV IRU M
\ b P b \ b P !
; 1
; 1
H[S b }
Q M
Q
Q Q
)URP e ZH REWDLQ ] P P
)URP e ZH REWDLQ ] P P
)URP e ! ZH REWDLQ ] ! P P
)URP e ! ZH REWDLQ ] ! P P
)URP e e ZH REWDLQ
I\ I\
RU
;
1
b c ;
1
b c
P b P\
Q P b P\
Q
Q Q
KHQFH ] P P e ! e DQG e e WUDQVODWH LQWR ] P
P DQG ] ! P P UHVSHFWLYHO\ 7KH GHFLVLRQ UHJLRQV DUH QRZ YHU\
VLPSOH DQG LQWXLWLYHO\ SOHDVLQJ
D GHFLGH RQ + ZKHQ e DQG e EHFRPHV ] P P
DQG ] P P
E GHFLGH RQ + ZKHQ e DQG e e EHFRPHV ] ! P P
DQG ] P P
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
b
b
DQG = =
I [[ I [[ M[[ I [M[ I [ G[ G[
7KHVH LGHQWLWLHV FDQ EH YHULnHG YHU\ HDVLO\ E\ XVLQJ %D\HV
UXOH :KHQ QXL
VDQFH SDUDPHWHUV DUH LQYROYHG ZH FDOO WKH K\SRWKHVLV WHVW D FRPSRVLWH K\
SRWKHVLV WHVW ,I QR XQNQRZQ SDUDPHWHUV DUH LQYROYHG ZH FDOO WKH K\SRWKHVLV
WHVW D VLPSOH K\SRWKHVLV WHVW :H QRWH ZKHQ WKH OLPLWV RI LQWHJUDWLRQ RU
VXPPDWLRQ DUH XQGHUVWRRG WKHQ WKH\ DUH VRPHWLPHV OHIW Rm
1XLVDQFH 3DUDPHWHUV ZLWK .QRZQ RU 8QNQRZQ
3UREDELOLW\ 'HQVLW\ )XQFWLRQ RU ZLWK 8QNQRZQ
EXW )L[HG 9DOXHV
7KH OLNHOLKRRG UDWLR WHVW LV WKH RSWLPXP GHWHFWLRQ VWUDWHJ\ WKDW LV RQH FRP
SXWHV e\ DQG FRPSDUHV LW WR WKH DSSURSULDWH GHWHFWLRQ WKUHVKROG ZKLFK LV
D IXQFWLRQ RI WKH GHWHFWRU LPSOHPHQWDWLRQ LH 0$3 0/ HWF
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
7\SH :H KDYH
= =
ccc \MJ I J GJ +
e\ II \\ = =J ! w
ccc \MJ I J GJ +
J
7\SH :KHQ WKH YHFWRU J LV UDQGRP ZLWK XQNQRZQ RU SDUWLDOO\ NQRZQ
GHQVLW\ ZH DSSURDFK WKH SUREOHP DV IROORZV
'HVLJQ WKH GHWHFWRU DV IRU 7\SH DVVXPLQJ WKH ZRUVW FDVH SUREDELOLW\
GHQVLW\ IXQFWLRQ LH WKH XQLIRUP 3') UHoHFWV YHU\ OLWWOH NQRZOHGJH
DERXW WKH SDUDPHWHU GHQVLW\ H[FHSW RI FRXUVH WKH PD[LPXP DQG PLQ
LPXP YDOXHV RI WKH SDUDPHWHUV ,I SRVVLEOH ZH XVH WKH SDUWLDO NQRZO
HGJH DERXW WKH 3') WKDW PD\ EH DYDLODEOH 0DQ\ WLPHV WKH GHFLVLRQ
UXOH WXUQV RXW WR EH LQGHSHQGHQW RI WKH SDUDPHWHU
7\SH J LV GHWHUPLQLVWLF EXW XQNQRZQ 7KHUHIRUH WKHUH LV QR 3') RYHU
ZKLFK RQH FDQ DYHUDJH ,Q SULQFLSOH WKHUH DUH WZR DSSURDFKHV WR WKLV W\SH RI
SUREOHP
D :H FDQ XVH D 1H\PDQ3HDUVRQ WHVW ,I WKH 1H\PDQ3HDUVRQ WHVW WXUQV
RXW WR EH LQGHSHQGHQW RI J WKHQ LW LV FDOOHG D XQLIRUPO\ PRVW SRZHUIXO
803 WHVW 7KH WHVW PXVW EH LQGHSHQGHQW RI J LQ ERWK WKUHVKROG DQG
LQ WHVW GHFLVLRQ YDULDEOHV WKH GHWHFWRU DOJRULWKP
E ,I D 803 WHVW GRHV QRW H[LVW J FDQ EH HVWLPDWHG DQG WKHVH HVWLPDWHV
DUH WKHQ XVHG LQ D ?JHQHUDOL]HG /57
PD[J I \
e \
J
PD[J
I \
+
I \MJA ! w
I \MJA
+
ZKHUH JA LV WKH 0/ HVWLPDWH RI WKH SDUDPHWHU IRU K\SRWKHVLV L
L
7KHVH SUREOHPV DUH EHVW LOOXVWUDWHG XVLQJ H[DPSOHV 7KH H[DPSOHV XVH
RQO\ D RQHGLPHQVLRQDO SDUDPHWHU 7KLV VHUYHV ZHOO WR LOOXVWUDWH WKH
SULQFLSOH LQYROYHG 7KH H[WHQVLRQ WR PRUH WKDQ RQH QXLVDQFH SDUDPHWHU
LV VWUDLJKWIRUZDUG LH UHSODFH WKH RQHGLPHQVLRQDO DYHUDJH ZLWK WKH
FRUUHVSRQGLQJ PXOWLGLPHQVLRQDO DYHUDJH
+\SRWKHVLV 7HVWLQJ
([DPSOH 7\SH NQRZQ QXLVDQFH 3') 6XSSRVH WKDW XQGHU WKH +
DVVXPSWLRQ ZH KDYH D VLPSOH K\SRWKHVLV ZKLOH XQGHU WKH + DVVXPSWLRQ ZH
KDYH D FRPSRVLWH K\SRWKHVLV 7KLV PHDQV WKDW XQGHU + ZH NQRZ WKH OLNHOLKRRG
IXQFWLRQ IRU WKH ]HUR HYHQW H[DFWO\ ZKLOH XQGHU + WKHUH LV XQFHUWDLQW\ DQG D
VWDWLVWLFDO GHVFULSWLRQ RI WKH SDUDPHWHU ,Q WKLV H[DPSOH ZH KDYH DV D QXLVDQFH
SDUDPHWHU WKH PHDQ RI WKH SURFHVV P 8QGHU
+ \ z 1 }
+ \ z 1 P }
ZKHUH P KDV D *DXVVLDQ 3') JLYHQ E\ P z 1 } 7KH OLNHOLKRRG UDWLR
P
LV JLYHQ E\
=
I \MP I P GP +!
e\ I\
w
b
I\ I\
+
8VLQJ WKH DYDLODEOH VWDWLVWLFDO LQIRUPDWLRQ WKLV EHFRPHV
=
S
H[S b
\ b P S H[S b P GP +
{} } {} } ! w
e\ b
\
P
P
S H[S b } +
{}
+
P
3UREOHPV RI W\SH DUH KDQGOHG WKH VDPH ZD\ DV SUREOHPV RI W\SH WKDW
LV XVH ZKDWHYHU VWDWLVWLFDO LQIRUPDWLRQ LV DW KDQG RU DVVLJQ D ZRUVWFDVH RQH
2WKHU WKDQ WKDW WKH SUREOHP RI W\SH LV KDQGOHG WKH VDPH ZD\ DV SUREOHPV
RI W\SH
([DPSOH 7\SH D 803 W\SH SUREOHP 8QGHU
+ \ z 1
+ \ z 1 P
ZKHUH P LV DQ XQNQRZQ SRVLWLYH TXDQWLW\ 7KH /57 LV ZULWWHQ DV
t u
+
P
e\ H[S P\ b ! w
+
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
$IWHU VRPH VLPSOLnFDWLRQ WKLV FDQ EH H[SUHVVHG DV
+
\ ! P P OQ w w
+
1RWH ZH FRXOG RQO\ UHGXFH LW WR WKLV VLPSOH IRUP VLQFH ZH NQHZ LQ DGYDQFH WKDW
P ! DQG WKH WHVW OHIWKDQG VLGH RI WKH LQHTXDOLW\ FDQ EH PDGH LQGHSHQGHQW RI
WKH QXLVDQFH SDUDPHWHU )RU WKH 1H\PDQ3HDUVRQ WHVW WKH IDOVH DODUP UDWH
LV n[HG DW VRPH GHVLUHG OHYHO RI 3 6LQFH RXU GHWHFWLRQ VWDWLVWLF LV VLPSO\
WKH REVHUYDWLRQ WKH H[SUHVVLRQ IRU WKH 3 EHFRPHV MXVW WKH DUHD XQGHU WKH
)$
=
3
\
S H[S b G\ 4w
)$
w {
:H VHH WKDW WKH GHWHUPLQDWLRQ RI WKH WKUHVKROG w LV LQGHSHQGHQW RI WKH QXL
VDQFH SDUDPHWHU P DQG WKDW WKH 1H\PDQ3HDUVRQ WHVW LH WKH OHIWKDQG VLGH
RI WKH LQHTXDOLW\ LV DOVR LQGHSHQGHQW RI WKH QXLVDQFH SDUDPHWHU P 7KLV VD\V
WKDW WKLV WHVW LV D 803 WHVW ZLWK UHVSHFW WR WKH SDUDPHWHU P
([DPSOH 7\SH E JHQHUDOL]HG /57 SUREOHP $ VLPLODU SUREOHP LV
JLYHQ LQ ([DPSOH ZLWK WZR H[FHSWLRQV D ZH GR QRW NQRZ WKH SRODULW\
RI WKH VLJQDO DQG E ZH KDYH 1 VDPSOHV LH 1 ! DYDLODEOH 8QGHU
+ \ z 1 } IRU Q c c c 1
Q
+ \ z 1 P }
Q
HVWLPDWH RI WKH WUXH PHDQ 7KH H[SUHVVLRQ IRU WKH VDPSOH PHDQ LV
PA ;\ 1
0/
1 Q
Q
+\SRWKHVLV 7HVWLQJ
KHQFH WKH /57 EHFRPHV
e\ I \MPA 0/
I\
<
1
H[S b } \ b
;
1
\ +
Q
Q
1 P
P
! w
H[S b } \
<
1
Q +
Q
\ n
Qn
! o S
} OQ w
n 1Q n
+
:H LQWURGXFHG WKH LGHD RI QXLVDQFH SDUDPHWHUV XVLQJ VLPSOH H[DPSOHV
:H ZLOO UHWXUQ WR WKH LGHD RI DYHUDJLQJ RXW XQGHVLUHG LQoXHQFHV LQ &KDSWHU
WKDW WKH ? HYHQW DFWXDOO\ RFFXUUHG ZKLOH 3 LV WKH SUREDELOLW\ RI VD\LQJ WKH
0
'
? HYHQW LV WUXH JLYHQ WKDW WKH ? HYHQW DFWXDOO\ RFFXUUHG 7KH PDMRULW\
RI GHWHFWLRQ SUREOHPV LH UDGDU VRQDU QXFOHDU EODVW FRQVLGHU DV WKH ?
HYHQW WKH FRQGLWLRQ WKDW D WDUJHW RU HYHQW WR EH GHWHFWHG LV SUHVHQW :LWKRXW
ORVV RI JHQHUDOLW\ LW LV PRUH FRQYHQLHQW IRU XV WR GHVFULEH WKH SHUIRUPDQFH
YLD WKH WKUHH HDUOLHU GHnQHG WHUPV 3 3 DQG 3 3HUKDSV VRPH EHWWHU
)$ 0 '
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
VXLWHG GHnQLWLRQV DUH 3U' M+ IRU 3 3U' M+ IRU 3 DQG 3U' M+
IRU 3 %XW VLQFH WKH PDMRULW\ RI SUREOHPV GHDO ZLWK GHWHFWLRQ RI WDUJHWV ZH
)$ 0
'
XVH WKH UDGDUVRQDU GHnQLWLRQV PRVW RI WKH WLPH 2QO\ ZKHQ PRUH FODULW\ LV
SURYLGHG E\ WKH JHQHUDO GHnQLWLRQ ZLOO ZH UHVRUW WR LW
7KHVH TXDQWLWLHV FDQ EH XVHG WR SURYLGH D JUDSKLFDO UHSUHVHQWDWLRQ RI WKH
SDUWLFXODU GHWHFWLRQ VFKHPH ,W VHHPV D OLWWOH VWUDQJH WR WDON DERXW GLmHUHQW
LPSOHPHQWDWLRQV RI GHWHFWRUV DW WKLV WLPH EXW WKHUH DUH PDQ\ UHDVRQV WR
FRPSDUH GHWHFWRU SHUIRUPDQFH )RXU YHU\ W\SLFDO UHDVRQV DUH OLVWHG EHORZ
7KH\ DUH
D 2QH FRXOG FKRRVH WR XVH RU GLVUHJDUG FHUWDLQ SLHFHV RI LQIRUPDWLRQ ZKHQ
GHVLJQLQJ WKH GHWHFWRU $ W\SLFDO VFHQDULR LV QRW WR XVH SULRU SUREDELO
LWLHV HYHQ ZKHQ WKH\ DUH DYDLODEOH DQG WKHQ REWDLQ D PHDVXUH RI WKH
WUDGHRmV ZKHQ LJQRULQJ WKDW LQIRUPDWLRQ
E :H PD\ ZDQW WR FKHFN RXW WKH GHVLJQ SURFHGXUH E\ FRPSXWLQJ WKHR
UHWLFDO YDOXHV RI WKH GHWHFWLRQ SHUIRUPDQFH DQG FRPSDUH WKHP ZLWK WKH
UHVXOWV XVLQJ WKH GHWHFWRU RQ VLPXODWHG RU UHDO GDWD VHW
F $QRWKHU IUHTXHQW XVH RI WKHVH TXDQWLWLHV LV WR VWXG\ WKH GHJUDGDWLRQ
RI WKH SHUIRUPDQFH DV D IXQFWLRQ RI VLJQDOWRQRLVH UDWLR 615 RU DV
D IXQFWLRQ RI WKH GHJUHH RI VWUD\LQJ DZD\ IURP WKH SRVWXODWHG LGHDO
IXQFWLRQDO IRUP RI WKH GHWHFWRU 2QH FDQ DOVR GLVSOD\ WKH GHJUHH RI
VHQVLWLYLW\ WR YDULDWLRQV LQ 3') SDUDPHWHUV
G 7KH SHUIRUPDQFH RI VHYHUDO GHWHFWLRQ VFKHPHV FDQ EH FRPSDUHG :H
PD\ KDYH D FKRLFH RI DSSURDFKLQJ WKH GHWHFWLRQ SUREOHP WKDW LV WR VD\
ZH PD\ KDYH WR RU ZDQW WR VHOHFW D VXERSWLPDO GHVLJQ ZKLFK PLJKW OHDG
WR GLmHUHQW GHWHFWRU LPSOHPHQWDWLRQV ,Q WKHVH FDVHV WKH WUDGHRmV FDQ
EH VWXGLHG XVLQJ WKH GHWHFWLRQ TXDQWLWLHV
52& &XUYHV
7KH EDVLF UHFHLYHU RSHUDWLQJ FKDUDFWHULVWLF 52& FXUYH LV D WZRGLPHQVLRQDO
JUDSK RI SUREDELOLW\ RI GHWHFWLRQ 3 YHUVXV WKH SUREDELOLW\ RI IDOVH DODUP
3 $ W\SLFDO H[DPSOH RI WKH OLNHOLKRRG IXQFWLRQV IRU WKH ELQDU\ VLJQDO
'
)$
FDVH LV VKRZQ LQ )LJXUH
:H QRWH WKDW RQH FDQ VOLGH WKH WKUHVKROG DZD\ IURP WKH SRLQW DV GLFWDWHG
E\ WKH GHWHFWLRQ SKLORVRSK\ LH 0$3 0/ %D\HV HWF DQG H[DPLQH WKH
GHWHFWLRQ SHUIRUPDQFH DW HDFK RI WKHVH WKUHVKROGV 7R HDFK XQLTXH WKUHVKROG
FKRVHQ WKHUH FRUUHVSRQGV D XQLTXH SDLU RI SRLQWV 3 DQG 3 ZKLFK GH
' )$
VFULEH WKH SHUIRUPDQFH RI WKH GHWHFWRU DW WKDW WKUHVKROG :H W\SLFDOO\ SORW
WKHVH SDLUV RI SRLQWV DJDLQVW D YHUWLFDO DQG KRUL]RQWDO VFDOH RI 3 DQG 3 UH
' )$
VSHFWLYHO\ $ W\SLFDO SORW RI WKHVH SRLQWV IRU YDULRXV 615V LV VKRZQ LQ )LJXUH
+\SRWKHVLV 7HVWLQJ
)$ '
QXPHULFDO YDOXH RI WKH VORSH RI WKH 52& FXUYH DW DQ\ SRLQW FRUUHVSRQGV WR WKH
QXPHULFDO YDOXH RI WKH WKUHVKROG RI WKH GHWHFWRU WR SURYLGH WKH SHUIRUPDQFH
LQGLFDWHG E\ WKH FRRUGLQDWHV RI WKDW SRLQW RQ WKH FXUYH $ VLPSOH GHULYDWLRQ
RI WKLV UHVXOW LV JLYHQ EHORZ 7KH GHWHFWLRQ VWDWLVWLF e\ ZKLFK XVXDOO\ LV D
VLQJOH UDQGRP YDULDEOH XQGHU HDFK K\SRWKHVLV LV FRPSDUHG WR WKH WKUHVKROG
w 7KH GHWHFWRU SHUIRUPDQFH FDQ WKHQ EH GHVFULEHG E\
=
3 3U e ! wM+ Ie z Gz
' M+
w
=
3 3U e ! wM+ Ie
z Gz
)$ M+
w
Ie z IIe zz Ie
z ez Ie
z
M+
M+
M+ M+
e
M+
DV =
3 Ie z Gz
' M+
w
=
ez Ie
z Gz
M+
w
7DNLQJ WKH GHULYDWLYHV RI DQG ZLWK UHVSHFW WR w XVLQJ /HLEQLW]
V
UXOH $SSHQGL[ ' OHDGV WR
#3 )$
Ie
w b
#w M+
#3 '
ew Ie
w b b w Ie
w
#w M+ M+
+\SRWKHVLV 7HVWLQJ
ZKHUH ew w LV VXEVWLWXWHG 7KH UDWLR RI WKH WZR SDUWLDO GHULYDWLYHV WKDW
LV WKH VORSH RI WKH 52& FXUYH EHFRPHV
#3 )$
w
#3 '
:H UHDOL]H WKDW WKH LQVWDQWDQHRXV VORSH RI WKH 52& FXUYH DW DQ\ DUELWUDU\
SRLQW QXPHULFDOO\ FRUUHVSRQGV WR WKH WKUHVKROG RI WKH GHWHFWRU ZKLFK SURYLGHV
WKH SUREDELOLW\ RI IDOVH DODUP DQG SUREDELOLW\ RI GHWHFWLRQ DV LQGLFDWHG E\
WKH FRRUGLQDWH RI WKH SRLQW XQGHU FRQVLGHUDWLRQ 7KH GHWHFWLRQ SHUIRUPDQFH
GLVSOD\ RI WKH 52& FXUYH LV UHDVRQDEOH ZKHQ FRQVLGHULQJ D W\SLFDO 3 RI EHWWHU
WKDQ DW UDQJHV RI 3 ODUJHU WKDQ 7KLV LV DFFHSWDEOH IRU RXU SXUSRVHV
'
)$
WKDW LV WKH XQGHUVWDQGLQJ RI GHWHFWRUV DQG WKHLU SHUIRUPDQFH +RZHYHU IRU
PDQ\ SUREOHPV ZH ZRXOG OLNH WR ORRN DW SHUIRUPDQFH DW SUREDELOLW\ RI IDOVH
DODUP OHYHOV PDQ\ RUGHUV RI PDJQLWXGH VPDOOHU WKDQ $ W\SLFDO 3 UDQJH
)$
PLJKW EH WR ,Q WKRVH FDVHV ZH ZLOO UHVRUW WR RWKHU SHUIRUPDQFH
b b
6800$5<
7KH FRQFHSW RI K\SRWKHVLV WHVWLQJ LV LQWURGXFHG LQ 6HFWLRQ %D\HV
FRVW
IXQFWLRQ FULWHULRQ DQG GHWHFWRUV DUH GLVFXVVHG LQ 6HFWLRQ 6HFWLRQ
LQWURGXFHV WKH 0$3 ZKLOH 6HFWLRQ DGGUHVVHV WKH 0/ EDVHG GHWHFWLRQ ,Q
6HFWLRQ ZH LQYHVWLJDWH WKH FRQFHSW RI PLQLPL]LQJ WKH SUREDELOLW\ RI HU
URU ZKLOH LQ 6HFWLRQ ZH LQWURGXFH WKH 0LQ0D[ FULWHULRQ 7KH FODVV RI
&)$5 GHWHFWRU LV LQWURGXFHG YLD WKH 1H\PDQ3HDUVRQ WHFKQLTXH LQ 6HFWLRQ
6HFWLRQ H[WHQGV WKH ELQDU\ GHWHFWLRQ VFHQDULR WR DQ 0DU\ GHWHFWLRQ
SUREOHP $Q LQWURGXFWLRQ WR WKH UHPRYDO RI QXLVVDQFH SDUDPHWHUV XQFHUWDLQ
WLHV LV JLYHQ LQ 6HFWLRQ 6HFWLRQ LQYHVWLJDWHV WKH FRQFHSW DQG XVH RI
52& FXUYHV
352%/(06
:KHQ WKH ]HUR K\SRWKHVLV LV WUXH D '& YDOXH RI ]HUR LV WUDQVPLWWHG
:KHQ WKH RQH K\SRWKHVLV LV WUXH D '& YDOXH RI LV WUDQVPLWWHG 7KH
WUDQVPLWWHG VLJQDO LV HPEHGGHG LQ XQLIRUPO\ GLVWULEXWHG QRLVH 7KH
YDULDQFH RI WKH XQLIRUP QRLVH LV $VVXPH HDFK HYHQW LH VLJQDO
LV HTXDOO\ OLNHO\ WKH FRVW IRU PDNLQJ QR HUURU LV ]HUR DQG WKH FRVW IRU
PDNLQJ HLWKHU RQH RI WKH SRVVLEOH PLVWDNHV LV XQLW\ 2QO\ RQH VLQJOH
VDPSOH LV DYDLODEOH
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
D 'HULYH WKH RSWLPDO GHWHFWRU DQG VWDWH ZKLFK FULWHULRQ \RX DUH XVLQJ
E 'HULYH WKH DSSURSULDWH WKUHVKROG
F &RPSXWH WKH WRWDO SUREDELOLW\ RI HUURU
6LQJOH VDPSOH VFHQDULR 8QGHU WKH ]HUR K\SRWKHVLV ]HUR PHDQ *DXV
VLDQ QRLVH LV UHFHLYHG 8QGHU WKH RQH K\SRWKHVLV D '& YDOXH RI LV
WUDQVPLWWHG DQG UHFHLYHG HPEHGGHG LQ ]HUR PHDQ *DXVVLDQ QRLVH 7KH
YDULDQFH RI WKH *DXVVLDQ QRLVH LV 8VH WKH 0/ FULWHULRQ WR REWDLQ
WKH PRVW FRQYHQLHQW PRVW VLPSOH LPSOHPHQWDWLRQ
D 6HW XS WKH GHWHFWRU DQG WKUHVKROG &RPSXWH WKH SUREDELOLW\ RI
3U'M+ EDVHG RQ WKLV LQIRUPDWLRQ
E *R EDFN WR WKH OLNHOLKRRG UDWLR WHVW DQ H[SRQHQWLDO FDOO WKDW
UDQGRP YDULDEOH / &RPSXWH WKH GHQVLW\ RI / XQGHU WKH ]HUR DQG
WKH RQH K\SRWKHVLV ,QWHJUDWH WKH DSSURSULDWH GHQVLW\ IXQFWLRQ RYHU
WKH DSSURSULDWH UDQJH RI / LH RQH OLPLW LV WKH YDOXH RI w REWDLQHG
LQ WKH RULJLQDO VHWXS RI WKH /57 WR REWDLQ 3U' M+ +,17 2QH
ZRXOG H[SHFW WKH YDOXHV IURP SDUW D DQG E WR DJUHH
8QGHU
+ \ VW I \ H[Sb\ 8 \ 8 \
+ \ VW I \ H[Sb\ 8 \
ZKHUH 8 \ LV WKH XQLW VWHS
D 'HULYH WKH DSSURSULDWH GHWHFWRU DQG FRUUHVSRQGLQJ WKUHVKROG VLP
SOHVW IRUP
E 6NHWFK DQG ODEHO WKH GHWHFWRU RXWSXW GHQVLWLHV 6KRZ WKUHVKROG
DQG GHFLVLRQ UHJLRQV
F &RPSXWH 3U' M+
)RU L [ DUH LQGHSHQGHQW UDQGRP YDULDEOHV XQLIRUPO\ GLVWULEXWHG
L
ZLWK [ z 8 b 8QGHU WKH ]HUR K\SRWKHVLV RQO\ QRLVH LV UH
L
FHLYHG 8QGHU WKH RQH K\SRWKHVLV D '& YDOXH RI LV HPEHGGHG LQ
WKH QRLVH IRU WKH GXUDWLRQ RI VDPSOHV 7KH UHFHLYHU LQDGYHUWHQWO\
DGGV WKH WZR LQSXW VDPSOHV 7KDW LV \ [ [ XQGHU HLWKHU RQH RI
WKH WZR K\SRWKHVHV
D %DVHG RQ WKLV VLQJOH SLHFH RI LQIRUPDWLRQ \ GHVLJQ WKH RSWLPDO
GHWHFWRU DQG WKUHVKROG
E &RPSXWH 3U' M+
+\SRWKHVLV 7HVWLQJ
&RPSXWHU H[HUFLVH 8QGHU
+ UQ QQ Q
+ UQ VQ QQ Q
| }
VQ FRV { N Q N Q
QQ LV ZKLWH *DXVVLDQ QRLVH ZLWK XQLW YDULDQFH
N N NQRZQ VLJQDO LQ ZKLWH *DXVVLDQ QRLVH
D 'HVLJQ WKH RSWLPDO UHFHLYHU IRU WKHVH FRQGLWLRQV IRU D 3 RI
)$
b
8QGHU +
I [ H[S b M[M
[
8QGHU
+ \ [
ZKHUH [ LV UHFWLnHG *DXVVLDQ QRLVH Q ZLWK WKH *DXVVLDQ Q z 1
8QGHU
+ \ ]
ZKHUH
I ] H[S b ] 8 ]
]
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
D )LQG WKH GHWHFWRU WR PLQLPL]H WKH SUREDELOLW\ HUURU GHWHFWRU DQG
WKUHVKROG
E &RPSXWH 3 H
8QGHU
+ \ FKLVTXDUHG ZLWK GHJUHHV RI IUHHGRP }
+ \ FKLVTXDUHG ZLWK GHJUHHV RI IUHHGRP }
D )LQG WKH RSWLPDO GHWHFWRU VD\ DOVR ZKLFK GHWHFWLRQ FULWHULRQ LV
XVHG DQG ZK\
E :KDW LV WKH GHWHFWLRQ WKUHVKROG"
F )LQG 3 ' M+
G )LQG 3 ' M+
8QGHU
+ \ D
+ \ F
ZKHUH F D E
I D
$ H[S b D 8 D
I E
% H[S b E 8 E
$ DQG % DUH VWDWLVWLFDOO\ LQGHSHQGHQW DQG 8 DUH XQLW VWHS IXQFWLRQV
D 'HWHUPLQH WKH GHWHFWRU LQ LWV VLPSOHVW IRUP
E 'HWHUPLQH WKH WKUHVKROGV DQG VNHWFK WKH GHFLVLRQ UHJLRQV IRU \RXU
GHWHFWLRQ VWDWLVWLF
F &RPSXWH 3U' M+
G &RPSXWH 3U' M+
8QGHU
S
+ \ [ ZKHUH I [ { H[S b [ 8 [
[
+ \ ] ZKHUH I ] H[S b ] 8 ]
]
S
H[S tb \ b P u S H[S t
b
P u GP +
{} } t {} u } ! s
b P P
H[S b \
S
{} } + R
FDQ EH UHGXFHG WR
+ t t uu
\ ! } } } } OQ s OQ }}
P P
+
P
} \ \L $ +
S #b b
{}
L
1 ! s
e\
L L
<
1
H[S t
\ u
S
{}
b
}
L
+
L
FDQ EH UHGXFHG WR
n
n ;
n
n
+
! o
L
nS
1
n S
n \ n
n 1 L Ln } OQ s
+
5HIHUHQFHV
>@ 3DSRXOLV $ 3UREDELOLW\ 5DQGRP 9DULDEOHV DQG 6WRFKDVWLF 3URFHVVHV
1HZ <RUN 0F*UDZ+LOO
>@ 3HDUVRQ . 7DEOHV RI ,QFRPSOHWH b)XQFWLRQV /RQGRQ &DPEULGJH
8QLYHUVLW\ 3UHVV
>@ :KDOHQ $ 'HWHFWLRQ RI 6LJQDOV LQ 1RLVH 2UODQGR )/ $FDGHPLF
3UHVV
>@ +HOVWURP &: (OHPHQWV RI 6LJQDO 'HWHFWLRQ DQG (VWLPDWLRQ (QJOH
ZRRG &OLmV 1- 3UHQWLFH+DOO
>@ *UDGVKWH\Q ,6 DQG 5\]KLN ,0 7DEOH RI ,QWHJUDOV 6HULHV DQG 3URG
XFWV nIWK HG 6DQ 'LHJR &$ $FDGHPLF 3UHVV
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
>@ 0HOVD -/ DQG &RKQ '/ 'HFLVLRQ DQG (VWLPDWLRQ 7KHRU\ 1HZ
<RUN 0F*UDZ+LOO
>@ 6ULQDWK 0' 5DMDVHNDUDQ 3. DQG 9LVZDQDWKDQ 5 ,QWURGXFWLRQ
WR 6WDWLVWLFDO 6LJQDO 3URFHVVLQJ ZLWK $SSOLFDWLRQV (QJOHZRRG &OLmV 1-
3UHQWLFH+DOO
>@ %DUNDW 0 6LJQDO 'HWHFWLRQ DQG (VWLPDWLRQ /RQGRQ $UWHFK +RXVH
>@ $EUDPRZLW] 0 DQG 6WHJXQ ,$ +DQGERRN RI 0DWKHPDWLFDO )XQF
WLRQV 1HZ <RUN 'RYHU 3XEOLFDWLRQV
>@ 3LHUUH '$ 2SWLPL]DWLRQ 7KHRU\ ZLWK $SSOLFDWLRQV 1HZ <RUN 'RYHU
3XEOLFDWLRQV
&KDSWHU
1RQ3DUDPHWULF DQG
6HTXHQWLDO /LNHOLKRRG
5DWLR 'HWHFWRUV
,1752'8&7,21
7KLV FKDSWHU GHDOV ZLWK QRQSDUDPHWULF GHWHFWLRQ D WRSLF WKDW LV PRUH GLpFXOW
WR DQDO\]H WKDQ WKH GHWHFWLRQ SUREOHPV GLVFXVVHG LQ &KDSWHU :H VKDOO
LQWURGXFH WKH UHDGHU WR WKH WRSLF LQ D VLPSOH IDVKLRQ 7KLV FKDSWHU VHUYHV DV DQ
LQWURGXFWLRQ WR QRQSDUDPHWULF DQG VHTXHQWLDO OLNHOLKRRG UDWLR GHWHFWLRQ DQG
LV PHDQW WR PDNH WKH UHDGHU DZDUH RI WKHVH WRSLFV DV ZHOO DV WR SURYLGH VRPH
UHIHUHQFHV 0XFK LQIRUPDWLRQ DERXW WKHVH WRSLFV FDQ EH IRXQG LQ WKH ,(((
7UDQVDFWLRQV RQ $HURVSDFH DQG VRPH GHWDLOHG LQIRUPDWLRQ LV DOVR DYDLODEOH LQ
+HOVWURP >@ LQ .D]DNRV DQG .D]DNRV >@ DQG LQ >^@
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
7KH VWDWLVWLFDO WHVW LV XVXDOO\ HDVLO\ LPSOHPHQWHG EXW WKH UHVXOWLQJ GHQ
VLW\ IXQFWLRQV DUH VRPHZKDW GLpFXOW WR GHDO ZLWK :H VKDOO ORRN RQO\ DW WKH
WZR VLPSOHVW YDULDWLRQV RI WKLV W\SH RI GHWHFWRU EXW JHQHUDOL]DWLRQV WR PRUH
FRPSOLFDWHG ZHLJKWLQJ VFKHPHV FDQ HDVLO\ EH YLVXDOL]HG 7KH WHVWV DUH EDVHG
RQ WKH 1H\PDQ3HDUVRQ FULWHULRQ ZKLFK LV IDPLOLDU WR WKH UHDGHU VHH &KDSWHU
6HFWLRQ 0DQ\ WLPHV ZH UHIHU WR WKHVH W\SHV RI GHWHFWRUV DV FRQVWDQW
IDOVH DODUP UDWH &)$5 GHWHFWRUV VLQFH WKH IDOVH DODUP UDWH LV NHSW DW D
FRQVWDQW OHYHO :H DUH XVLQJ WKH WHUPLQRORJ\ ?QRQSDUDPHWULF LQ WKH HQJL
QHHULQJ VHQVH UHIHUULQJ WR QRQSDUDPHWULF DQG GLVWULEXWLRQ IUHH PHWKRGV $V
WKH QDPH LPSOLHV QRQSDUDPHWULF UHIHUV WR D FODVV RI GLVWULEXWLRQV ZKHUH WKH
QXPEHU RI SDUDPHWHUV LV VR ODUJH WKDW RQH FDQQRW XVH MXVW D IHZ RI WKHP 7KH
GLVWULEXWLRQ IUHH PHWKRG UHIHUV WR D WHVW VWDWLVWLF GLVWULEXWLRQ ZKLFK WHQGV WR
EH LQVHQVLWLYH WR KDYLQJ H[DFW NQRZOHGJH RI WKH GDWD GLVWULEXWLRQ >@
6LJQ 'HWHFWRU
7KH RSWLPDO GHWHFWRU IRU D n[HG YROWDJH OHYHO LH D SRVLWLYH FRQVWDQW LQ WKH
SUHVHQFH RI ]HUR PHDQ DGGLWLYH *DXVVLDQ QRLVH LV VHH ([DPSOH
;1 Q \
+
!
7
Q +
:H FRXOG DOVR FRXQW WKH QXPEHU RI WLPHV WKH VDPSOHV H[FHHG ]HUR ZKLFK
UHTXLUHV 1 WR EH JUHDWHU WKDQ RQH
;1 8 \Q
+
!
X
7
Q +
8 \Q
|
ZKHUH 8 GHQRWHV WKH VWDQGDUG XQLW VWHS IXQFWLRQ
\Q !
\Q
DQG 7X GHQRWHV DQ DSSURSULDWHO\ FKRVHQ WKUHVKROG %DVLFDOO\ WKLV GHWHFWRU LV
D FRXQWHU WKDW FRXQWV WKH QXPEHU RI WLPHV WKH REVHUYDWLRQ WDNHV RQ SRVLWLYH
YDOXHV ,W GRHV VR RQ D VDPSOH E\ VDPSOH EDVLV HPSOR\LQJ D XQLIRUP ZHLJKW
RI RQH 7KDW LV QR VSHFLDO HPSKDVLV LH ZHLJKW LV JLYHQ WR WKH PDJQLWXGH
YDOXH RI WKH GDWD LH WKH GLVWDQFH IURP ]HUR 6LQFH WKH QXPEHU RI SRVLWLYH
REVHUYDWLRQV LV FRXQWHG WKH GHWHFWRU LV HVVHQWLDOO\ FRXQWLQJ WKH QXPEHU RI
SRVLWLYH VLJQV LH LW LV D VLJQ GHWHFWRU 7KH LPSOHPHQWDWLRQ LV YHU\ VLPSOH
W\SLFDOO\ FRQVLVWLQJ RI D KDUG OLPLWHU DQG DQ DGGHU EXW WKH SHUIRUPDQFH
DQDO\VLV LV VRPHZKDW WHGLRXV 7R SURYLGH VRPH LQVLJKW LQWR WKH SHUIRUPDQFH
WKH IROORZLQJ DQDO\VLV LV XQGHUWDNHQ
1RQ3DUDPHWULF DQG 6HTXHQWLDO /LNHOLKRRG 5DWLR 'HWHFWRUV
3HUIRUPDQFH $QDO\VLV RI WKH 6LJQ 'HWHFWRU
*LYHQ WKH REVHUYDWLRQ GDWD XQGHU
+ 3U I\Q w MP J
+ 3U I\Q w MP J S ! IRU Q c c c -
/HW XV GHQRWH WKH VLJQ RI \Q E\
VQ
|
\Q !
\Q
DQG
3U VQ MP
|
\Q
3U VQ MP
|
\Q
b S \Q
S \Q
ZKHUH S LV WKH SUREDELOLW\ RI WKH GDWD EHLQJ SRVLWLYH JLYHQ WKDW WKH n[HG
YROWDJH OHYHO P LV WUDQVPLWWHG 7KLV OHDGV WR WKH OLNHOLKRRG UDWLR WHVW /57
DV IROORZV
3
S Q VQ b S-> Q VQ !
- - 3+
eV -
e
+
/HW - GHQRWH WKH QXPEHU RI SRVLWLYH REVHUYDWLRQV WKHQ WKH /57 FDQ EH
ZULWWHQ DV
eV S- b S->-
-
> b S@-
t u-
S
+
!
e
bS
+
7R VLPSOLI\ LW WR WKH SRLQW ZKHUH LW LV LQ LWV PRVW XVHIXO IRUP ZH WDNH WKH
ORJDULWKP WR WKH EDVH S b S 7KH H[SUHVVLRQ FDQ WKHQ EH UHGXFHG WR
+
- !
ORJS >S e b - ORJS >S > b S@ e
+
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
-
Q
7KH SUREDELOLW\ RI VD\LQJ + JLYHQ WKDW + LV WUXH ZKLFK LQ UDGDUVRQDU
WHUPV LV FDOOHG WKH 3)$ LV JLYHQ E\
3)$
;- t ut u- -
Q e Q
,I WKH HYHQW ZLWK SDUDPHWHU P LV WUXH WKHQ WKH ELQRPLDO GLVWULEXWLRQ - KDV
c t u
SDUDPHWHUV - DQG S
b
3U - QMP
-
Q
SQ b S->Q
DQG WKH SUREDELOLW\ RI VD\LQJ + JLYHQ WKDW + LV WUXH ZKLFK LQ UDGDUVRQDU
WHUPV LV FDOOHG WKH 3' LV JLYHQ E\
3'
;- t u Q-
S b S->Q
Q
Q e
7KHVH FRQFHSWV DUH EHVW LOOXVWUDWHG ZLWK DQ H[DPSOH
([DPSOH *LYHQ WKDW HLJKW VDPSOHV \ \ c c c \ DUH XVHG DQG LQVLVW
LQJ RQ D 3)$ RI GHULYH DOO SHUWLQHQW LQIRUPDWLRQ WKDW JRYHUQV D VLJQ
GHWHFWRU DQG DQDO\]H WKH SHUIRUPDQFH 8QGHU
+ \Q QQ Q c c c
+ \Q P QQ
3)$
; t ut u
6ROXWLRQ -
3)$
Q e Q
1RQ3DUDPHWULF DQG 6HTXHQWLDO /LNHOLKRRG 5DWLR 'HWHFWRUV
RU
; t u
Q
Q e
1RZ t u
L L
N N L b N
KHQFH
tu
tu
tu
tu
DQG
; t u
Q
Q
ZKLOH
; t u !
Q
Q
7KLV PDNHV e +HQFH WKH /57 EHFRPHV
-
; 8 \Q
+
!
Q
; t ut u
+
3)$
Q
; t u Q
Q
3' S b S>Q
Q
Q
7R REWDLQ D IHHO IRU KRZ WKH SUREDELOLW\ RI GHWHFWLRQ YDULHV ZLWK WKH SUREDELOLW\
S XQGHU WKH + K\SRWKHVLV LH SUREDELOLW\ RI WKH UDQGRP YDULDEOH \Q IRU
Q c c c - WR EH SRVLWLYH ZH FRPSXWH WKH GHWHFWLRQ SUREDELOLW\ IRU
GLmHUHQW YDOXHV RI S
6XSSRVH S WKHQ
3U FKRRVH + M+ LV WUXH
LV JLYHQ E\
3'
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
;- Q G
+
!
7 ZKHUH M\N M M\N M M c c c M\N- M
Q +
ZKHUH GQ
| IRU \NQ
Q IRU \NQ w
IRU Q c c c -
7R LOOXVWUDWH WKH UDQNLQJ ZH VKRZ D W\SLFDO GDWD VHW DQG H[WUDFW WKH
GHWHFWLRQ VWDWLVWLF
([DPSOH *LYHQ WKH GDWD VHW ZKHUH -
I\L JL I b b J
WKH PDJQLWXGH RUGHUHG VHW LV JLYHQ E\
; Q
+
!
=
] G 7
Q +
ZKHUH 7= VWLOO KDV WR EH GHWHUPLQHG
e\, I \, <, I \Q <
,> I \ I \
Q ,
I \, Q I \Q Q \Q I \,
I
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
RU
e\, e\,> e\,
ZKHUH WKH EROGIDFH TXDQWLWLHV DUH YHFWRUV DQG WKH QRQEROGIDFH TXDQWLWLHV DUH
VFDODUV 7KH YHFWRUV KDYH DQ LQGH[ WKDW LV XVHG WR LQGLFDWH WKDW WKH\ FKDQJH
LQ WKH VL]H RI WKHLU GLPHQVLRQ LH LQFUHDVH DV WKH WHVW SURJUHVVHV +HQFH ZH
KDYH D UHFXUVLYH DUUDQJHPHQW IRU WKH /57 ZLWK LQLWLDO FRQGLWLRQ
e\ e\
ZKHUH e\ LV JLYHQ E\
e\ e\ e\ e\ e\
)RU D VSHFLnHG n[HG 3)$ DQG 30 ZH QHHG WR GHULYH WKUHVKROGV s DQG s
VR WKDW ZH PHHW WKH FRQVWUDLQWV
m
= =
3)$ 3U FKRRVH + M+ LV WUXH
3'
= =
ZKHUH
ccc
3' 3U FKRRVH + M+ LV WUXH
I \Q G\Q IRU Q c c c ,
5
3'
= =
,I ZH PXOWLSO\ DQG GLYLGH WKH LQWHJUDQG RI E\ I \Q ZH REWDLQ
ccc
I \Q
I \Q G\Q
= = 5 I \Q
ccc e\Q I \Q G\Q IRU Q c c c ,
5
7R GHFODUH GHWHFWLRQ WKH VHTXHQWLDO DUUDQJHPHQW RI WKH /57 LV GHQRWHG E\
6/57
e\Q e\Q> e\Q> c c c e\ w s
3'
= =
PXVW EH WUXH +HQFH
ccc e\Q I \Q G\Q w s
= =ccc I \Q G\Q
5 5
s 3)$ s m
8QGHU + \ Q QQ
IRU Q c c c
8QGHU + \ Q P QQ
7KH DGGLWLYH QRLVH LV *DXVVLDQ LLG ZLWK ]HUR PHDQ DQG YDULDQFH } :H
ZDQW WR WHUPLQDWH WKH WHVW 6357 ZKHQ 30 m RU 3)$ m
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
:H NQRZ WKDW
s
b 30 b m
3)$ m
DQG WKDW
30 m
s w
b 3)$ b m
7KH 6/57 DW VWHS , EHFRPHV
e\, H
}
b3 ,
Q
\>
Q
3 ,
Q \ >P
Q
c
+
! s
WDNH DQRWKHU VDPSOH
s
+
}
OQs PQ
;, Q
+ P
!
] \ WDNH DQRWKHU VDPSOH
Q
+ }
P
OQs PQ
352%/(06
&RPSXWHU ([HUFLVH
8QGHU
+ U L V L QU L ZKHUH V L
+ U L V L QU L ZKHUH V L L c c c
/HW QL EH *DXVVLDQ LLG z 1 )RU WKLV VLPXODWLRQ H[HUFLVH
ZH GHnQH WKH UHFHLYHG QRLVH QU L KDYLQJ WKUHH GLmHUHQW 3')V LH
*DXVVLDQ SURGXFW RI *DXVVLDQV DQG WKH UDWLR RI *DXVVLDQ WKDW LV D
&DXFK\
L QU L s QL
LL QU L s QQLL
LLL QU L s QL c Q L
ZKHUH Q L LV D *DXVVLDQ UY ]HUR PHDQ YDULDQFH DQG VWDWLVWL
FDOO\ LQGHSHQGHQW RI QL 8VH UHDOL]DWLRQV
D 'HVLJQ RSWLPXP GHWHFWRU IRU QRLVH GHnQHG LQ L 3ORW VLPXODWLRQ
EDVHG 52& FXUYHV IRU RSWLPXP VLJQDO DQG :LOFR[RQ GHWHFWRU
E 5HSHDW WKH H[SHULPHQWV IRU QRLVH GHnQHG LQ LL 8VH WKH RSWLPXP
GHWHFWRU EDVHG RQ DVVXPLQJ WKH QRLVH LV *DXVVLDQ WKH VLJQ DQG
:LOFR[RQ GHWHFWRU 3ORW WKHLU H[SHULPHQWDO 52& FXUYHV
F 5HSHDW WKH H[SHULPHQWV IRU QRLVH GHnQHG LQ LLL 8VH WKH RSWLPXP
GHWHFWRU EDVHG RQ DVVXPLQJ WKH QRLVH LV *DXVVLDQ WKH VLJQ DQG
:LOFR[RQ GHWHFWRU 3ORW WKHLU H[SHULPHQWDO 52& FXUYHV
&RPPHQW RQ \RXU UHVXOWV
5HIHUHQFHV
>@ +HOVWURP &: (OHPHQWV RI 6LJQDO 'HWHFWLRQ DQG (VWLPDWLRQ (QJOH
ZRRG &OLmV 1- 3UHQWLFH+DOO
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
>@ .D]DNRV ' DQG .D]DNRV 3 'HWHFWLRQ DQG (VWLPDWLRQ 1HZ <RUN
&RPSXWHU 6FLHQFH 3UHVV
>@ *LEVRQ -' DQG 0HOVD -/ ,QWURGXFWLRQ WR 1RQ3DUDPHWULF 'HWHF
WLRQ ZLWK $SSOLFDWLRQV 1HZ <RUN $FDGHPLF 3UHVV
'HWHFWLRQ RI '\QDPLF
6LJQDOV LQ :KLWH *DXVVLDQ
1RLVH
,1752'8&7,21
,QLWLDOO\ ZH ZLOO FRYHU WKH GHWHFWLRQ RI NQRZQ VLJQDOV HPEHGGHG LQ ZKLWH
*DXVVLDQ QRLVH 7KDW LV ZH DVVXPH WKDW ZH NQRZ DOO RI WKH VLJQDO DQG QRLVH
SDUDPHWHUV 7KLV LV DQ LGHDO FDVH /DWHU LQ WKLV FKDSWHU ZH ZLOO UHPRYH
VRPH RI WKH OLPLWDWLRQV LQ WKDW ZH ZLOO DOORZ WKH SDUDPHWHUV WR EH UDQGRP RU
XQNQRZQ ,Q &KDSWHU ZH ZLOO DOORZ WKH *DXVVLDQ QRLVH WR EH FRORUHG LH
WKH QRLVH SURFHVV LV QRW GHOWD FRUUHODWHG 7KH ELODWHUDO ZKLWH QRLVH VSHFWUDO
GHQVLW\ LV JLYHQ E\ 61 1 DQG WKH FRUUHVSRQGLQJ FRUUHODWLRQ IXQFWLRQ
LV JLYHQ E\ 51 ~ 1 p~ 1RWH DV ORQJ DV WKH QRLVH LV VSHFWUDOO\ oDW
RYHU WKH UHJLRQ RI LQWHUHVW LW FDQ EH LQWHUSUHWHG DV EDQGOLPLWHG ZKLWH QRLVH
:H PLQLPL]H WKH XVH RI FRPSOH[ YDOXHG IXQFWLRQV ZKHQ SRVVLEOH DQG SRLQW
RXW WKH FKDQJHV ZKHQ GHDOLQJ ZLWK FRPSOH[ YDOXHG IXQFWLRQV 7\SLFDOO\ WKH
H[WHQVLRQV WR FRPSOH[ YDOXHG IXQFWLRQV UHTXLUH WKH FRPSOH[ FRQMXJDWLRQ RI
WKH VHFRQG WHUP LQ WKH GHnQLWLRQ RI WKH LQQHU SURGXFW 7KH VHFRQG HGLWLRQ
RI 'HWHFWLRQ RI 6LJQDOV LQ 1RLVH E\ 0F'RQRXJK DQG :KDOHQ >@ KDV DPSOH
H[DPSOHV XVLQJ FRPSOH[ YDOXHG HQWLWLHV
:H ZLOO OHW WKH VLJQDOV EH FRQWLQXRXV IXQFWLRQV RI WLPH DQG VDPSOH WKHP
SURSHUO\ UDWKHU WKDQ VWDUWLQJ ZLWK n[HG TXDQWLWLHV DV LQ &KDSWHU 2QH
FRXOG KDYH LQWURGXFHG VLJQDOV ZLWK D WLPH YDU\LQJ QDWXUH LQ &KDSWHU EXW
IRU FOHDUQHVV RI SUHVHQWDWLRQ WKLV ZDV QRW DWWHPSWHG 7KLV SDUWLFXODU DS
SURDFK LQWURGXFHV WKH SURFHVVLQJ RI GDWD LQ D QDWXUDO IDVKLRQ 7KDW LV WKH
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
\WP \P VLP QP
IRU P N DQG L
WKDW LV XQGHU HDFK K\SRWKHVLV N VDPSOHV DUH DYDLODEOH 8VLQJ WKH H[SUHVVLRQ
IURP &KDSWHU ZH FDQ HDVLO\ ZULWH DQ H[SUHVVLRQ IRU WKH /57 DV
+
I \ \ c c c \N !
\ w
I \ \ c c c \N
e
+
ZKHUH w GHSHQGV RQ WKH FULWHULRQ WKDW LV EHLQJ HPSOR\HG )RU WKH WLPH EHLQJ
DQG ZLWKRXW ORVV RI JHQHUDOLW\ ZH OHDYH LW DV w NQRZLQJ WKDW DW DQ\ WLPH
ZH FDQ UHSODFH WKLV V\PERO ZLWK WKH DSSURSULDWH QXPHULFDO TXDQWLW\ LI WKDW
LV GHVLUHG :H QRWLFH WKDW WKH OHIWKDQG VLGH RI H[SUHVVLRQ LV MXVW WKH
UDWLR RI WZR OLNHOLKRRG IXQFWLRQV RU LI LQWHUSUHWHG FRUUHFWO\ WKH UDWLR RI WZR
FRQGLWLRQDO SUREDELOLW\ GHQVLW\ IXQFWLRQV
%DQGOLPLWHG ZKLWH *DXVVLDQ QRLVH ZLWK VSHFWUDO GHQVLW\ DV VKRZQ LQ )LJXUH
KDV WKH FRUUHVSRQGLQJ FRUUHODWLRQ IXQFWLRQ VKRZQ LQ )LJXUH :H UHFDOO
WKDW WKH FRUUHODWLRQ DQG VSHFWUDO GHQVLW\ IXQFWLRQ DUH UHODWHG E\ D )RXULHU
WUDQVIRUP LH WKH :LHQHU.KLQWFKLQH WKHRUHP DOVR NQRZQ DV WKH :LHQHU
.KLQWFKLQH.ROPRJRURY(LQVWHLQ WKHRUHP
,Q HTXDWLRQ IRUP WKH VSHFWUDO GHQVLW\ DQG FRUUHVSRQGLQJ FRUUHODWLRQ IXQF
WLRQ DUH JLYHQ E\
|
61 1 IRU MM l
HOVH
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
DQG
1 VLQl ~
51 ~ l
{ ~
l
1
l VLQF l ~
{
7KH nUVW ]HUR FURVVLQJ RI WKH FRUUHODWLRQ IXQFWLRQ LV DW WKH FRUUHODWLRQ ODJ
ZKHUH ~ c W { l ,I ZH VDPSOH XVLQJ WKLV VDPSOLQJ LQWHUYDO WKHQ DOO
QRLVH VDPSOHV DUH XQFRUUHODWHG DQG WKH MRLQW GHQVLW\ OLNHOLKRRG IXQFWLRQ FDQ
EH H[SUHVVHG DV WKH SURGXFW RI LQGHSHQGHQW WHUPV 7KLV PDNHV WKH GHULYDWLRQ
RI WKH RSWLPDO GHWHFWRU YHU\ VLPSOH 7R KDYH D SURSHU /5 IXQFWLRQ H[SUHVVLRQ
DOO ZH QHHG WR nQG LV WKH PHDQ XQGHU HDFK K\SRWKHVLV DQG WKH YDULDQFH 7KH
YDULDQFH LQ WKLV FDVH LV LQGHSHQGHQW RI ZKLFK K\SRWKHVLV LV WUXH 7KH PHDQ
XQGHU HDFK K\SRWKHVLV LV
P cc c N
7KH FRPSXWDWLRQ RI WKH YDULDQFH LV MXVW VOLJKWO\ PRUH FRPSOLFDWHG )RU H[
DPSOH XQGHU +L ZH KDYH
( >VLP QP b VLP @
d e
( QP
1
}1l 51
{
N
;
I \
{}1 N
H[S b } \P b VP
1P
;
N
I \
{}1 N
H[S b } \P b VP
1P
N b +
; ec ! d
e \ H[S b }
\P VP b \P VP b VP b VP
1P
+
$V DOZD\V WKHVH W\SHV RI H[SUHVVLRQV DUH UHGXFHG WR WKH VLPSOHVW IRUP 7DNLQJ
WKH QDWXUDO ORJDULWKP DQG VLPSOLI\LQJ OHDGV WR
N \ V N \ V + N b
; P P ; P P !
; c
b }
} w
OQ b } VP b VP
P 1 P 1 1P
+
,I ZH PXOWLSO\ WKURXJK E\ WKH YDULDQFH RI WKH QRLVH ZH REWDLQ WKH GLVFUHWH
DOVR FDOOHG GLJLWDO FRUUHODWRU IRUP 6R LI ZH DUH GHDOLQJ ZLWK GLVFUHWH VDP
SOHV ZH ZRXOG VWRS KHUH DQG LPSOHPHQW WKH GLJLWDO FRUUHODWRU 7KLV FRUUHODWRU
LV RI WKH IRUP
N N +
; ;
\P VP b \P VP !
s
P P +
7KH WKUHVKROG LV HDVLO\ REWDLQHG IURP WKH GLVFXVVLRQ OHDGLQJ WR WKH GLJLWDO
FRUUHODWRU IRUP 7KH GLVFUHWH GLJLWDO FRUUHODWRU LV VKRZQ LQ )LJXUH
7KH nQDO SDUW RI WKLV VHFWLRQ GHDOV ZLWK WKH DQDORJ YHUVLRQ RI WKH GHWHFWRU
LPSOHPHQWDWLRQ VR ZH QHHG WR DSSO\ VRPH OLPLWLQJ DUJXPHQWV 7R GR WKLV
FRQVLGHU WKH H[SUHVVLRQ IRU WKH YDULDQFH RI WKH QRLVH VDPSOHV )RU D EDQGOLP
LWHG ZKLWH QRLVH SURFHVV ZLWK VSHFWUDO KHLJKW 1 WKH YDULDQFH LV JLYHQ E\
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
}1 1 l {
$ EDQGOLPLWHG SURFHVV QHHGV RQO\ WR EH VDPSOHG DW WZLFH
WKH KLJKHVW VSHFWUDO IUHTXHQF\ ,Q WKLV FDVH WKH VDPSOLQJ IUHTXHQF\ LQ UDGL
DQVVHF LV IV l { cW KHQFH l { cW 7KH QRLVH YDULDQFH EHFRPHV
}1 1 l { 1 cW 7KLV DOORZV WR EH ZULWWHQ DV
N N \ V +
; \P VP ; P P !
N OLP b 1
cW
1
cW
OQ w
cW c W N 7 P P
+
N b
; c
b1
VP b VP cW
P
,Q WKH OLPLW WKH VXPPDWLRQV EHFRPH LQWHJUDOV VR WKDW ZH REWDLQ WKH IROORZLQJ
H[SUHVVLRQ
=7 =7 + =7 b c
\W V W GWb \W V W GW ! V W b V W GW
OQ w
1 1 1
+
2QH FDQ QRUPDOL]H WKLV H[SUHVVLRQ WR REWDLQ
=7 =7 + = 7b
1 c
\W V W GWb \W V W GW ! V W b V W GW
OQ w 7
+
7KLV GHWHFWRU LV VKRZQ LQ )LJXUH ,Q WKH ULJKWKDQG VLGH WKH WKUHVKROG
KDV EHHQ VLPSOLnHG WR EH UHSUHVHQWHG E\ WKH VLQJOH V\PERO 7
'HWHFWLRQ RI 6LJQDOV LQ :KLWH *DXVVLDQ 1RLVH
:H QRWH WKDW WKLV LV D FRUUHODWLRQ UHFHLYHU 7KDW LV WKH LQSXW LV FRUUHODWHG
ZLWK WKH VWRUHG UHSOLFDV RI WKH VLJQDOV V W DQG V W IRU D WLPH GHOD\ RI ]HUR
,I D PD[LPXP OLNHOLKRRG DSSURDFK LV XVHG DQG ERWK VLJQDOV KDYH WKH VDPH
HQHUJ\ WKHQ WKH WHVW UHGXFHV WR WKH GHWHUPLQDWLRQ RI ZKLFK FRUUHODWRU KDV WKH
GRPLQDQW RXWSXW )RU WKH 1H\PDQ3HDUVRQ W\SH FULWHULRQ ZH ZLOO GLVUHJDUG
WKH YDOXH RI 7 DOWRJHWKHU 7KH DSSURSULDWH WKUHVKROG LV REWDLQHG E\ VROYLQJ
IRU WKH YDOXH XQGHU WKH ]HUR K\SRWKHVLV WR JXDUDQWHH WKH GHVLUHG 3)$ :H
DOVR QRWH WKDW LI RXU SUREOHP FDOOV IRU WKH LPSOHPHQWDWLRQ DV D FRPPXQLFDWLRQ
UHFHLYHU WKHQ VXEVWLWXWLQJ WKH NQRZQ YDOXHV LQWR WKH H[SUHVVLRQ IRU w LH
3 3 & & & & OHDGV WR D w RI RQH /HW XV QRZ
GHnQH D FRQYHQLHQW WHVW VWDWLVWLF IRU WKH UHFHLYHU DQG REWDLQ WKH SHUIRUPDQFH
RI WKH UHFHLYHU
7KH GHVLUHG WHVW TXDQWLW\ LV * DQG ZLWK OQ w ZH REWDLQ WKH IROORZLQJ
H[SUHVVLRQ
=7 = 7b +
c
\W V W b V W GW b GW !
* V W V W
+
6LQFH \W KDV D *DXVVLDQ 3') D VFDOHG DQG LQWHJUDWHG YHUVLRQ RI LW DOVR KDV
D *DXVVLDQ 3') +HQFH * DV GHnQHG LQ LV QRUPDOO\ GLVWULEXWHG 7R
REWDLQ YDOXHV IRU WKH SHUIRUPDQFH RI WKH GHWHFWRU RQO\ WKH PHDQV DQG WKH
YDULDQFH RI WKH *DXVVLDQ UDQGRP YDULDEOH * KDYH WR EH REWDLQHG
( *M+ ( *
'LVUHJDUGLQJ WKH QRLVH GHSHQGHQW WHUPV WKDW HTXDWH WR ]HUR LH WKH nUVW
RUGHU PRPHQWV RI WKH QRLVH DUH ]HUR ZH REWDLQ
= 7 = 7b
c
V W V W b V W GW b b
( * ( V W V W GW
= 7
b c
( V WV W b V W b
V W V W GW
=7
( * b
V W
b V W GW
7KH PHDQ XQGHU WKH RQH K\SRWKHVLV LV FRPSXWHG VLPLODUO\ DQG LV JLYHQ E\
=7
( *M+ b V W GW
( * V W
b( *
7KH YDULDQFH LV D OLWWOH PRUH GLpFXOW WR FRPSXWH :H UHFDOO WKDW WKH YDULDQFH
FRUUHVSRQGV WR WKH $& SRZHU LQ HOHFWURQLF FLUFXLWV RU LQ WHUPV RI VWDWLVWLFV
LW GHVFULEHV WKH VSUHDG RI WKH SUREDELOLW\ GHQVLW\ IXQFWLRQ DERXW LWV PHDQ
7KDW LV LW LV LQGHSHQGHQW RI WKH PHDQ LH WKH '& WHUP DQG LQ WKLV FDVH FDQ
EH FRPSXWHG HLWKHU XQGHU WKH ]HUR RU WKH RQH K\SRWKHVLV 8VXDOO\ ZH FKHFN
ZKLFK ZD\ WKH UHVXOW FDQ EH REWDLQHG PRUH HDVLO\ ,Q PDQ\ FDVHV WKH ]HUR
K\SRWKHVLV UHVXOWV LQ D ]HUR PHDQ 8QGHU WKLV FRQGLWLRQ ZH SUHIHU WR FRPSXWH
WKH YDULDQFH XQGHU WKH + K\SRWKHVLV VLQFH WKH VHFRQG PRPHQW FRUUHVSRQGV
'HWHFWLRQ RI 6LJQDOV LQ :KLWH *DXVVLDQ 1RLVH
WR WKH YDULDQFH DQG QR VSHFLDO FRQVLGHUDWLRQ IRU DQ\ PHDQ YDOXH KDV WR EH
WDNHQ ,Q RXU FDVH ZH DUELWUDULO\ FKRRVH WR ZRUN ZLWK WKH ]HUR K\SRWKHVLV
WKH RQH K\SRWKHVLV UHTXLUHV WKH VDPH DPRXQW RI FRPSXWDWLRQ :H GHnQH
WKH YDULDQFH RI WKH *DXVVLDQ WHVW VWDWLVWLF DV
*
YDU
( >*M+ b ( *M+ @ ( >*M+ b ( *M+ @ *
YDU
1
=7
V W
> b V W@ GW YDU *
5DWKHU WKDQ FDUU\LQJ WKLV VRPHZKDW FXPEHUVRPH H[SUHVVLRQ IXUWKHU DORQJ
ZH XVH VRPH VLPSOLI\LQJ WHUPV /HW XV GHnQH WKH IROORZLQJ WHUPV
= 7d e
V W V W GW
=7
| V WV WGW
:H QRWH WKDW DQG | UHSUHVHQW WKH DYHUDJH HQHUJ\ DQG WKH QRUPDOL]HG FURVV
FRUUHODWLRQ FRHpFLHQW UHVSHFWLYHO\ 7KLV PHDQV WKDW | LV ERXQGHG DERYH E\
DQG EHORZ E\ b :H FDQ QRZ H[SUHVV WKH IROORZLQJ LQWHJUDOV LQ D PRUH
FRPSDFW IRUP
=7 = 7d e =7
V W
> h V W@ GW V W V W GW h V WV WGW
h |
h | w
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
8VLQJ WKHVH H[SUHVVLRQV WKH PHDQV DQG WKH YDULDQFH RI WKH *DXVVLDQ UDQGRP
YDULDEOH * EHFRPH
b b |
( *
( * b |
3( 3)$ 30
3)$
KHQFH tU
u
3( 4 b |
1
:H QRWLFH WKDW WKH SUREDELOLW\ RI HUURU GHSHQGV RQO\ RQ | DQG 1 DQG LV
WKHUHIRUH LQGHSHQGHQW RI WKH VLJQDO VKDSH LH RQO\ PRPHQWV UHODWHG WR WKH
VHFRQG RUGHU DUH LPSRUWDQW
:H FDQ QRZ HYDOXDWH WKLV H[SUHVVLRQ IRU YDULRXV YDOXHV RI | (VSHFLDOO\
WKH YDOXHV b DQG DUH WKH PRVW LQWHUHVWLQJ RQHV ,I | WKHQ
=
3( I J GJ
'HWHFWLRQ RI 6LJQDOV LQ :KLWH *DXVVLDQ 1RLVH
= >\ 1 H
G\
{1
w
4
1
,I | b WKHQ
=
3( S{1 H>J 1
GJ
t u tU u
4 S 4
1 1
{
7KLV LQGLFDWHV WKDW RQO\ KDOI RI WKH WLPH ZH ZRXOG PDNH WKH FRUUHFW GHFL
VLRQ 7KLV FRQVWLWXWHV YHU\ SRRU UHFHSWLRQ EXW WKDW VKRXOG EH REYLRXV ZKHQ
ZH UHFRJQL]H WKDW ZH ZRXOG XVH WKH VDPH V\PERO WR UHSUHVHQW WZR GLmHUHQW
PHVVDJHV
DQG
=7
|
b$ VLQ WGW
b
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
7KH SUREDELOLW\ RI HUURU LV JLYHQ E\
= H>\ 1
3( s S{1 G\
tU u
4
1
7KLV LV WKH RSWLPXP V\VWHP VLQFH WKH QRUPDOL]HG FURVVFRUUHODWLRQ FRHpFLHQW
HTXDOV b 7\SLFDO HUURU SUREDELOLWLHV DUH VKRZQ LQ )LJXUH
([DPSOH &RKHUHQW )UHTXHQF\ 6KLIW .H\LQJ &)6. 7KH WZR PHVVDJHV
DUH WUDQVPLWWHG DW WZR GLmHUHQW IUHTXHQFLHV
+ V W $ VLQ W IRU W7
+ V W $ VLQ W
:H DVVXPH WKDW DQG DUH RUWKRJRQDO WKDW LV RYHU 7 VHFRQGV RI REVHUYD
WLRQ WKH SURMHFWLRQ RI RQH RI WKH VLQXVRLGV RQWR WKH RWKHU LV ]HUR LH |
7KH FRPPXQLFDWLRQ FKDQQHO DGGV ZKLWH *DXVVLDQ QRLVH ZLWK YDULDQFH HTXDO
WR 1 6LQFH ERWK VLJQDOV KDYH WKH VDPH DPSOLWXGH LH DPSOLWXGH $
WKH\ KDYH WKH VDPH HQHUJ\ $ 7 +HQFH WKH DYHUDJH HQHUJ\
= 7b = 7b
c c
q
V W V W GW
V W V W GW
= 7b c
$ VLQ W $ VLQ> W GW
$ 7
LV WKH VDPH DV LQ ([DPSOH 8VLQJ WKH SUREDELOLW\ RI HUURU LV JLYHQ
E\ tU u
3( 4
1
7KLV SHUIRUPDQFH LV G% ZRUVH WKDQ WKH RQH IRU &36. $ W\SLFDO SHUIRU
PDQFH FXUYH LV VKRZQ LQ )LJXUH
([DPSOH 2Q2m .H\LQJ 22. RU DPSOLWXGH VKLIW NH\LQJ $6.
+ V W
IRU W7
+ V W % FRV W
7KH QRUPDOL]HG FURVVFRUUHODWLRQ FRHpFLHQW LV E\ LQVSHFWLRQ ]HUR |
7KH FRPPXQLFDWLRQ FKDQQHO DGGV ZKLWH *DXVVLDQ QRLVH ZLWK YDULDQFH HTXDO
WR 1 2QO\ RQH FRUUHODWRU LV QHHGHG WR DFFRXQW IRU WKH VLJQDO V W %\
GHnQLWLRQ VLQFH WKHUH LV QR HQHUJ\ XVHG IRU VLJQDO V W WKH DYHUDJH HQHUJ\
'HWHFWLRQ RI 6LJQDOV LQ :KLWH *DXVVLDQ 1RLVH
0
10
CPSK
CFSK
−1 OOK
10
−2
10
−3
Probability of Error, Pe
10
−4
10
−5
10
−6
10
−7
10
−8
10
0 2 4 6 8 10 12 14 16 18 20
Eb/No (dB)
([DPSOH 5DGDU6RQDU 5HFHSWLRQ :H FDQ LQWHUSUHW WKH UDGDU DQG DF
WLYH VRQDU GHWHFWLRQ VFKHPH DV D UHDOL]DWLRQ RI 22. 7KH UHFHLYHG GDWD LV
JLYHQ E\
+ \W QW IRU W7
+ \W $ FRV W QW
7KH FKDQQHO PHGLXP DQG HOHFWURQLFV DGGV ZKLWH *DXVVLDQ QRLVH ZLWK YDUL
DQFH HTXDO WR 1 7KH RSWLPDO GHWHFWLRQ VWDWLVWLF PRGLI\LQJ LV JLYHQ
E\
=7 +
/ !
\W VWGW s
+
ZKHUH VW LV WKH VLJQDO XQGHU WKH + K\SRWKHVLV DQG s LV WKH DSSURSULDWH
WKUHVKROG :H DVVXPH DW WKLV WLPH NQRZQ VLJQDO WKDW ZH KDYH DQ DFFXUDWH
GHVFULSWLRQ IRU WKH VLJQDO LH ZH GLVUHJDUG 'RSSOHU GLVSHUVLRQ DWWHQXDWLRQ
HWF )RU WKH HQJLQHHU VWXG\LQJ GHWHFWLRQ WKHRU\ WKLV SDUWLFXODU H[DPSOH LV
D YHU\ LPSRUWDQW RQH WKDW KHOSV WR IRUP DQ XQGHUVWDQGLQJ RI WKH FRUH LGHDV
7KH PDMRULW\ RI GHWDLOV DUH ZRUNHG RXW HDUOLHU LQ WKLV VHFWLRQ DQG ZLOO EH XVHG
WR PLQLPL]H WKH ZRUN
7KH PHDQ RI / XQGHU WKH ]HUR DVVXPSWLRQ LV ]HUR 7KH PHDQ RI / XQGHU
WKH RQH DVVXPSWLRQ LV $ 7 7KH OLNHOLKRRG IXQFWLRQV DUH JLYHQ E\
I C z 1 }
DQG
I C z 1 }
7KH YDULDQFH XQGHU WKH ?]HUR DV ZHOO DV XQGHU WKH ?RQH DVVXPSWLRQ LV
} 1 7KH SUREDELOLW\ RI IDOVH DODUP 3)$ LV JLYHQ E\
= = H>C 1
3)$ s I C GC S GC
s s {1
tU u
4 s
1
,Q WKH UDGDUVRQDU SUREOHP ZH XVH WKH 1H\PDQ3HDUVRQ FULWHULRQ ZKLFK n[HV
WKH FRQVWDQW IDOVH DODUP UDWH &)$5 7KH DFWXDO WKUHVKROG s LV REWDLQHG E\
'HWHFWLRQ RI 6LJQDOV LQ :KLWH *DXVVLDQ 1RLVH
H[DPLQLQJ WKH WHVW VWDWLVWLF LH GHWHFWRU RXWSXW XQGHU WKH + K\SRWKHVLV DQG
FRPSXWLQJ WKH WKUHVKROG s IURP WKH VWDWLVWLF DQG WKH n[HG DODUP UDWH YDOXH
7KH SUREDELOLW\ RI GHWHFWLRQ LV JLYHQ E\
= H>C> }
3' s S GC
s {}
t U u
4 s b
1
7KH nQDO GHWHFWRU DQG LWV WKUHVKROG IRU DQ DUELWUDU\ VWDUW WLPH W DUH JLYHQ
LQ )LJXUH 7\SLFDOO\ WKH IDOVH DODUP UDWH LV NHSW DW D YHU\ VPDOO OHYHO LQ
WKH RUGHU RI > WR >
H>M~ 6 A M
RU
+RSW M
>\ 7 @
615 A V
VLJQDO HQHUJ\
YDU\1 7 QRLVH SRZHU
ZKHUH =7
\V 7 K~ V7 b ~ G~
DQG =7
\1 7 K~ Q7 b ~ G~
7KH QRLVH FRUUHODWLRQ IXQFWLRQ LV JLYHQ E\ ( IQW QW J 1
pW
b W
7KH QRLVH SRZHU DW WLPH 7 LV REWDLQHG E\ nUVW FRPSXWLQJ
= 7= 7
\1 W@
> K~ K~ Q7 b ~ Q7 b ~ G~ G~
'HWHFWLRQ RI 6LJQDOV LQ :KLWH *DXVVLDQ 1RLVH
1
=7
K ~ G~
7KH VHFRQG PRPHQW LV QXPHULFDOO\ HTXDO WR WKH YDULDQFH ZKHQ QR '& FRP
SRQHQW LV SUHVHQW ,Q RXU FDVH WKHQ WKH ODVW H[SUHVVLRQ UHSUHVHQWV WKH RXWSXW
QRLVH YDULDQFH DW WLPH 7 7KH RXWSXW 615 EHFRPHV
= 7
K~ V7 b ~ G~
615 A
1 =7
K ~ G~
8VLQJ WKH 6FKZDU] LQHTXDOLW\ WKH ODVW H[SUHVVLRQ EHFRPHV
= 7
K~ V7 b ~ G~ =7
615 A
1 =7 @
1
V 7 b ~ G~
K ~ G~
7KH HTXDOLW\ RQO\ RFFXUV ZKHQ WKH LPSXOVH UHVSRQVH KW LV SURSRUWLRQDO WR
WKH WLPH PLUURUHG VLJQDO V7 b W 8QGHU WKHVH FRQGLWLRQV WKH WKHRUHWLFDO
PD[LPXP RI WKH RXWSXW 615 LV DFKLHYHG WKDW LV
=7
V 7 b ~ G~
615
1
7KH RSWLPXP GHWHFWRU XVLQJ WKH FULWHULRQ WKDW PD[LPL]H WKH RXWSXW 615 LV
FDOOHG WKH PDWFKHG nOWHU IRU WKH REYLRXV UHDVRQ WKDW WKH LPSXOVH UHVSRQVH DQG
WKH WLPH VLJQDO DUH UHODWHG LH PDWFKHG 1RWH ZH REWDLQ IRU WKLV VFHQDULR
NQRZQ VLJQDO LQ ZKLWH *DXVVLDQ QRLVH WKH VDPH VROXWLRQ DV LI ZH PLQLPL]HG
D FRVW IXQFWLRQ DV GHnQHG LQ &KDSWHU
+ \W V W QW
+ \W V W QW
+0 \W V0 W QW
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
6LQFH WKH VLJQDOV DUH RUWKRJRQDO DQG KDYH HTXDO HQHUJ\ ZH KDYH
=7 |
|LM VL WVM WGW ( L M
L M
ZKHUH WKH GHWHFWRU LV RI WKH IRUP
=7
*L \WVL WGW
7KH GHWHFWRU FRQVLVWV RI 0 SDUDOOHO FRUUHODWRUV VHH )LJXUH ZKLFK DUH
FRPSDUHG DW WLPH 7 WR FKRRVH WKH GRPLQDQW RXWSXW 7KLV HTXDWHV WR FKRRV
LQJ WKH SURSHU K\SRWKHVLV LH VLJQDO )LJXUH VKRZV WKH HTXLYDOHQW
LPSOHPHQWDWLRQ XVLQJ PDWFKHG nOWHUV
LOOXVWUDWH WKH VLPSOH XQFHUWDLQWLHV WKDW FDQ RFFXU LQ WKH UHFHSWLRQ RI D VLJQDO
,Q SDUWLFXODU WKH UDQGRP SKDVH UDQGRP DPSOLWXGH UDQGRP IUHTXHQF\ DQG
UDQGRP DUULYDO WLPH ZLOO EH DGGUHVVHG %XW WKLV VXpFHV WR LOOXVWUDWH WKH LGHD
EHKLQG WKH UHPRYDO RI WKH QXLVDQFH SDUDPHWHUV 6LQFH ZH ZRUN PDLQO\ ZLWK
DQDORJ FRQWLQXRXV WLPH IXQFWLRQV ZH QHHG WR DGGUHVV WKH FRQWLQXRXV WLPH
YHUVLRQ RI WKH OLNHOLKRRG IXQFWLRQ nUVW
+ V W
IRU W7
+ V W $ VLQF W t
7KH 3') IRU t LV JLYHQ E\ Id t {
IRU b{ t { 7KH QRLVH
LV DGGLWLYH ZKLWH *DXVVLDQ QRLVH ZLWK VSHFWUDO GHQVLW\ 1 7KH UHFHLYHG
VLJQDO LV JLYHQ E\
+ \W QW
+ \W $ VLQF W t QW
$V VKRZQ LQ WKH FRPSRVLWH K\SRWKHVLV WHVWLQJ VHFWLRQ ZH XVH
=
I \MtI tGt +
e \ ! w
I \
+
1RZ XVLQJ IRU WKH ]HUR K\SRWKHVLV ZH REWDLQ
5 7 >\W@ GW
I \ .H> 1
e\
> 1
5 7 \W GW
H
= {
H>$ 7 1
H$T 1
FRVt>t
Gt
e\
{
DQG WKH WULJRQRPHWULF LGHQWLW\ FRV t FRVtVLQt VLQt FRV t b t ZHUH
XVHG 1RZ WKH IROORZLQJ LQWHJUDO ZLOO VLPSOLI\ WKH H[SUHVVLRQ IRU WKH /57
= {
H[ FRVtm Gt
, [
{
ZKHUH m FDQ EH DQ\ UHDO QXPEHU DQG , LV WKH PRGLnHG ]HURRUGHU %HVVHO
IXQFWLRQ RI WKH nUVW NLQG 1RWH WKH SDUDPHWHUV FDQ DOVR EH WUDQVODWHG LQWR
WKH ORZHU DQG XSSHU OLPLWV RI WKH LQWHJUDO LH FKDQJH RI YDULDEOHV :KDW
PDWWHUV LV WKDW WKH VXSSRUW RI WKH LQWHJUDO LV H[DFWO\ RYHU { 7KH /57
EHFRPHV
t $T u +
\
e H> $ 7
1 , ! w
1
+
7KLV FDQ EH IXUWKHU VLPSOLnHG
t $T u +
, ! w H$7 1
1
+
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
7KH PRGLnHG %HVVHO IXQFWLRQ , $T 1 LV D PRQRWRQLFDOO\ LQFUHDVLQJ IXQF
WLRQ RI T VHH $SSHQGL[ ' 7KHUHIRUH HLWKHU T LWVHOI RU T FDQ EH XVHG DV D
GHFLVLRQ UXOH 7KH GHWHFWLRQ UXOH EHFRPHV
+
T !
s
+
RU
+
T ! s
s
+
)RU D VSHFLnHG w WKH WKUHVKROG s IRU WKH GHWHFWLRQ UXOH LQ LV REWDLQHG
E\ VROYLQJ t $s u
H> $ 7 1
,
w
1
7KH FRUUHODWRU DQG PDWFKHG nOWHU EDVHG GHWHFWRUV DUH VKRZQ LQ )LJXUHV
DQG UHVSHFWLYHO\ 2QH FDQ XVH T RU HTXLYDOHQWO\ T DV WKH GHWHFWLRQ
VWDWLVWLF 7KH TXDQWLW\ T LV SURSRUWLRQDO WR WKH SRZHU VSHFWUDO GHQVLW\ DW
IUHTXHQF\ F $ OLWWOH WKRXJKW ZLOO UHYHDO WKDW WKH LPSOHPHQWDWLRQ LQ )LJXUH
FRUUHVSRQGV WR D SRZHU VSHFWUXP DQDO\]HU %DVHG RQ WKH GLVFXVVLRQV
LQ &KDSWHUV DQG ZH UHDOL]H WKDW XQGHU WKH QRLVH RQO\ FRQGLWLRQ WKH
TXDQWLW\ T ZLOO KDYH DQ H[SRQHQWLDO 3') LH FKLVTXDUHG ZLWK WZR GHJUHHV
RI IUHHGRP ,I WKH VLJQDO LV SUHVHQW LH + LV WUXH WKH UDQGRP YDULDEOH
T ZLOO KDYH D QRQFHQWUDO FKLVTXDUHG 3') :H QRWLFH WKDW WKH RXWSXW RI
WKH FRUUHODWRUV RI )LJXUH FRUUHVSRQG WR D nQLWH WLPH )RXULHU WUDQVIRUP
RI \W ZKHUH WKH WRS OHJ DQG ERWWRP OHJV FRUUHVSRQG WR WKH LPDJLQDU\ DQG
UHDO SDUW RI WKH WUDQVIRUP UHVSHFWLYHO\
7KH TXDQWLW\ T FRUUHVSRQGV WR WKH HQYHORSH :KHQ WKH K\SRWKHVLV + LV
WUXH T ZLOO KDYH D 5D\OHLJK 3') &RQYHUVHO\ LI WKH K\SRWKHVLV + LV WUXH T
ZLOO EH D 5LFLDQ YDULDWH
7KH VSDFLQJ EHWZHHQ L DQG L LV VXLWDEO\ FKRVHQ LH 0 HYHQO\ VSDFHG
VSHFWUDO ORFDWLRQV )LJXUH VKRZV D GHWHFWRU PDWFKHG nOWHU LPSOHPHQ
WDWLRQ IRU D FRQVWDQW DPSOLWXGH XQLIRUP SKDVH GLVWULEXWLRQ DQG D XQLIRUP
IUHTXHQF\ GLVWULEXWLRQ 7KH EORFN GHVLJQDWHG E\ KL W IRU L c c c 0
DQG WKH HQYHORSH GHWHFWRU SURGXFHV TL LQ WKH VDPH ZD\ DV LOOXVWUDWHG LQ )LJ
XUH :H UHDOL]H WKDW HDFK FKDQQHO WR SHUIRUP WKH HQYHORSH GHWHFWLRQ
SURSHUO\ PXVW KDYH DQ K, W DQG D FRUUHVSRQGLQJ K4 W , DQG 4 FKDQQHO LI
WKH SKDVH LV XQNQRZQ
)LJXUH 0DWFKHG nOWHU NQRZQ DPSOLWXGH UDQGRP XQLIRUP SKDVH DQG IUH
TXHQF\ HPEHGGHG LQ DGGLWLYH ZKLWH *DXVVLDQ QRLVH
6XPPDU\
,W LV REYLRXV WKDW WKH RSWLPXP UHFHLYHU LQ WKH %D\HV
VHQVH RU E\ PD[LPL]LQJ
WKH RXWSXW 615 IRU QDUURZEDQG VLJQDOV WRQDOV VLQXVRLGV ZLWK XQNQRZQ
IUHTXHQF\ XQNQRZQ SKDVH DQG XQNQRZQ DUULYDO WLPH LV WKH SRZHU VSHFWUDO
GHQVLW\ 8VXDOO\ WKLV LV LPSOHPHQWHG XVLQJ WKH SHULRGRJUDP ZKLFK LQ WXUQ
LV WKH VFDOHG PDJQLWXGH VTXDUHG RXWSXW RI WKH ))7 $V ZH UHFDOO IURP WKH
GLVFXVVLRQV LQ &KDSWHU WKH ))7 LV DQ H[WUHPHO\ HpFLHQW SURFHVVLQJ WRRO
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
&OHYHU FKRLFH RI WKH ZLQGRZ IXQFWLRQ QXPEHU RI SDGGHG RQ ]HURV DQG RYHUODS
IDFWRU ZLOO SURYLGH D JRRG PDWFK LQ IUHTXHQF\ DQG WLPH >@
7KLV XVXDOO\ UHGXFHV WKH YDULDQFH RI WKH RXWSXW VWDWLVWLF DQG HQKDQFHV
WKH SURFHVVLQJ JDLQ E\ FRPELQLQJ WKH SURMHFWLRQV
7KLV XVXDOO\ WDNHV WKH LQQHU SURGXFW REWDLQHG E\ SHUIRUPLQJ WKH FRUUHOD
WLRQ RU PDWFKHG nOWHULQJ DQG SURYLGHV WKH SURFHVVLQJ JDLQ E\ H[WHQGLQJ
WKH HmHFWLYH LQWHJUDWLRQ WLPH
[
, [ {
KHQFH
t $T u $ T
,
1
{
1
7DNLQJ WKH QDWXUDO ORJ RI [ IRU VPDOO [ OHDGV WR
[ [
b [ c c c
OQ [ [b
+HQFH WKH QDWXUDO ORJ RI WKH , $T 1 DW VPDOO 615V LV DSSUR[LPDWHG E\
t $T u t $ T u $ T
OQ ,
1
{ OQ 1 { 1
)LJXUH VKRZV WKH JHQHUDO LH WKH H[DFW UDGDUVRQDU GHWHFWRU LPSOH
PHQWDWLRQ IRU 0 SXOVHV ZKLOH )LJXUH VKRZV WKH UHFHLYHU EDVHG RQ D ORZ
615 DSSUR[LPDWLRQ
'HWHFWLRQ RI 6LJQDOV LQ :KLWH *DXVVLDQ 1RLVH
[
, [ { SH
{[
,Q RXU FDVH WKH DSSUR[LPDWLRQ RI WKH %HVVHO IXQFWLRQ KLJK 615 EHFRPHV
t $T u H$T 1
,
1
{U $T
{
1
7KH QDWXUDO ORJ EHFRPHV
t t $T uu $T
t $T u
OQ ,
1
{
1
b OQ { 1
$T
{
1
7KH ODVW DSSUR[LPDWLRQ WDNHV DGYDQWDJH RI WKH IDFW WKDW WKH ORJDULWKP RI D
ODUJH SRVLWLYH QXPEHU LV PXFK VPDOOHU WKDQ WKH SRVLWLYH QXPEHU LWVHOI $Q
LPSOHPHQWDWLRQ XVLQJ WKH KLJK 615 DSSUR[LPDWLRQ LV VKRZQ LQ )LJXUH
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
6800$5<
&KDSWHU H[WHQGV WKH EDVLF GHWHFWLRQ WHFKQLTXH LQWURGXFHG LQ &KDSWHU
WR WKH PRUH JHQHUDO FDVH DOORZLQJ WKH VLJQDO WR EH IXQFWLRQV RI WLPH UDWKHU
WKDQ D FRQVWDQW 7KDW LV V VW RU VQ LQ WKH FRQWLQXRXV DQG GLVFUHWH WLPH
FDVH UHVSHFWLYHO\ :LWK WKH H[FHSWLRQ RI 6HFWLRQ WKH VLJQDOV DUH DVVXPHG
WR EH NQRZQ DQG HPEHGGHG LQ ZKLWH *DXVVLDQ QRLVH 6HFWLRQ DOORZV IRU
UDQGRPQHVV RU XQFHUWDLQWLHV LQ WKH VLJQDO DQGRU QRLVH SDUDPHWHUV EXW VWLOO
DVVXPHV D *DXVVLDQ GHOWD FRUUHODWHG LH ZKLWH QRLVH HQYLURQPHQW 6HFWLRQ
HVWDEOLVKHV WKH FRUUHODWRU VWUXFWXUH RI WKH RSWLPDO UHFHLYHU GHWHFWRU DQG
HYDOXDWHV WKH SHUIRUPDQFH 6HFWLRQV DQG H[DPLQH WKH PDWFKHG nOWHU
PLQLPL]LQJ WKH FRVW DQG PD[LPL]LQJ WKH RXWSXW 615 UHVSHFWLYHO\ 6HFWLRQ
H[WHQGV WKH ELQDU\ WR WKH 0DU\ GHWHFWLRQ FDVH ,Q 6HFWLRQ PXOWLSXOVH
SURFHVVLQJ LV LQWURGXFHG &RKHUHQW DQG LQFRKHUHQW DYHUDJLQJ WHFKQLTXHV DUH
DOVR DGGUHVVHG
352%/(06
8QGHU
+ \L QL L c cc
QL z 1 LLG
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
+ \L QL IRU L c cc
b QL IRU L cc c
E 'HULYH WKH RSWLPXP WKUHVKROG IRU WKH FRQGLWLRQV JLYHQ DOVR VWDWH
ZKDW GHVLJQ SKLORVRSK\ \RX XVHG
8QGHU
+ \L QL QL z 1 LLG
+ \L VL QL L ccc
VL bL IRU L
F )RU DQ RYHUODS LH VKLIW RI WKH WUDQVIRUP OHQJWK VD\
SRLQWV DVVXPLQJ DQ XQNQRZQ DUULYDO WLPH ZKDW LV WKH ZRUVW FDVH
SURFHVVLQJ ORVV GXH WR PLVDOLJQPHQW LQ WLPH"
G &RPSXWHU ([HUFLVH
9HULI\ E XVLQJ D 0$7/$% VLPXODWLRQ GRQ
W IRUJHW WR H[SODLQ
\RXU UHVXOWV
'HWHFWLRQ RI 6LJQDOV LQ :KLWH *DXVVLDQ 1RLVH
&RPSXWHU ([HUFLVH
+ \ z 1 } VLQJOH VDPSOH
+ \ z 1 } VLQJOH VDPSOH
8VLQJ 0$7/$%
8QGHU
+ \L b QL L ccc, b
+ \L QL L ccc, b
ZKHUH QL LLG z 1
D )LQG WKH RSWLPDO GHWHFWRU DQG LWV WKUHVKROG
+ UL VL L
+ UL VL
QL LLG
z 1
V
7 > b b b@ V 7 >b b b @
D 'HVLJQ WKH DSSURSULDWH GHWHFWRUV DQG SURYLGH IRU HDFK RQH WKH DS
SURSULDWH GHWHFWRU IRUP WKUHVKROG DQG 3)$ DQG 3' 1RWH 52&
FXUYHV GLVSOD\ 3' YHUVXV 3)$ ZKHUH 3' DQG 3)$ DUH SORWWHG RQ
WKH YHUWLFDO DQG KRUL]RQWDO D[LV UHVSHFWLYHO\
8QGHU
+ UW QW
ZKHUH QW LV D ZKLWH *DXVVLDQ QRLVH SURFHVV ZLWK YDULDQFH RI
+ UW VW QW
VW W IRU W
3U + 3U+
& & & &
D 'HULYH WKH RSWLPDO GHWHFWRU E\ PLQLPL]LQJ WKH SUREDELOLW\ RI HUURU
8QGHU
+ UW QW W 7
+ UW VW QW W 7
ZKHUH QW LV D ZKLWH *DXVVLDQ QRLVH SURFHVV ZLWK ELVSHFWUDO KHLJKW
1 { 7 7 PLOOLVHFRQG DQG VW VLQ{ W
D 'HVLJQ WKH RSWLPDO GHWHFWRU UHFHLYHU IRU WKHVH FRQGLWLRQV 3UR
YLGH D GLDJUDP RI WKH GHWHFWRU DQG WKH QXPHULFDO YDOXH RI WKH
WKUHVKROG
E :KDW LV 3 U' M+ DQG 3 U' M+ " 6KRZ DOO ZRUN LQ VXpFLHQW
GHWDLO
>@ .D\ 60 0RGHUQ 6SHFWUDO (VWLPDWLRQ 7KHRU\ DQG $SSOLFDWLRQ (Q
JOHZRRG &OLmV 1- 3UHQWLFH+DOO
>@ 0DUSOH 6/ 'LJLWDO 6SHFWUDO $QDO\VLV (QJOHZRRG &OLmV 1- 3UHQWLFH
+DOO
>@ )UDQNV /( 6LJQDO 7KHRU\ (QJOHZRRG &OLmV 1- 3UHQWLFH+DOO
>@ 1REOH % DQG 'DQLHO -: $SSOLHG /LQHDU $OJHEUD (QJOHZRRG &OLmV
1- 3UHQWLFH+DOO
>@ 6WUDQJ * /LQHDU $OJHEUD DQG ,WV $SSOLFDWLRQV QG HG 1HZ <RUN
$FDGHPLF 3UHVV
>@ /HYDQRQ 1 5DGDU 3ULQFLSOHV 1HZ <RUN -RKQ :LOH\ 6RQV
>@ 0F'RQRXJK 51 DQG :KDOHQ $' 'HWHFWLRQ RI 6LJQDOV LQ 1RLVH
QG HG 6DQ 'LHJR &$ $FDGHPLF 3UHVV
&KDSWHU
'HWHFWLRQ RI 6LJQDOV LQ
&RORUHG *DXVVLDQ 1RLVH
,1752'8&7,21
7KH VWXG\ RI GHWHFWLRQ DQG HVWLPDWLRQ FDQ EH HQKDQFHG E\ XVLQJ DQ DSSURDFK
EDVHG RQ D VHULHV UHSUHVHQWDWLRQ 7KH JHQHUDO FRQFHSW RI VHULHV GHFRPSRVLWLRQ
DQG VHULHV UHSUHVHQWDWLRQ LV DGGUHVVHG LQ 6HFWLRQ 6HFWLRQ H[DPLQHV
WKH SUREOHP WR GHWHFW NQRZQ VLJQDOV HPEHGGHG LQ ZKLWH *DXVVLDQ QRLVH XVLQJ
D JHQHUDO FRPSOHWH RUWKRQRUPDO EDVLV VHW 7KH *UDP6FKPLGW SURFHGXUH LV
LQWURGXFHG LQ 6HFWLRQ ZKLOH LQ 6HFWLRQ WKH *UDP6FKPLGW WHFKQLTXH LV
DSSOLHG WR GHWHFW D NQRZQ VLJQDO HPEHGGHG LQ ZKLWH *DXVVLDQ QRLVH 6HFWLRQ
GHDOV ZLWK WKH VHULHV H[SDQVLRQ LQ D FRORUHG QRLVH EDFNJURXQG ,Q WKLV
FRQWH[W LQWHJUDO HTXDWLRQV 0HUFHU
V WKHRUHP DQG WKH .DUKXQHQ/RtHYH H[
SDQVLRQ DUH LQWURGXFHG ,Q 6HFWLRQ WKH SUREOHP WR GHWHFW D NQRZQ VLJQDO
HPEHGGHG LQ FRORUHG *DXVVLDQ QRLVH LV DGGUHVVHG 7KH ELODWHUDO /DSODFH WUDQV
IRUP LV LQWURGXFHG WR DOORZ WKH FRQYHUVLRQ RI WKH )UHGKROP LQWHJUDO HTXDWLRQ
LQWR D GLmHUHQWLDO HTXDWLRQ $ VLPSOH FRORUHG QRLVH GHWHFWLRQ SUREOHP VHUYHV
WR LOOXVWUDWH WKH FRQFHSWV 7KH SHUIRUPDQFH RI WKH FRUUHODWRU RSHUDWLQJ LQ D
FRORUHG QRLVH HQYLURQPHQW DQG WKH DQDORJ LPSOHPHQWDWLRQ RI WKH ZKLWHQLQJ
nOWHU LV EULHo\ GLVFXVVHG 6HFWLRQ H[DPLQHV DSSURDFKHV WR GLVFUHWHWLPH
FRORUHG QRLVH SUREOHPV :H QRWH WKDW &KDSWHU GHDOV DOPRVW H[FOXVLYHO\
ZLWK *DXVVLDQ W\SH QRLVH DQG ZH RQO\ GHYLDWH IURP WKH *DXVVLDQLW\ LQ WKH
GLVFUHWHWLPH PDWFKHG nOWHULQJ LQ 6HFWLRQ
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
6(5,(6 5(35(6(17$7,216
7KHUH DUH PDQ\ ZD\V WR GHVFULEH D JLYHQ IXQFWLRQ RQH SDUWLFXODUO\ XVHIXO
RQH LV WKH VHULHV UHSUHVHQWDWLRQ $ VHULHV UHSUHVHQWDWLRQ RU H[SDQVLRQ UHIHUV
WR WKH XVH RI D VHW RI EDVLV IXQFWLRQV DQG D VHW RI FRUUHVSRQGLQJ H[SDQVLRQ
FRHpFLHQWV WR UHSUHVHQW D SDUWLFXODU IXQFWLRQ 7KH QXPEHU RI EDVLV IXQFWLRQV
PD\ EH nQLWH RU FRXQWDEOH :H DUH IDPLOLDU ZLWK WKLV W\SH RI UHSUHVHQWD
WLRQ VLQFH ZH RIWHQ FRQVLGHU IXQFWLRQDO H[SUHVVLRQV E\ UHSUHVHQWLQJ WKHP DV
D ZHLJKWHG VXP RI EDVLV IXQFWLRQV $ YHU\ ZHOO NQRZQ H[DPSOH IRU SHULRGLF
FRQWLQXRXV WLPH IXQFWLRQV ZLWK SHULRGLFLW\ 7 LV WKH V\QWKHVLV HTXDWLRQ LH
)RXULHU VHULHV UHSUHVHQWDWLRQ
[W 7
; ;N H[S M NW
N b
ZKHUH { 7 DQG
; N
= 7
[W H[S b M NW GW
[Q
;
1 b & HMNQ
N
1
;
N
b 1
; N H M { 1 NQ
1 N
ZKHUH { 1 DQG
&N ; N
;b [Q Hb
1
M { 1 NQ
Q
LV WKHN WK )RXULHU FRHpFLHQW 7KLV UHSUHVHQWDWLRQ LV IUHTXHQWO\ XVHG LQ WKH
VLJQDO SURFHVVLQJ DUHD ZKHUH ZH LQWHUSUHW WKH EDVLV IXQFWLRQV DV D VHW RI RU
WKRJRQDO EDVLV IXQFWLRQV LH VHH &KDSWHU >@ $V GLVFXVVHG LQ &KDSWHU
WKH ')7 DQG ))7 DUH WKH WUDQVIRUPDWLRQ WKDW GRPLQDWH WKH PDMRULW\ RI
VLJQDO SURFHVVLQJ DSSOLFDWLRQV )RU WKH )RXULHU EDVHG UHSUHVHQWDWLRQ ZH XVH D
VHW RI RVFLOODWRU\ W\SH EDVLV IXQFWLRQV ZKHUH WKH EDVLV IXQFWLRQV DUH ZHLJKWHG
DQG VXPPHG DV JLYHQ E\ (TXDWLRQ
,Q JHQHUDO DQ H[SDQVLRQ UHSUHVHQWDWLRQ LQ ZKLFK WKH EDVLV IXQFWLRQV DUH
RUWKRJRQDO LV FKRVHQ 7KLV PDNHV WKH H[SDQVLRQ FRHpFLHQWV RI GDWD LH
'HWHFWLRQ RI 6LJQDOV LQ 1RLVH
VLJQDOV REVHUYDWLRQ SURFHVVHV WKDW KDYH D *DXVVLDQ W\SH 3') VWDWLVWLFDOO\
LQGHSHQGHQW +HQFH WKH DOJRULWKPV LH WKH VLPSOH OLNHOLKRRG UDWLR WHVW
GHYHORSHG IRU LQGHSHQGHQW VDPSOHV DSSO\ GLUHFWO\ ZLWK KLJK RUGHU MRLQW 3')V
EHFRPLQJ WKH SURGXFW RI RQHGLPHQVLRQDO 3')V 7KH H[SDQVLRQV IRU nQLWH
GXUDWLRQ GDWD FDQ EH EDVHG RQ WKH VLJQDO VHW RU RQ WKH QRLVH VSDFH
,I ZH XVH DQ H[SDQVLRQ EDVHG RQ WKH VLJQDO VHW ZH FDQ XWLOL]H RQH RI WZR
W\SHV RI UHSUHVHQWDWLRQV 6KRXOG ZH XVH DQ H[SDQVLRQ EDVHG RQ WKH QRLVH
FKDUDFWHULVWLFV WKHQ ZH GHSHQG RQ DQ HLJHQYDOXH W\SH GHFRPSRVLWLRQ
D 7KH EDVLV IXQFWLRQ VHW VSDQV WKH VLJQDO VSDFH
7\SLFDO FDQGLGDWHV DUH )RXULHU NHUQHO >@ RU DQ\ RWKHU RUWKRJRQDO
SRO\QRPLDO IXQFWLRQ >@ LH +HUPLWH /DJXHUUH &KHEE\FKHm HWF
8VXDOO\ D FRPSOHWH RUWKRQRUPDO &21 VHW LV SUHIHUHG IRU WKH DQDO
\VLV )RU VLJQDO VSDFH GHSHQGHQW H[SDQVLRQV ZH FDQ XVH DQ H[SDQVLRQ
DORQJ D SUHIHUUHG VLJQDO FRRUGLQDWH D[LV :H VHOHFW DV WKH nUVW EDVLV
IXQFWLRQ RQH SDUWLFXODU VLJQDO LH WKH VLJQDO XQGHU WKH + FRQGLWLRQ
DQG FKRRVH DOO RWKHU EDVLV IXQFWLRQV LQ D VHTXHQWLDO IDVKLRQ RUWKRJ
RQDO WR WKH nUVW DQG DOO SUHYLRXVO\ VHOHFWHG EDVLV IXQFWLRQV $OO EDVLV
IXQFWLRQV DUH QRUPDOL]HG SURYLGLQJ D VHW RI RUWKRQRUPDO EDVLV IXQFWLRQV
LH *UDP6FKPLGW SURFHGXUH >@ DQG &KDSWHU
E 7KH HLJHQIXQFWLRQV RU HLJHQYHFWRUV VHW VSDQV WKH QRLVH VSDFH
:H XVH WKH FRUUHODWLRQ IXQFWLRQ RI WKH QRLVH SURFHVV WR JHQHUDWH WKH EDVLV
IXQFWLRQV LH WKH .DUKXQHQ/RtHYH H[SDQVLRQ ,Q WKH FRQWLQXRXV WLPH
FDVH LH VHH 6HFWLRQ WKH HLJHQIXQFWLRQV RI WKH DXWRFRUUHODWLRQ
IXQFWLRQ RI WKH QRLVH VHUYH DV EDVLV IXQFWLRQV >@ ,Q WKH GLVFUHWHWLPH
FDVH ZH XVH WKH DXWRFRUUHODWLRQ PDWUL[ RI WKH QRLVH DQG WKH FRUUH
VSRQGLQJ HLJHQYHFWRUV >@
,QGHSHQGHQW RI ZKLFK EDVLV IXQFWLRQ VHW LV FKRVHQ LW LV HVVHQWLDO FULWLFDO
WKDW WKLV VHW LV D FRPSOHWH RQH 7KDW LV QR PDWWHU ZKDW WKH VLJQDO IRUP LV LW
PXVW EH H[SUHVVLEOH DV D FRXQWDEOH VXP RI ZHLJKWHG EDVLV IXQFWLRQV DV JLYHQ
E\
\ W
;
\N JN W W7
N
ZKHUH IJN WJ LV D VHW RI FRXQWDEOH EDVLV IXQFWLRQV DQG \N LV WKH H[SDQVLRQ
FRHpFLHQW WKDW LV WR EH SDLUHG ZLWK WKH NWK EDVLV IXQFWLRQ )RU QRWDWLRQDO
FRQYHQLHQFH WKH LQWHUYDO LV FKRVHQ WR EH > 7 @ EXW LQ JHQHUDO WKH PHWKRG
FDQ EH XVHG IRU DQ\ DUELWUDU\ LQWHUYDO >W W 7 @ 1RWH WKDW N FDQ UDQJH
IURP RQH WR LQnQLW\ RU IURP RQH WR . D nQLWH QXPEHU ,Q VRPH SUREOHPV
WKH H[SDQVLRQ FRXQW N FDQ VWDUW DW ]HUR LH VHH WKH ')7 W\SH UHSUHVHQWDWLRQ
LQ &KDSWHU ,Q VRPH H[SDQVLRQV WKH FRXQW YDULDEOH N FDQ DOVR WDNH RQ
QHJDWLYH YDOXHV VXFK DV LQ WKH FRPSOH[ )RXULHU VHULHV UHSUHVHQWDWLRQ :H
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
QRWH WKDW LQ PRVW GLVFXVVLRQV ZH DVVXPH WKDW WKH EDVLV IXQFWLRQV DUH UHDO
YDOXHG ,I FRPSOH[ YDOXHG EDVLV IXQFWLRQV DUH WR EH FRQVLGHUHG WKH GHnQLWLRQ
RI WKH LQQHU SURGXFW PXVW EH JHQHUDOL]HG E\ FRQMXJDWLQJ RQH RI WKH IXQFWLRQV
LQYROYHG 7KLV LQGHHG JXDUDQWHHV WKDW WKH SURMHFWLRQ RI RQH EDVLV IXQFWLRQ
RQWR LWVHOI LH LWV HQHUJ\ ZLOO DOZD\V EH UHDO YDOXHG
7KH NWK H[SDQVLRQ FRHpFLHQW \N LV REWDLQHG E\ SURMHFWLQJ \W RQWR WKH
N EDVLV IXQFWLRQ
=
WK
7
\N K\W JN WL \ W JN W GW
ZKHUH WKH DQJXODU EUDFNHWV GHQRWH WKH LQQHU SURGXFW 1RWH WKH XVDJH RI
WKH DQJXODU EUDFNHWV WR GHQRWH WKH LQQHU SURGXFW ,Q &KDSWHU WKH DQJXODU
EUDFNHWV ZLOO EH XVHG WR LQGLFDWH D WLPH DYHUDJLQJ RSHUDWLRQ 7KH EDVLV VHW
IJN WJ FRQVLVWV RI D &21 VHW WKDW LV
KJL W JN WL
= 7
JL W JN W GW pLN
|
ZKHUH
L N
pLN HOVH LH WKH .URQHFNHU GHOWD
DQG IJN WJ ZLOO VSDQ WKH VLJQDO VSDFH ,I QHFHVVDU\ H[SUHVVLRQV ^
FDQ HDVLO\ EH PRGLnHG WR DOORZ WKH UHSUHVHQWDWLRQ RI FRPSOH[ YDOXHG VLJQDOV
RU WR UHSUHVHQW UHDO YDOXHG VLJQDOV XVLQJ FRPSOH[ YDOXHG EDVLV IXQFWLRQV $V
WKH UHDGHU ZLOO UHFDOO WKH EDVLV IXQFWLRQV RI WKH ')7 DQG ))7 DUH FRPSOH[
YDOXHG H[SRQHQWLDOV )RU VRPH FRPSOH[ EDVLV IXQFWLRQ H[DPSOHV VHH &KDSWHU
,Q PRVW ZRUN GLVFXVVHG LQ &KDSWHU DV HDUOLHU VWDWHG ZH VKDOO GHDO ZLWK
UHDO YDOXHG SURFHVVHV
:H GHQRWH WKH PWK DSSUR[LPDWLRQ WR WKH IXQFWLRQ I W LH WKH NQRZQ
VLJQDO E\ IP W WKDW LV
IP W
; I J W
P
N N
N
VXFK WKDW
OLP
; I J W
P IP W N
N N I W
= V W J W GW
N
7
VN KV W JN WL
= V W J W GW
N
7
VN KV W JN WL
= QW J W GW
N
7
QN KQW JN WL N
( IQN J (
= = QW QV J W J V GW GV
,Q WKH ZKLWH QRLVH FDVH ZH ZRXOG KDYH
7 7
= = 1 pW b V J W J V GW GV
N N
7 7
= J W GW 1 p 1
N N
7
1
N
NN
:H FDQ IRUP WKH OLNHOLKRRG UDWLR WHVW XVLQJ WKH RUWKRJRQDO FRPSRQHQWV
\ J W \ J W c cc \N JN W DV JLYHQ E\
e \W OLP e \N W
N
I \ J W \ J W c cc \N JN W
OLP
N I \ J W \ J W c cc \ J W
N N
OLP
< I \ N
Q
N I \ Q
Q
< Hb N
1 \Q VQ b +
< b
!
OLP Q
N w
N
H 1 \Q VQ b +
Q
7DNLQJ WKH QDWXUDO ORJDULWKP RI WKH NWK DSSUR[LPDWLRQ RI WKH /57 OHDGV WR
OQ e \N W ; \ V
N
Q Q b VQ
; bV
N
Q b VQ
c +!
OQ w
1 Q
1 Q
+
:H ZDQW WR REWDLQ DQ HTXLYDOHQW H[SUHVVLRQ IRU WKH nUVW DQG VHFRQG VXPPD
= ; \ J W ; V
WLRQV LQ 7R GR WKLV ZH ZLOO VWDUW ZLWK WKH IROORZLQJ LQWHJUDO
= 7
\N W VLN W GW
7 N N
JU W GW
Q Q LU
Q U
Q U _Q ^] `
Q LU
Q
Q
U
U
Q U
Q VLU pQU
HOVH pQU
; \ V IRU L N
Q LQ
Q
5HYHUVLQJ WKH RUGHU RI WKH HTXDWLRQ ZH REWDLQ
;\
N
VLQ
= 7
\N W VLN W GW
Q
Q
1
= dV 7
W b VN
e +
W GW !
OQ w
N
+
7DNLQJ WKH OLPLW DV N OHDGV WR
OLP OQ e \N W OQ e \W
N
= 7
\ W >V W b V W@ GW
1
1
= dV W b V We GW +!
7
OQ w
+
ZKHUH w LV D IXQFWLRQ RI GHWHFWRU SKLORVRSK\ LH 0/ LPSOLHV w LV XQLW\
)RU %D\HV
IRUPXODWLRQ ZH KDYH
3 & b &
w
3 & b &
,Q JHQHUDO WKH GHWHFWRU EHFRPHV
= 7
\ W V W GW b
= 7
+
!
\ W V W GW o
+
ZKHUH
o
1
OQ w
7 V W b V W GW= b c
)LJXUH )LUVW WZR YHFWRU UHODWLRQVKLSV ZKHQ XVLQJ WKH *UDP6FKPLGW SURFHGXUH
Y m b N T
ZKHUH N LV VHOHFWHG VXFK WKDW Y DQG T DUH RUWKRJRQDO Y DQG Y DUH
RUWKRJRQDO :KHQ YHFWRU Y " T UHDG Y RUWKRJRQDO WR T WKHQ ZH KDYH
KT Y L
KT m b N T L
KT m L b N KT T L
KT m L b N
:H UHDOL]H WKDW KT T L KHQFH WKH FRHpFLHQW N LV REWDLQHG DV
N KT m L Km T L
ZKLOH WKH RUWKRJRQDO YHFWRU Y LV JLYHQ E\
Y m b Km T L T
m b KYKmY YLL KY YY L
7KH nUVW WZR UHODWLRQVKLSV DUH LOOXVWUDWHG LQ )LJXUH ,Q JHQHUDO WKH RUWKR
QRUPDOL]DWLRQ SURFHGXUH LV REWDLQHG IURP D VHTXHQWLDO GHWHUPLQDWLRQ RI RU
WKRJRQDO YHFWRUV IRU N DV GHnQHG E\
YN
;
N b
mN b KYKmNY YLL L KY YYL L
t u
RUWKRJRQDO
L L L L L VHW
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
TN YN YN RUWKRQRUPDO
t
u
MMYN MM KYN YN L VHW
ZKHUH WKH QRUPDOL]DWLRQ ZDV REWDLQHG E\ GLYLGLQJ HDFK YHFWRU E\ LWV QRUP
([DPSOH *LYHQ Im m c c c J IW W W c c c J ZKHUH b W
)LQG DQ RUWKRQRUPDO VHW RYHU >b @ :H QRWH WKDW
Km m L
= c GW
=b c W GW W nnn
nb
Km m L
b
+HQFH WKH VHW Im m c c c J GRHV QRW IRUP DQ RUWKRJRQDO EDVLV VHW IRU MWM
/HW Y m
T
Y
MMY MM
V= S
c GW
b
Y
~
W b W S
m b Km T L T
S
=
nnn
nb W
Wb
W S GW S
Wb
W
b
V= V W nn
n U
nb
MMY MM W c W GW
Y
b
U
T
MMY MM W
Y
U U ~
m b Km T L T b Km T L T
W b W
W W b W S S
W b W
= W GW b
=
W GW
b b
W b
'HWHFWLRQ RI 6LJQDOV LQ 1RLVH
nnnnnn nnnnnn V= t u
nnW b nn b W b GW
MMY MM
V t W W W unn
n
b c c nb S
T Y
t u
S W b
MMY MM
U t u
7KH RUWKRQRUPDO VHW IT T T c c cJ LV QRZ RI WKH IRUP
S
IT T T c c c J S W W b c c c
ZKLFK LV WKH VHW RI RUWKRQRUPDO /HJHQGUH SRO\QRPLDOV RYHU WKH LQWHUYDO b
:H OHDYH LW IRU WKH UHDGHU WR YHULI\ WKDW LQGHHG
KT T L KT T L KT T L
DQG WKDW
KT T L KT T L KT T L
Y W V W b
KV W V WL V W
KV W V WL KV W V WL
U V W U
V W b S S V W b V W
Y W
T W
MMY WMM
V~t U u t U u
7KH QRUP RI Y W LV JLYHQ E\
MMY WMM V W b V W V W b V W
V U U
b
V b U
KHQFH
U
V W b V W S
T W S
b U
'HWHFWLRQ RI 6LJQDOV LQ 1RLVH
)RU WKH ELQDU\ FDVH QR DGGLWLRQDO EDVLV IXQFWLRQV DUH QHHGHG VLQFH ZH DOUHDG\
KDYH D FRPSOHWH RUWKRQRUPDO VHW WR GHVFULEH WKH VLJQDOV V W DQG V W ,I
DQ\ ZHUH WR EH FKRVHQ WKH\ ZRXOG EH RUWKRJRQDO WR T W DQG T W ,Q JHQHUDO
\W
; \ T W
C C W7
C
\ W
; \ T W
C O W 7
C
:H UHDOL]H
D WKDW \C LV WKH SURMHFWLRQ RI \W RQWR WKH EDVLV IXQFWLRQV TC W IRU C
DQG
E GXH WR WKH OLQHDULW\ RI WKH LQQHU SURGXFW WKH YDULDEOHV \C IRU C
ZLOO EH LQGHSHQGHQW *DXVVLDQ UDQGRP YDULDEOHV :H QHHG WKH PHDQV
DQG YDULDQFHV RI WKHVH *DXVVLDQ UDQGRP YDULDEOHV %HFDXVH WKH QRLVH
KDV ]HUR PHDQ ZH KDYH
( I\C M+ J
= 7
\ WM+ TC W GW
=
7
V W TC W GW VC C
6LPLODUO\ WKH PHDQ XQGHU WKH + K\SRWKHVLV DQG WKH YDULDQFH LQGH
SHQGHQW RI WKH K\SRWKHVLV DUH JLYHQ E\
( I\C M+ J
= V W T W GW V C
7
= = (IQW QVJ T W T V GW GV
C C
7 7
YDU I\C M+L J
= T W GW 1 C
C C
7
1
C L
UHVSHFWLYHO\ ZKHUH C LV EDVLV IXQFWLRQ DQG L FRUUHVSRQGV WR WKH K\SRWK
HVLV
:H RUWKRQRUPDOL]HG WKH WZR RULJLQDO IXQFWLRQV DQG QHHG RQO\ WKH WZR
RUWKRQRUPDO IXQFWLRQV DQG WKHLU H[SDQVLRQ FRHpFLHQWV LH e\W e\ W
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
)LJXUH 2SWLPDO GHWHFWRU XVLQJ *UDP6FKPLGW SURFHGXUH VLC IRU L DQG
C GHQRWHV WKH CWK FRHpFLHQW RI WKH LWK VLJQDO
OQ e\ W ; \ V
N N b VN
;V
N b VN
+
!
OQ w
1 N 1 N
+
RU
; \ V
b VN
+
! 1
OQ wb
;
V b V w
N N
N N N
N
+
7KLV GHWHFWRU LV HDVLO\ LPSOHPHQWHG DV VKRZQ LQ )LJXUH $V ZH VHH WKH
VWUXFWXUH LV WKH VDPH DV WKH FRUUHODWRU VWUXFWXUH DGYRFDWHG LQ &KDSWHU
6HFWLRQ DQG 6HFWLRQ :H FDQ LQWHUSUHW WKH GHWHFWRU RSHUDWLRQ DV D
SURMHFWLRQ RI WKH GDWD RQWR EDVLV IXQFWLRQV YHFWRUV WR GHWHUPLQH ZKLFK SUR
MHFWLRQ FRHpFLHQW GRPLQDWHV 2I FRXUVH ZH DFFRXQW IRU SULRU LQIRUPDWLRQ
FRVW DQG IRU GLmHUHQWLDO HQHUJ\
,Q VXPPDU\ ZH KDYH DGGUHVVHG WKUHH ZD\V IRU GHWHFWLQJ NQRZQ VLJQDOV LQ
ZKLWH *DXVVLDQ QRLVH (DFK DSSURDFK OHG WR WKH FRUUHODWRU VWUXFWXUH ZKLFK
'HWHFWLRQ RI 6LJQDOV LQ 1RLVH
LV D SURMHFWLRQ RI WKH GDWD RQWR D VHW RI EDVLV IXQFWLRQV IRU FRQWLQXRXV WLPH
VLJQDOV RU YHFWRUV IRU GLVFUHWHWLPH VLJQDOV LQ D +LOEHUW VSDFH VHWWLQJ
QW OLP
; Q T W
1
W7
1 N
N N
,I ( IQWJ WKHQ
( IQN J
= 7
( QW JN W GW
N P N P
= %%%= 5 W } T } G}&&& T W GW
#_ ^] `$
7 7
1 P N
wP TP W
KHQFH
( IQ Q J
= w T W T W GW w p
7
N P P P N P PN
KHQFH LI N P
( IQN QP J
'HWHFWLRQ RI 6LJQDOV LQ 1RLVH
,I N P WKHQ
( IQN QP J YDU QN wN
:H QRWH WKDW WKH YDULDQFH RI WKH N WK WHUP RI WKH QRLVH H[SDQVLRQ FDQ DOVR EH
= =
REWDLQHG DV
7 7
TN W 51 W V TN V GW GV
= 7
TN W wN TN W GW wN
DQG WKDW WKH VXP RI WKH HLJHQYDOXHV FRUUHVSRQGV WR WKH LQWHJUDO RI WKH FRUUH
ODWLRQ IXQFWLRQ SRWHQWLDOO\ WKH WLPHYDU\LQJ LQVWDQWDQHRXV SRZHU DV VKRZQ
E\
(
= 7
Q W GW
= 5 W W GW
7
1
= ; w J W J W GW
7
N N N
; w
N
N
N
( IQM QN J
=
N WK QRLVH FRPSRQHQW LV REWDLQHG DV VKRZQ LQ
7
N M
wN TN W TM W GW
|w
HOVH
N
wN pNM
6LQFH WKH FRHpFLHQWV DUH *DXVVLDQ DQG XQFRUUHODWHG LW IROORZV WKDW WKH\ DUH
XQGHU + \M
=
LQGHSHQGHQW UDQGRP YDULDEOHV :H VHH WKDW
7
\ WM+ TM W GW
= 7
V W QW TM W GW VM QM M
c c c
VLPLODUO\ XQGHU
+ \M
= 7
V W QW TM W GW VM QM M c c c
8QGHU HDFK K\SRWKHVLV WKH LQQHU SURGXFW JLYHQ E\ \M LV *DXVVLDQ KHQFH ZH
FDQ VHW XS WKH /57 DV LQ WKH SUHYLRXV VHFWLRQV RQFH ZH REWDLQ PHDQV DQG
YDULDQFHV 7KH PHDQV RI WKH UDQGRP YDULDEOHV \M DUH JLYHQ E\
( I\M M+ J ( VRM QM VM
DQG
( I\M M+ J VM
7KH YDULDQFH LV LQGHSHQGHQW RI WKH PHDQ KHQFH
YDU \M M+L YDU \M YDU QM L
8VLQJ DQG
YDU \M wM
$W WKLV SRLQW ZH FDQ IRUPXODWH WKH N DSSUR[LPDWLRQ RI WKH /57
WK
N <S
Hb \M bVM wM +
M {wM
e \N W N
<S !
Hb \M bVM wM
+
OQ w
M {wM
&DQFHOLQJ FRPPRQ WHUPV WDNLQJ WKH QDWXUDO ORJDULWKP DQG OHWWLQJ N
UHVXOWV LQ
OQ e \W
; \ V M
M b VM
;b
VM b VM ! OQ w
c+
M
w
M
M wM
+
'HWHFWLRQ RI 6LJQDOV LQ 1RLVH
%\ UHSODFLQJ WKH .DUKXQHQ/RtHYH FRHpFLHQWV ZLWK WKHLU FRUUHVSRQGLQJ LQQHU
SURGXFWV WKLV FDQ EH ZULWWHQ DV
\M
= 7
\ W TM W GW DQG QM
= 7
QW TM W GW HWF
; 7
V W V } T W T } GW G}
7
M wM
M M
b
= = 7 7
+
V W V } TM W TM } GW G}
!
OQ w
+
5HRUGHULQJ OHDGV WR
= = \W V W b V W ; T W T W GW GW
7 7
M M
w M
= =
M
7 7 ;
>V W V } b V W V } @ w T W T }GW G} ! OQ w
_ 7KLV LV LQGHSHQGHQW^]RI WKH UHFHLYHG GDWD `
M M
M M
KW
; V M b VM T W
M
wM
; V ;
M
V
M
T W b
M
M
TM W
M
wM M
wM
K W b K W
:H QRWH LI WKH wM
V HTXDO D FRQVWDQW IRU DOO M VXFK DV LW LV WKH FDVH ZLWK ZKLWH
QRLVH WKHQ ZRXOG EHFRPH WKH VFDOHG GLmHUHQFH EHWZHHQ V W DQG V W
,I GHVLUHG ZH FDQ VSOLW KW LQWR K W DQG K W DV LQGLFDWHG LQ 7KLV
ZLOO SURYLGH WKH WZR OHJV RI WKH FRUUHODWRU VWUXFWXUH RQH IRU HDFK VLJQDO DV
VKRZQ LQ )LJXUH
7R XVH ZH ZRXOG KDYH WR REWDLQ IwM J DQG ITM WJ IRU DOO M 7KLV
DSSURDFK LV YHU\ WHGLRXV 2I FRXUVH RQH FRXOG WU\ WR DSSUR[LPDWH KW RI
ZLWK D nQLWH QXPEHU RI WHUPV %XW WKHQ WKH TXHVWLRQ UHPDLQV ZKLFK
WHUPV VKRXOG EH XVHG DQG KRZ PDQ\" 5DWKHU WKDQ VROYLQJ IRU KW LQ WKLV
IDVKLRQ ZH SURSRVH WKH IROORZLQJ >@
7R VROYH IRU KW ZH WDNH KW DQG LWV GHnQLQJ HTXDWLRQ PXOWLSO\ E\ WKH
QRLVH NHUQHO DQG LQWHJUDWH RYHU WKH VLJQDO GXUDWLRQ $VVXPLQJ WKDW WKH QRLVH
LV ZVV ZH KDYH
= 7
51 W b ~ K~ G~
; t V b VM u= 7
51 W b ~ TM ~ G~
_ ^] `
M
M
wM
YLD wM TM W
'HWHFWLRQ RI 6LJQDOV LQ 1RLVH
; V b V w T W
M M
M M
w M
; V b V T W V W b V W A VW
M
M M M
M
DQG
)b V / IIb bWJMVbV
ZKHUH Ib W LV I W IRU QHJDWLYH WLPH DUJXPHQWV DQG Ib bW LV I W IRU QHJ
DWLYH WLPH DUJXPHQWV ZLWK W EHLQJ UHSODFHG E\ W bW
7R YHULI\ WKDW WKH /DSODFH WUDQVIRUP RI WKH DQWLFDXVDO SDUW QHJDWLYH WLPH
= I bW Hb GWnnn
IXQFWLRQ LV GRQH SURSHUO\ ZH WDNH D ORRN DW WKH H[SUHVVLRQ
/ IIb bWJMVbV b n b
VW
= I bWHb b GW
V V
b V W
= I W Hb GW
VW
b
ZKLFK LV WKH GHVLUHG UHVXOW
7R REWDLQ WKH LQYHUVH WUDQVIRUP LQ D ELODWHUDO VHQVH DQ RYHUODSSLQJ UHJLRQ
RI FRQYHUJHQFH IRU ERWK SRVLWLYH DQG QHJDWLYH WLPH VHJPHQWV PXVW H[LVW VHH
WKH FURVVKDWFKHG VWULS LQ )LJXUH :H SHUIRUP WKH LQYHUVH LQ IRXU VWHSV
)RU 5H V ! } WDNH WKH RQHVLGHG FRQYHQWLRQDO LQYHUVH DQG FDOO LW
I W XW
)RU 5H V } UHSODFH V bV WDNH WKH FRQYHQWLRQDO RQHVLGHG LQYHUVH
DQG FDOO WKH UHVXOW Ib bW
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
5HSODFH W bW LQ DQG FDOO LW Ib W
I W I W XW Ib W XbW
7R LOOXVWUDWH WKH SURFHGXUH ZH ZLOO ORRN DW D IHZ VLPSOH H[DPSOHV
([DPSOH )RUZDUG WUDQVIRUP
I W Hbo MWM o!
RU
I W HboW XW HoW XbW
I W XW Ib W XbW
k = Hb
) V / II WJ
j
/ HboW XW oW HbVW GW
IRU 5H V ! bo 52&
Vo
/ IIb bWJMVbV
)b V
= nnn nnn
oW
H XbW
WbW
nHbVW GW nn
|=
I W
| } Hb XW
/b W
V
n
n b| }
I bW / bV nn
b
/ V
HbW
b V V
Ib W HW
I W HbW XW HW XbW
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
,QWHJUDO (TXDWLRQV
:KHQ WKH QRLVH LV D VHFRQG RUGHU UDQGRP SURFHVV DQG FDQ EH WKRXJKW RI DV
EHLQJ REWDLQHG DV WKH RXWSXW RI D SK\VLFDOO\ UHDOL]DEOH nOWHU WKDW LV GULYHQ
E\ ZKLWH QRLVH WKHQ ZH FDQ FRQYHUW WKH LQWHJUDO LQWR D GLmHUHQWLDO
HTXDWLRQ 7KLV VHFWLRQ GHDOV ZLWK WKH )UHGKROP LQWHJUDO HTXDWLRQ RI WKH nUVW
DQG VHFRQG NLQG >@ :H FKDQJHG WKH QRWDWLRQ IRU WKH ULJKWKDQG VLGH RI WKH
LQWHJUDO HTXDWLRQ E\ OHWWLQJ [W UHSODFH VW 7KLV LV WR DYRLG FRQIXVLRQ VLQFH
WKH FDSLWDO OHWWHU 6 VWDQGV IRU SRZHU VSHFWUDO GHQVLW\ ZKHQ ZH HYDOXDWH WKH
=
H[SUHVVLRQV LQ WKH VGRPDLQ 7KH HTXDWLRQ RI WKH IRUP
WI
51 W X KX GX [W W W WI
W
LV WKH )UHGKROP HTXDWLRQ RI WKH nUVW NLQG ZKHUH 51 W X DQG [W DUH NQRZQ
IXQFWLRQV DQG KW LV WKH XQNQRZQ TXDQWLW\ )RU 6HFWLRQ ZH SUHIHU WKH
PRUH JHQHUDO OLPLWV W DQG WI DQG HYDOXDWH WKHP DW W DQG WI 7 ZKHQ
FRQYHQLHQW
,I WKH FRORUHG QRLVH KDV DQ XQGHUO\LQJ VWDWLRQDU\ ZKLWH QRLVH FRPSRQHQW
WKHQ WKH QRLVH DXWRFRUUHODWLRQ IXQFWLRQ KDV DQ LPSXOVHOLNH FRPSRQHQW 7KH
QRLVH FRUUHODWLRQ IXQFWLRQ FDQ WKHQ EH ZULWWHQ DV
1
51 W X
pW b X 51F W X
ZKHUH 51 W X LV WKH FRUUHODWLRQ IXQFWLRQ RI WKH QRLVH SURFHVV 1 pW b X
LV WKH FRUUHODWLRQ IXQFWLRQ RI WKH ZKLWH QRLVH FRPSRQHQW DQG 51F W X LV WKH
FRUUHODWLRQ IXQFWLRQ GXH WR WKH FRORUHG QRLVH FRPSRQHQW 7KHQ WKH LQWHJUDO
HTXDWLRQ EHFRPHV
1
KW
= WI
51 W X KX GX [W W W WI
W
7KLV LV FDOOHG WKH )UHGKROP LQWHJUDO HTXDWLRQ RI WKH VHFRQG NLQG 7KHUH LV
DOVR WKH KRPRJHQHRXV LQWHJUDO ZKLFK ZDV GLVFXVVHG HDUOLHU
8VXDOO\ VROXWLRQV WR LQWHJUDO HTXDWLRQV DUH WHGLRXV XQGHUWDNLQJV +RZ
HYHU XQGHU VRPH UHDVRQDEOH FRQGLWLRQV ZH FDQ REWDLQ VROXWLRQV E\ WUDQVODWLQJ
WR DQG VROYLQJ DQ HTXLYDOHQW GLmHUHQWLDO HTXDWLRQ 7KLV DSSURDFK LV DSSOLFD
EOH ZKHQ RQH FDQ LQWHUSUHW WKH FRORUHG QRLVH DV EHLQJ WKH RXWSXW RI D OLQHDU
WLPH LQYDULDQW V\VWHP WKDW LV GULYHQ E\ VWDWLRQDU\ ZKLWH QRLVH LH OHXFR
JHQLF QRLVH DV FRLQHG LQ >@ ,Q WKLV FDVH WKH FRORUHG QRLVH LV VWDWLRQDU\ DQG
LWV SRZHU VSHFWUDO GHQVLW\ LQ WKH VGRPDLQ LV WKH UDWLR RI WZR HYHQ RUGHUHG
SRO\QRPLDOV 7KH GHJUHH RI WKH GHQRPLQDWRU LV JUHDWHU WKDQ WKH GHJUHH RI WKH
QXPHUDWRU JXDUDQWHHLQJ WKDW WKH SRZHU RI WKH QRLVH SURFHVV LV nQLWH :H FDQ
61 V
= 5 ~ Hb
H[SUHVV WKH /DSODFH WUDQVIRUP RI WKH FRUUHODWLRQ IXQFWLRQ DV
V~ G~
1
b
'HWHFWLRQ RI 6LJQDOV LQ 1RLVH
1 V
'V
:H UHFDOO WKDW
/ IpWJ
= pW Hb GW
VW
b
KHQFH
/ IpW b ~ J
= pW b ~ Hb GW Hb VW V~
b
j k = Hb H GV
ZLWK DQ LQYHUVH JLYHQ E\
/b HbV~ V~ VW
b
DQG
p W b ~
= H b GV VW ~
b
1RZ
G
p W b ~
= G H b GV V W ~
GW
=b VGWH b GVVW ~
b
+HQFH LQ JHQHUDO
GN
p W b ~
=V H N b
VW ~ GV
GWN b
8VLQJ WKH QRWDWLRQ S A G GW
1 S p W b ~
= 1 V H b
V W ~ GV
b
ZKHUH 1 S LV DQ HYHQ RUGHUHG SRO\QRPLDO RI GLmHUHQWLDO RSHUDWLRQV DQG
1 V LV D FRUUHVSRQGLQJ SRO\QRPLDO LQ HYHQ SRZHUV RI V LH LI 1 S
= 6 V H
D S D S WKHQ 1 V D D V :H DOVR UHFDOO
51 X VX GV
1
b
ZKHUH 51 X LV WKH FRUUHODWLRQ IXQFWLRQ DQG 61 V LV WKH VSHFWUDO GHQVLW\ LQ
WKH VGRPDLQ $ VKLIWHG YHUVLRQ WKHQ ORRNV OLNH LH OHW X W b ~
51 W b ~
= 6 V H b
VW ~ GV
1
b
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
'S 51 W b ~
= 'V 6 V H
$SSOLFDWLRQ RI 'S WR ERWK VLGHV RI OHDGV WR
b
VW ~ GV
1
b
5HDOL]LQJ WKDW
1 V
61 V
'V
RU
1 V 'V 61 V
ZH REWDLQ
'S 51 W b ~
= 1 V H b
VW ~ GV
b
7KLV H[SUHVVLRQ EHFRPHV XVLQJ WKH UHVXOWV IURP RQ WKH ULJKWKDQG VLGH
'S 51 W b ~ 1 S p W b ~
ZKHUH S G GW :H FDQ XVH WKLV UHVXOW WR VROYH IRU VWDWLRQDU\ QRLVH
=
NHUQHOV ZKLFK LV UHSURGXFHG KHUH IRU FRQYHQLHQFH
WI
51 W b ~ K~ G~ [W W W WI
W
=
+HQFH ZKHQ ZH RSHUDWH RQ ERWK VLGHV RI ZLWK 'S ZH REWDLQ
WI
'S 51 W b ~ K~ G~ 'S [W W W WI
W
=
8VLQJ WKLV EHFRPHV
WI
1 S p W b ~ K~ G~ 'S [W W W WI
W
RU
1 S KW 'S [W W W WI
(TXDWLRQ LV D GLmHUHQWLDO HTXDWLRQ (VVHQWLDOO\ ZH FRQYHUWHG DQ LQ
WHJUDO HTXDWLRQ SUREOHP LQWR D GLmHUHQWLDO HTXDWLRQ SUREOHP ZKLFK FDQ EH
VROYHG XVLQJ VWDQGDUG WHFKQLTXHV
7KH VROXWLRQ RI WKH GLmHUHQWLDO HTXDWLRQ FRQVLVWV RI WKUHH SDUWV
KW KK W KS W KH W ZKHUH KK W LV WKH KRPRJHQHRXV VROXWLRQ LH QR
H[FLWDWLRQ KS W LV WKH SDUWLFXODU VROXWLRQ LH GXH WR WKH LQSXW [W DQG
KH W LV WKH HQG SRLQW VROXWLRQ >@
7KH VROXWLRQ WR LV REWDLQHG E\ VROYLQJ :H ZLOO VNHWFK RXW
WKH VWHSV DQG SURYLGH DQ H[DPSOH *LYHQ WKDW WKH GLmHUHQWLDO HTXDWLRQ LV RI
WKH IRUP
1 S KW 'S [W W W WI
'HWHFWLRQ RI 6LJQDOV LQ 1RLVH
ZH VROYH
D 7KH KRPRJHQHRXV SDUW
1 S KW
KK W VROXWLRQ RI
E 1 S KW 'S [W FDQ EH VROYHG XVLQJ /DSODFH WUDQVIRUP WHFK
QLTXHV
1 V + V 'V ; V
'V
+ V ; V
1 V
61 V ; V
KS W /b I6 V ; VJ
F 7KH HQG SRLQW VROXWLRQ LV JLYHQ E\
KH W
;b b KD p
S T
L
L
W b W EL pL W b WI
L
L
51 ~ $Hbo M~ M b 61 V
$ o
= 7
51 W b ~ K~ G~
bV o
[W W7
7KLV LV D )UHGKROP LQWHJUDO HTXDWLRQ RI WKH nUVW NLQG
'V bV o V S RUGHU RI V
1 V $oV T RUGHU RI V
6ROXWLRQ
1 S KW 'S [W W7
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
ZH KDYH
D 1 S KW KRPRJHQHRXV SDUW RU $ o KW 7KLV LV QRW D
GLmHUHQWLDO HTXDWLRQ MXVW DQ DOJHEUDLF RQH +HQFH D KK W LV RI WKH
IRUP
KK W
E
G ]`_^
1 S
_ ^]
b GW [W o [W $o KW
' S [ W
` SDUWLFXODU VROXWLRQ
KH W
;D p
L
L
W EL pL W b 7
L
D p W E p W b 7
7
$Hbo MWb~ M
| bo [~ b [~ c D p~ E p~ b 7 } G~
> $o
'HWHFWLRQ RI 6LJQDOV LQ 1RLVH
7KH LQWHJUDO LV VSOLW LQWR WZR UHJLRQV WR HOLPLQDWH WKH DEVROXWH YDOXH V\PERO
[W
W =
$Hbo Wb~
| t u }
o [~ b [~ D p~ G~
$o
>
= b
|7
b c }
$o o [~ b [~ E p~ b 7 G~
o W ~
$H
=
W
b
D $H E $ H b $Hb b $o
oW bo [~ b [~ c G~
o W 7
W
o W ~
= $H b bo [~ b [~ c G~
>
7
o W ~
$o
W
1RZ
= W
Ho~ [~ G~ HoW [B W b [B b o HoW [W b o [
>
= W
o Ho ~ [~ G~
DQG
= 7
Hbo~ [~ G~ Hbo7 [B 7 b HboW [B W oHbo7 [7 b oHboW [W
W
= 7
o Hbo~ [~ G~
W
VR ZH REWDLQ
| [B [
w
[W [W H D $
o b
oW
w}
b [B 7 [7
oW
H H E $b
o7 b
o 7
IRU W 7
%XW [W s [W FXUO\ EUDFNHW WHUPV PXVW EH ]HUR IRU DOO W 7
!
D $ [Bo
b [
FDQ VSOLW DQG VHW HDFK
WHUP WR ]HUR VLQFH !
E $ b
[B 7 [7
VHFRQG WHUP LQ WKH ODVW
H[SUHVVLRQ KDV D WLPH !!
o b YDU\LQJ WHUP LH HoW DQG HboW
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
RU
D
o[ b [B
$o
E
$o o[7 [B 7
+HQFH WKH GHVLUHG UHIHUHQFH FRUUHODWLRQ LH UHSOLFD IXQFWLRQ LV JLYHQ E\
KW
j
o[ b [B pW o[7 [B 7 pW b 7 o [W b [W k
$o
IRU W 7
3HUIRUPDQFH RI WKH 2SWLPXP 5HFHLYHU IRU .QRZQ
6LJQDOV LQ &RORUHG *DXVVLDQ 1RLVH
7KLV VHFWLRQ VKRZV KRZ RQH FDQ VROYH LQ SULQFLSOH IRU 3) $ DQG 3' WR WHVW
IRU WKH SUHVHQFH RI D NQRZQ VLJQDO LQ DGGLWLYH FRORUHG *DXVVLDQ QRLVH )URP
)LJXUH ZH FDQ DVFHUWDLQ WKDW WKH RXWSXW RI WKH RSWLPXP GHWHFWRU ZLOO
EH D *DXVVLDQ UDQGRP YDULDEOH 7KLV LV WUXH XQGHU HDFK K\SRWKHVLV VLQFH D
OLQHDU RSHUDWLRQ RQ D *DXVVLDQ UDQGRP YDULDEOH UHVXOWV LQ D *DXVVLDQ UDQ
GRP YDULDEOH 5HSOLFDWLQJ IRU FRQYHQLHQFH DQG GHQRWLQJ WKH RXWSXW
*DXVVLDQ UDQGRP YDULDEOH DV ] ZH KDYH
]
= 7
+
!
\ W KW GW 7
+
7KH PHDQ RI ] XQGHU WKH + K\SRWKHVLV LV JLYHQ E\
( ]
= 7
V W QW KW GW
=
7
V W KW GW
=
L L
7
( I> QW KW GW@ J
= = 5 W V KW KVGW GV
L
7 7
= = 5 W b V ; w V b V J W
1
7 7
1 L L L L
; w V b V J V GW GV
M M M
L
; ; w w V b V V b V = w J WJ WGW
M
7
L M L L M M M M M
; w V b V
L M
L L L
L
6R WKH IDOVH DODUP UDWH FDQ EH H[SUHVVHG DV
3) $ 47 b ( ] }]
ZKLOH WKH SUREDELOLW\ RI GHWHFWLRQ LV JLYHQ E\
3' 47 b ( ] }]
ZKHUH WKH PHDQV DQG WKH YDULDQFH DUH GHnQHG DERYH 7R REWDLQ DFWXDO YDOXHV
RQH KDV WR VROYH WKH KRPRJHQHRXV LQWHJUDO HTXDWLRQ ZKLFK DW EHVW LV D WHGLRXV
XQGHUWDNLQJ
:KLWHQLQJ )LOWHU
:KLWHQLQJ ZKLFK LV DOVR VRPHWLPHV FDOOHG VSHFWUDO VKDSLQJ RU SUHZKLWHQLQJ
LV D VLPSOH WHFKQLTXH ZKLFK DV WKH QDPH LPSOLHV FRQYHUWV WKH FRORUHG QRLVH
WR ZKLWH QRLVH ,I SRVVLEOH WKH ZKLWHQHU ZLOO FRUUHFW WKH VSHFWUDO VKDSH RI
WKH QRLVH DQG FRQYHUW WKH SUREOHP LQWR RQH WKDW FDQ WKHQ EH VROYHG ZLWK WKH
VWDQGDUG PDWFKHG nOWHU RU FRUUHODWRU 2QH FDQ VROYH IRU D ZKLWHQLQJ nOWHU E\
; K T W T X
DVVXPLQJ WKDW WKH LPSXOVH UHVSRQVH RI WKH ZKLWHQHU LV RI WKH IRUP >@
K: W X M M M
M
W T X
M M
M
VWUHDPOLQHG RSHUDWLRQ 5DWKHU WKDQ WKDW ZH XVXDOO\ SUHIHU WR NHHS WKH EXLOG
LQJ EORFNV DQ H[SOLFLW ZKLWHQHU DQG WKH FRUUHODWRU VHSDUDWH :H DOVR ZDQW
WR SRLQW RXW WKDW WKH ZDYHOHW WUDQVIRUPDWLRQ WHQGV WR ZKLWHQ WKH QRLVH >@
EXW WKH GLmHUHQW nOWHUV ZLOO KDYH D GLmHUHQW EDQGZLGWK DQG RXWSXW VDPSOLQJ
UDWH LH VHH &KDSWHU DQG $SSHQGL[ (
:KLWHQLQJ YLD 6SHFWUDO )DFWRUL]DWLRQ
7KHUH DUH VHYHUDO ZD\V WR DFFRPSOLVK WKH ZKLWHQLQJ RI WKH QRLVH 0DQ\ RI
WKHP DUH FKDPSLRQHG LQ WKH GLJLWDO VLJQDO SURFHVVLQJ OLWHUDWXUH >^@
.QRZOHGJH RI WKH QRLVH DXWRFRUUHODWLRQ IXQFWLRQ LV HTXLYDOHQW WR NQRZLQJ
WKH SRZHU VSHFWUDO GHQVLW\ RI WKH QRLVH 0RVW RI WKH WLPH WKH 36' FDQ EH
IDFWRUHG LQWR LWV SROH DQG ]HUR FRQVWLWXHQWV 7KLV DOORZV IRU WKH VHSDUDWLRQ
RI WKH SROHV DQG ]HURV WKDW OLH LQVLGH WKH XQLW FLUFOH IURP WKRVH WKDW GR QRW
:H DVVXPH WKDW WKH 36' RI WKH FRORUHG QRLVH GRHV QRW WDNH RQ D ]HUR YDOXH
KHQFH WKHUH DUH QR ]HURV RQ WKH XQLW FLUFOH 7KHUH FDQQRW EH DQ\ SROHV RQ WKH
XQLW FLUFOH VLQFH WKDW ZRXOG UHVXOW LQ VSHFWUDO UHVRQDQFH LH D UHVSRQVH GXH
WR D VLQXVRLG 6R LQ WKLV GLVFXVVLRQ RQO\ SROHV DQG ]HURV LQVLGH DQG RXWVLGH
WKH XQLW FLUFOH ZLOO EH FRQVLGHUHG :H IXUWKHU DVVXPH WKDW WKH REVHUYDWLRQ RU
SURFHVVLQJ WLPH LV PXFK ODUJHU WKDQ WKH VLJQDO GXUDWLRQ XQOHVV LW LV FDOOHG
IRU RWKHUZLVH 7KH 36' FDQ EH ZULWWHQ DV
61 ] =I51 PJ
ZKLFK FDQ EH IDFWRUHG DV
61 ] . 61 ] 61b ]
ZKHUH 61 ] FRQWDLQV DOO WKH SROHV DQG ]HURV WKDW UHVLGH LQVLGH WKH XQLW FLUFOH
61b ] FRQWDLQV DOO SROHV DQG ]HURV RXWVLGH WKH XQLW FLUFOH DQG . LV D SRVLWLYH
'HWHFWLRQ RI 6LJQDOV LQ 1RLVH
)LJXUH *HQHUDWLRQ RI WKH FRORUHG QRLVH VHTXHQFH QQ IURP WKH ZKLWH QRLVH
VHTXHQFH ZQ
YDOXHG FRQVWDQW ,I ZH OHW + ] 61 ] WKHQ ZH FDQ nOWHU WKH QRLVH SURFHVV
XVLQJ WKH LQYHUVH RI WKH nOWHU WUDQVIHU IXQFWLRQ LH + b ] WR REWDLQ D
FRQVWDQW SRZHU VSHFWUDO GHQVLW\
7KLV LV HTXLYDOHQW WR WKH OHXFRJHQLF SURFHVV LQ DQDORJ V\VWHPV >@ DQG LWV
JHQHUDWLQJ PHFKDQLVP LV VKRZQ LQ )LJXUH 2QH DVVXPHV WKDW WKH FRORUHG
QRLVH LV JHQHUDWHG E\ SURFHVVLQJ VWDWLRQDU\ ZKLWH QRLVH ZLWK D V\VWHP WKDW KDV
D WUDQVIHU IXQFWLRQ ZLWK D nQLWH QXPEHU RI SROHV DQG ]HURV $OO SROHV DQG ]HURV
PXVW OLH ZLWKLQ WKH XQLW FLUFOH LH WKH VWDEOH UHJLRQ 7KH UHTXLUHPHQW RQ WKH
RUGHU RI WKH SROHV UHODWLYH WR WKH ]HURV LV UHOD[HG ,W LV SHUPLVVDEOH WR KDYH
PRUH ]HURV WKDQ SROHV LH ),5 nOWHU WUDQVIHU IXQFWLRQV KDYH D QRQWULYLDO
QXPHUDWRU SRO\QRPLDO VLQFH WKH UHJLRQ RI VXSSRUW H[WHQGV RQO\ IURP b{ WR
{ UDGLDQV 7KH ZRUGLQJ QRQWULYLDO SRO\QRPLDO UHIHUV WR KDYLQJ URRWV QRW
ORFDWHG DW WKH RULJLQ $ YDOLG PRGHO IRU WKH QRLVH SURFHVV LV JLYHQ E\ )LJXUH
7KH ]HURV RI WKH QXPHUDWRU $] DQG GHQRPLQDWRU % ] SRO\QRPLDOV DUH
DOO LQVLGH WKH XQLW FLUFOH
7KH ZKLWHQLQJ LV DFFRPSOLVKHG DV WKH GDWD VHTXHQFH QQ LV HTXDOL]HG VHH
)LJXUH WKDW LV WKH RXWSXW EHFRPHV VSHFWUDOO\ oDW
7KH nOWHU UHVSRQVH LV REWDLQHG E\ XVLQJ WKH IDFWRUHG SRZHU VSHFWUDO GHQ
VLW\
$]
+ ] 61 ] b
% ]
1RZ WKH ZKLWHQHG QRLVH LV JLYHQ E\
Q: Q QQ e K Q
KHQFH
61: ] 61 ] M+ ] M M% ] $] M M$] % ]M
FRQVWDQW
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
7KHUHIRUH WKH QRLVH KDV EHHQ ZKLWHQHG 2I FRXUVH WKH VLJQDO ZLOO DOVR KDYH
EHHQ nOWHUHG WKDW LV WKH RXWSXW VLJQDO LV WKH SUHYDLOLQJ LQSXW VLJQDO FRQ
YROYHG ZLWK WKH LPSXOVH UHVSRQVH K Q 7KLV DSSURDFK OHDGV WR D ZKLWHQHU
WKDW RSHUDWHV LQ UHDO WLPH LH RQ OLQH LQ D FRQWLJXRXV IDVKLRQ LH VDPSOH
E\ VDPSOH 1RZ WKDW WKH DGGLWLYH QRLVH FRPSRQHQW LV ZKLWH WKH VWDQGDUG
DSSURDFK VHH &KDSWHU DSSOLHV WR WKH nOWHUHG VLJQDOV HPEHGGHG LQ ZKLWH
*DXVVLDQ QRLVH
([DPSOH
] b ] b
61 ]
] b ] b
RU
61 ]
b ] b b ]
b ] b b ]
KHQFH
61
b ] b ] b
b ] b ] b
7KH WUDQVIHU IXQFWLRQ RI WKH ZKLWHQHU LV
]b
+ ]
61 ] ] b
7KH / '/ /+ GHFRPSRVLWLRQ SURYLGHV DQ / PDWUL[ RI WKH IRUP
/
6R WKH GHVLUHG WUDQVIRUPDWLRQ PDWUL[ LV JLYHQ E\
/ b
b
b
b
ZKLFK FDQ EH XVHG LQ ,I ZH ZHUH WR XVH WKH &KROHVN\ GHFRPSRVLWLRQ
WKDW LV 51 & &7 WKHQ & LV JLYHQ E\
&
7KHQ WKH GHVLUHG WUDQVIRUPDWLRQ PDWUL[ LV JLYHQ E\
& b
b
b
b
ZKLFK FDQ EH XVHG LQ
([DPSOH 6XSSRVH WKH QRLVH FRUUHODWLRQ IXQFWLRQ LV JLYHQ E\ WKH H[SUHV
VLRQ
51 L MLM IRU L
7KH RQHVLGHG FRUUHODWLRQ YHFWRU LV JLYHQ E\
51 > @7
7KH / '/ /+ GHFRPSRVLWLRQ SURYLGHV DQ / PDWUL[ RI WKH IRUP
/
'HWHFWLRQ RI 6LJQDOV LQ 1RLVH
6R WKH GHVLUHG WUDQVIRUPDWLRQ PDWUL[ LV JLYHQ E\
/ b
b
b
b
ZKLFK FDQ EH XVHG LQ ,I ZH ZHUH WR XVH WKH &KROHVN\ GHFRPSRVLWLRQ
WKDW LV 51 & &7 WKHQ & LV JLYHQ E\
&
7KHQ WKH GHVLUHG WUDQVIRUPDWLRQ PDWUL[ LV JLYHQ E\
& b
b
b
b
ZKLFK FDQ EH XVHG LQ
([DPSOH 6XSSRVH WKH QRLVH FRUUHODWLRQ IXQFWLRQ LV JLYHQ DV WKH OLQHDU
FRPELQDWLRQ RI WZR H[SRQHQWLDO W\SH WHUPV
51 L bMLM MLM
IRU L 7KH RQHVLGHG FRUUHODWLRQ YHFWRU LV JLYHQ E\
51 > b b@7
7KH / '/ /+ GHFRPSRVLWLRQ SURYLGHV DQ / PDWUL[ RI WKH IRUP
/
b
b
b b
6R WKH GHVLUHG WUDQVIRUPDWLRQ PDWUL[ LV JLYHQ E\
/b
b
b
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
ZKLFK FDQ EH XVHG LQ ,I ZH ZHUH WR XVH WKH &KROHVN\ GHFRPSRVLWLRQ
WKDW LV 51 & &7 WKHQ & LV JLYHQ E\
&
b
b
b b
7KHQ WKH GHVLUHG WUDQVIRUPDWLRQ PDWUL[ LV JLYHQ E\
& b
b
b
ZLWK DQ ,,5 nOWHU 7KLV QRLVH LV DOVR FDOOHG DQ DXWRUHJUHVVLYH SURFHVV DQG WKH
VKDSLQJ nOWHU LV FDOOHG DQ DOO SROH PRGHO GLVUHJDUGLQJ ]HURV GXH WR WKH WULYLDO
QXPHUDWRU SRO\QRPLDO ZLWK URRWV RQO\ DW WKH RULJLQ
:H DOUHDG\ NQRZ IURP WKH HDUOLHU GLVFXVVLRQ LQ WKLV VHFWLRQ WKDW SURSHU
nOWHULQJ RI WKH FRORUHG QRLVH VHTXHQFH SURGXFHV D ZKLWH QRLVH VHTXHQFH )LJXUH
VKRZV WKH SURFHVVLQJ VWUHDP WR SHUIRUP GHWHFWLRQ RI WKH VLJQDO FRPSR
QHQWV HPEHGGHG LQ FRORUHG *DXVVLDQ QRLVH
+HUH QQ LV D FRORUHG QRLVH VHTXHQFH DQG VL Q LV WKH nOWHUHG VLJQDO
FRPSRQHQW 7R REWDLQ WKH RSWLPDO nOWHU ZHLJKWV RQH KDV WR VROYH WKH :LHQHU
<XOH:DONHU 1RUPDO HTXDWLRQV 7KHVH HTXDWLRQV DUH LQWLPDWHO\ UHODWHG VHH
IRU H[DPSOH >@ :H FDQ VROYH IRU WKH RSWLPDO nOWHU E\ VWXG\LQJ WKH PRGHO LQ
)LJXUH :H KDYH
QQ KQ e Z Q
ZKHUH KQ LV WKH JHQHUDO LPSXOVH UHVSRQVH ZQ LV WKH ZKLWH QRLVH LQSXW
VHTXHQFH DQG QQ LV WKH FRORUHG QRLVH RXWSXW VHTXHQFH :H FDQ H[SUHVV WKH
V\VWHP GLmHUHQFH HTXDWLRQ DV
QQ b
; D ZQ b L
S
L Z Q
L
ZKHUH DL GHQRWHV WKH YDULDEOH KL IRU DOO UHTXLUHG YDOXHV RI L 3RVWPXOWLSO\LQJ
E\ QQ b O DQG WDNLQJ H[SHFWDWLRQ OHDGV WR
51 O b
; D 5 O b L
S
L 1 5: 1 O
L
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
1RZ
5: 1 O ( IZ Q QQ b OJ
( IZ Q
; D ZLKQ b O b LJ
S
L
;}
L
S
: p Q b L KQ b O b L
L
}: KbO
6R EHFRPHV
51
; D 5 bL }
b
S
IRU O
;
L 1 :
L
S
51 b b D 5 bL IRU O
;
L 1
L
S
51 b b D 5 bL L 1 IRU O
L
51 bS b
; D 5 bL S
S
L 1
IRU O S
L
VQ
;b 6N H
1
M { 1 NQ
1 N
6800$5<
&KDSWHU GLVFXVVHV WKH GHWHFWLRQ RI VLJQDOV ZKHQ WKH QRLVH LV QRW ZKLWH EXW
VWLOO *DXVVLDQ $W nUVW GHWHFWLRQ LQ D ZKLWH QRLVH EDFNJURXQG LV UHH[DPLQHG
LQ WKH FRQWH[W RI &21 EDVLV VHWV 7KHQ WKH EDVLV VHWV DUH FKDQJHG XVLQJ
WKH *UDP6FKPLGW SURFHGXUH ,Q 6HFWLRQ WKH *UDP6FKPLGW SURFHGXUH
LV DSSOLHG WR WKH ZKLWH *DXVVLDQ QRLVH FDVH $OO RI WKLV LV XVHG WR IDPLOLDU
L]H WKH UHDGHU ZLWK VHULHV UHSUHVHQWDWLRQV 6HFWLRQ DGGUHVVHV WKH VHULHV
H[SDQVLRQ IRU FRORUHG *DXVVLDQ QRLVH ,Q SDUWLFXODU WKH .DUKXQHQ/RtHYH
H[SDQVLRQ DQG 0HUFHU
V WKHRUHP DUH LQWURGXFHG 6HFWLRQ DSSOLHV WKH FRQ
FHSWV LQWURGXFHG LQ 6HFWLRQ WR WKH FRORUHG *DXVVLDQ QRLVH FDVH OHDGLQJ
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
WR WKH LQWHJUDO HTXDWLRQ ,Q WKLV FRQWH[W WKH ELODWHUDO /DSODFH WUDQV
IRUPDWLRQ LV LQWURGXFHG DQG WKH LQWHJUDO HTXDWLRQV LQ SDUWLFXODU )UHGKROP
LQWHJUDO HTXDWLRQV DUH GLVFXVVHG 7KH /DSODFH WUDQVIRUP LV XVHG WR FRQYHUW
WKH )UHGKROP LQWHJUDO HTXDWLRQ RI WKH nUVW NLQG LQWR D GLmHUHQWLDO HTXDWLRQ
2QH VWDQGDUG SUREOHP LV ZRUNHG RXW WR LOOXVWUDWH WKH VWHSV RI WKH WHFKQLTXH
6HFWLRQ DGGUHVVHV GLVFUHWHWLPH SUREOHPV DQG LQWURGXFHV VRPH RI WKH DO
JRULWKPV XVHG LQ WKH VWDWLVWLFDO GLJLWDO VLJQDO SURFHVVLQJ DUHD 7KLV DOORZV
ZKLWHQLQJ RI WKH GLVFUHWHWLPH FRORUHG QRLVH VHTXHQFH &RQVHTXHQWO\ WKH FRO
RUHG QRLVH EHFRPHV ZKLWH QRLVH WKH VLJQDOV DUH VSHFWUDOO\ VKDSHG DQG WKH
SUREOHP EHFRPHV D VWDQGDUG SUREOHP WKDW LV VROYHG HDUOLHU LQ &KDSWHU
352%/(06
*LYHQ WKH SRZHU VHULHV W W c c c WL L c c c IRU W
D 2EWDLQ WKH *UDP6FKPLGW H[SDQVLRQ IRU WKH nUVW IRXU WHUPV
E 3ORW WKH EDVLV IXQFWLRQV IRU WKH RULJLQDO DQG WKH PRGLnHG IXQFWLRQV
XVLQJ 0$7/$% RU DQ\ RWKHU VRIWZDUH
$VVXPH wN DUH WKH HLJHQYDOXHV DVVRFLDWHG ZLWK WKH NHUQHO 5W W
D 6KRZ
7 =
5W W GW wN
;
N
E 6KRZ = = 7 7
5 W W GW GW
;w
N
N
F 6KRZ LI
b W ~
51
; J WJ ~
L L
L
wL
WKHQ WKH LQWHJUDO
= 7
b W ~ 51 ~ } G~
51 "
5HIHUHQFHV
>@ 3DSRXOLV $ 7KH )RXULHU ,QWHJUDO DQG LWV $SSOLFDWLRQV 1HZ <RUN
0F*UDZ+LOO
>@ -RKQVRQ '( DQG -RKQVRQ -5 0DWKHPDWLFDO 0HWKRGV LQ (QJLQHHU
LQJ DQG 3K\VLFV _ 6SHFLDO )XQFWLRQV DQG %RXQGDU\ 9DOXH 3UREOHPV
1HZ <RUN 7KH 5RQGDOH 3UHVV &R
>@ 7KHUULHQ &: 'LVFUHWH 5DQGRP 6LJQDOV DQG 6WDWLVWLFDO 6LJQDO 3UR
FHVVLQJ (QJOHZRRG &OLmV 1- 3UHQWLFH+DOO
>@ +HOVWURP &: 6WDWLVWLFDO 7KHRU\ RI 6LJQDO 'HWHFWLRQ QG (G
+HDGLQJWRQ +LOO +DOO 2[IRUG /RQGRQ 3HUJDPRQ 3UHVV /WG
>@ .DUKXQHQ . ?8HEHU OLQHDUH 0HWKRGHQ LQ GHU :DKUVFKHLQOLFKNHLWVUHFK
QXQJ $QQDOHV $FDGHPLDH 6FLHQWLDUXP )HQQLFDH 6HULHV $
0DWKHPDWLFD3K\VLFD (QJOLVK WUDQVODWLRQ E\ , 6HOLQ ?2Q
/LQHDU 0HWKRGV LQ 3UREDELOLW\ 7KHRU\ 7KH 5DQG &RUS 'RF 7
$XJXVW
>@ 3DSRXOLV $ 3UREDELOLW\ 5DQGRP 9DULDEOHV DQG 6WRFKDVWLF 3URFHVVHV
1HZ <RUN 0F*UDZ+LOO
>@ 'DYHQSRUW :% DQG 5RRW :/ $Q ,QWURGXFWLRQ WR WKH 7KHRU\ RI
5DQGRP 6LJQDOV DQG 1RLVH 1HZ <RUN 0F*UDZ+LOO
>@ 5LHV] ) DQG 6]1DJ\ % )XQFWLRQDO $QDO\VLV 1HZ <RUN )UHGULFN
8QJDU 3XEOLVKLQJ &RPSDQ\ DOVR UHSULQWHG E\ 'RYHU 3XEOLFDWLRQV
,QF 1HZ <RUN
>@ /RYLWW :9 /LQHDU ,QWHJUDO (TXDWLRQV 1HZ <RUN 0F*UDZ+LOO %RRN
&RPSDQ\ DOVR UHSULQWHG E\ 'RYHU 3XEOLFDWLRQV ,QF 1HZ <RUN
>@ 5RDFK *) *UHHQ
V )XQFWLRQV $Q ,QWURGXFWRU\ 7KHRU\ ZLWK $SSOLFD
WLRQV 1HZ <RUN 9DQ 1RVWUDQG 5HLQKROG &RPSDQ\
>@ /H3DJH :5 &RPSOH[ 9DULDEOHV DQG WKH /DSODFH 7UDQVIRUP IRU (QJL
QHHUV 1HZ <RUN 0F*UDZ+LOO
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
>@ 2SSHQKHLP $9 :LOOVN\ $6 DQG 1DZDE 6+ 6LJQDOV DQ 6\VWHPV
(QJOHZRRG &OLmV 1- 3UHQWLFH+DOO
>@ 2UIDQLGLV 6- 2SWLPXP 6LJQDO 3URFHVVLQJ $Q ,QWURGXFWLRQ QG (G
1HZ <RUN 0DF0LOODQ
>@ +D\HV 0+ 6WDWLVWLFDO 'LJLWDO 6LJQDO 3URFHVVLQJ DQG 0RGHOLQJ 1HZ
<RUN -RKQ :LOH\ 6RQV
>@ 0RRQ 7. DQG 6WLUOLQJ :& 0DWKHPDWLFDO 0HWKRGV DQG $OJRULWKPV
IRU 6LJQDO 3URFHVVLQJ (QJOHZRRG &OLmV 1- 3UHQWLFH+DOO
>@ 0DQRODNLV '* ,QJOH 9. DQG .RJRQ 60 6WDWLVWLFDO DQG $GDS
WLYH 6LJQDO 3URFHVVLQJ 6SHFWUDO (VWLPDWLRQ 6LJQDO 0RGHOLQJ $GDSWLYH
)LOWHULQJ DQG $UUD\ 3URFHVVLQJ 1HZ <RUN 0F*UDZ+LOO
>@ *ROXE *+ DQG 9DQ/RDQ &) 0DWUL[ &RPSXWDWLRQV QG (G %DO
WLPRUH DQG /RQGRQ 7KH -RKQV +RSNLQV 8QLYHUVLW\ 3UHVV
>@ 6ULQDWK 0' 5DMDVHNDUDQ 3. DQG 9LVZDQDWKDQ 5 ,QWURGXFWLRQ
WR 6WDWLVWLFDO 6LJQDO 3URFHVVLQJ ZLWK $SSOLFDWLRQV (QJOHZRRG &OLmV 1-
3UHQWLFH+DOO
>@ 3URDNLV -* DQG 0DQRODNLV '* 'LJLWDO 6LJQDO 3URFHVVLQJ 3ULQFL
SOHV $OJRULWKPV DQG $SSOLFDWLRQV UG (G 8SSHU 6DGGOH 5LYHU 1-
3UHQWLFH+DOO
>@ %RUGD 0 DQG ,VDU ' ?:KLWHQLQJ ZLWK :DYHOHWV 3URF (&&7'
&RQI %XGDSHVW $XJXVW
>@ %DUNDW 0 6LJQDO 'HWHFWLRQ DQG (VWLPDWLRQ /RQGRQ $UWHFK +RXVH
>@ &RKHQ / 7LPH)UHTXHQF\ $QDO\VLV (QJOHZRRG &OLmV 1- 3UHQWLFH
+DOO
&KDSWHU
(VWLPDWLRQ
,1752'8&7,21
,Q SUHYLRXV FKDSWHUV ZH DGGUHVVHG WKH GHWHFWLRQ RI D SDUWLFXODU VLJQDO RU
FRPSRQHQW QRZ ZH ZDQW WR REWDLQ DQ HVWLPDWH RI LWV YDOXH 7KLV FKDSWHU
DWWHPSWV WR RmHU D UXGLPHQWDU\ LQWURGXFWLRQ LQWR WKH WRSLF RI HVWLPDWLRQ WKH
RU\ )RU DGGLWLRQDO GHWDLOV ZH UHIHU WKH UHDGHU WR >^@ $V VKRZQ LQ )LJXUH
ZH FDQ ORRN DW WKH HVWLPDWLRQ SUREOHP DQG LWV VROXWLRQ LQ WZR VWHSV 7KH
nUVW VWHS LV WKH PDSSLQJ RI WKH SDUDPHWHU WKH RQHV WR EH HVWLPDWHG WR WKH
REVHUYDWLRQ VSDFH ZKLOH WKH VHFRQG VWHS LV WKH PDSSLQJ IURP WKH REVHUYDWLRQ
VSDFH WR WKH HVWLPDWLRQ VSDFH 7KH HVWLPDWLRQ RI WKH SDUDPHWHU SURYLGHV D
UXOH DOJRULWKP WR REWDLQ DQ RSWLPDO YDOXH RI WKH SDUDPHWHU RI LQWHUHVW 6LQFH
WKH REVHUYDWLRQV E\ QDWXUH DUH FRUUXSWHG E\ QRLVH WKH REVHUYDWLRQV DUH UDQ
GRP YDULDEOHV $Q\ RSHUDWLRQ RQ WKHVH UDQGRP YDULDEOHV ZLOO UHVXOW LQ D QHZ
UDQGRP YDULDEOH KHQFH SDUW RI WKLV FKDSWHU ZLOO H[DPLQH ZD\V WR DGGUHVV
WKH JRRGQHVV RI WKH SDUWLFXODU HVWLPDWRU LQ TXHVWLRQ :H GLVWLQJXLVK EHWZHHQ
WKH HVWLPDWH DQG WKH HVWLPDWRU LQ WKH VHQVH WKDW WKH HVWLPDWH LV WKH UHVXOW
RI RSHUDWLQJ RQ GDWD ZLWK DQ HVWLPDWRU :H DOVR QRWH WKDW ZH GR DWWDFK WKH
SURSHUWLHV RI WKH HVWLPDWH WR WKDW RI WKH HVWLPDWRU LH DQ XQELDVHG HVWLPDWH
HTXDWHV WR DQ XQELDVHG HVWLPDWRU
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
L {}Q
(VWLPDWLRQ
I D S HbD }D
{}m
I \MDI D
I DM\
I \
1 b 3
< b
1 > \L bD } HbD }D
S H L
Q S
L { }Q
I \ { }D
b } Db} }
3 > \L
1
I DM\ N\ H Q L
ZKHUH
}D }Q
}
1}D }Q
DQG N \ LV D IXQFWLRQ RI \ RQO\
7KH EHVW HVWLPDWH LH 0$3 IRU WKH SDUDPHWHU m LV WKH YDOXH ZKHUH
I DM\ SHDNV ZKLFK KDSSHQV ZKHQ
} 1;
b
D \
}Q L L
KHQFH
} 1;
b
DA0$3 \
}Q L L
1;
b
}D }Q
\L
1}D
} }
Q Q L
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
;
1 b
}D
\
}D }Q 1 1 L L
:H QRWH LI }D }Q 1 WKHQ
1;
b
DA0$3 { \L WKH VDPSOH PHDQ
1 L
0/ (VWLPDWLRQ
0/ HVWLPDWLRQ LV DQ RSWLPL]DWLRQ WHFKQLTXH WKDW PD[LPL]HV WKH OLNHOLKRRG
IXQFWLRQ I \Mm LH nQGV WKH SHDN RI WKH OLNHOLKRRG IXQFWLRQ DV VKRZQ LQ
)LJXUH
7KLV LV H[SUHVVHG DV
PD[ I \Mm
Im J
$V LV REYLRXV LQ WKH 0$3 HVWLPDWRU GHnQLWLRQ RQH FDQ ORRN DW WKH 0/
HVWLPDWRU DV D YHUVLRQ RI WKH 0$3 HVWLPDWRU LQ ZKLFK WKH 3') RI m LH I m
KDV QR HmHFW RQ WKH DFWXDO RXWFRPH 7KH 0/ HVWLPDWRU GRHV QRW UHTXLUH D
FRVW IXQFWLRQ QRU WKH 3') RI I m
([DPSOH *LYHQ
\L D QL L ccc1 b
QL z 1 }Q
L L G
L { }Q
(VWLPDWLRQ
RU HTXLYDOHQWO\ PLQLPL]H WKH ORJDULWKP RI I \MD LH PLQ OQ I \MD 7KH
QDWXUDO ORJDULWKP RI I \MD FDQ EH ZULWWHQ DV
1;
b
\L b D
OQ I \MD Nb
}Q
L
RU
1;
b
\L b D
L
RU nQDOO\
1;
b
DA0/ \L WKH VDPSOH PHDQ
1 L
%D\HV
(VWLPDWRU
7KH %D\HV
HVWLPDWRU XVHV DQ DYHUDJH FRVW IXQFWLRQ ZKLFK ZLOO EH PLQLPL]HG
7KH FRVW RI DQ HUURU LV GHnQHG DV & mH ZKLFK LV D QRQQHJDWLYH WHUP WKDW
LV D IXQFWLRQ RI WKH HVWLPDWH DQG LWV WUXH YDOXH LH & mH & m mA 7KH
DYHUDJH FRVW LV GHnQHG DV
==
& mA & m mA I mM\ I \ G\ Gm
;
0 ;
b 0 b
& &LM I 'L M+L 3 UKM
L M
JXDUG EDQG c $V WKH QDPH LPSOLHV WKH TXDGUDWLF FRVW )LJXUH F ZLOO
SHQDOL]H DQ\ HUURU SURSRUWLRQDO WR WKH VTXDUH RI WKH HUURU 2I WKH WKUHH FRVW
IXQFWLRQV WKH TXDGUDWLF FRVW XVXDOO\ LV WKH RQH WKDW ZLOO EH XVHG 7KH PDLQ
UHDVRQV DUH
E 7KH HUURU WKDW LV SURGXFHG LV WKH PLQLPXP PHDQ VTXDUHG HUURU 006(
m
7KH HVWLPDWRU A WKDW PLQLPL]HV WKH WRWDO FRVW & mA LV FDOOHG WKH %D\HV
HVWLPDWRU 7KH WRWDO FRVW LV PLQLPL]HG E\ PLQLPL]LQJ & mAM\ 8VLQJ WKH
SUHIHUUHG FRVW IXQFWLRQ LH WKH TXDGUDWLF FRVW WKH FRQGLWLRQDO FRVW
EHFRPHV =
& mA M\ m b mA I mM\ Gm
#
= #
& mA M\ m mA I m \ Gm
# mA # mA
b M
RU
#
=
& mA M\ m b mA I mM\ Gm
# mA
7KLV FDQ EH VROYHG WR VKRZ WKDW WKH EHVW HVWLPDWRU LV WKH FRQGLWLRQDO
PHDQ DV VKRZQ E\
= =
mA I mM\ Gm m I mM\ Gm
RU =
mA m I mM\ Gm ( ImM\J
,I WKH PHDQ RI WKH HVWLPDWH HTXDOV WKH WUXH YDOXH WKHQ WKH HVWLPDWH LV XQEL
DVHG 7KH GLmHUHQFH EHWZHHQ WKH WUXH YDOXH DQG WKH H[SHFWHG YDOXH LV FDOOHG
WKH ELDV
OLP 3 U IAD b D ! qJ
1
m
7KH XQELDVHG HVWLPDWH A LV WKH PLQLPXP YDULDQFH HVWLPDWH A 09 LI m
m
YDU A 09 m
YDU A DQ\ RWKHU HVWLPDWLRQ VFKHPH
(VWLPDWLRQ
}mA w t u | # OQ I \ m }
b
# OQ I \ m (
M
(
M
#m #m
$Q XQELDVHG HVWLPDWH WKDW PHHWV WKH &5 ERXQG LV FDOOHG DQ HpFLHQW HVWLPDWH
([DPSOH /HW XV UHH[DPLQH ([DPSOH WKH PD[LPXP OLNHOLKRRG HVWL
PDWRU RI WKH PHDQ DQG HYDOXDWH LWV H[SHFWHG YDOXH DQG LWV YDULDQFH
1;
b
DA0/ \L
1 L
1;
b
( IDA0/ J ( I\L J ZKHUH ZH XVH ( \L A (\
1 L
1;
b
D D
1 L
1;
b
DA0/ \L LV DQ XQELDVHG HVWLPDWH
1 L
Q R
D
YDU A0/ ( AD0/ b ( IDA0/ J
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
; ; ;
( \L \L
1 L M 1 L ( \L
I J b I J
!
!
1 1 ( \ 1( \ 1 ( \
1 !
_ Rm GLDJRQDO
^] ` _ ^] ` !
b I J I J b I J
j k
( I\ J b ( I\J
1
YDU\ }
1 1 Q
KHQFH ZH FDQ VD\ WKDW
1;
b
DA0/ \L LV D FRQVLVWHQW HVWLPDWH
1 L
7R VHH LI WKH VDPSOH PHDQ LV DOVR DQ HpFLHQW HVWLPDWH ZH ZLOO REWDLQ WKH
&5 ERXQG
1;
b
# # \L b D
OQ I \ MD Nb
#D #D L }Q
1;
b
b b \L b D
}
Q
L
1;
b
\L b D
}Q L
# OQ I \MD # 1; b
\ b D
#D #D }Q L L
1;
b
1
b
}Q L
b
}Q
7KH &5 ERXQG LV JLYHQ E\
}Q
b | #
} b
1 1
( OQ I \MD b
}Q
#m
(VWLPDWLRQ
7KH YDULDQFH RI WKH HVWLPDWRU YDU A0/D }Q 1 KHQFH WKH VDPSOH PHDQ LV
DQ HpFLHQW HVWLPDWH
RU = 7 \W VW m #
I \MD VW m GW
b
PLQ OQ
1 } #m
D 6XSSRVH VW m mVW ZKHUH VW LV NQRZQ KHQFH WKH SDUWLDO GHULYD
WLYH EHFRPHV
# #
VW m mVW VW
#m #m
KHQFH ZH PLQLPL]H WKH ORJDULWKP RI WKH FRQGLWLRQDO 3') YLD
=7
\W
b mVW VWGW
RU =7
\W VW GW
mA0/ =7
VW VW GW
1RWH WKLV LV WKH FURVVFRUUHODWLRQ RI \W DQG VW QRUPDOL]HG E\ WKH
DXWRFRUUHODWLRQ FRHpFLHQW RI VW
E 6XSSRVH VW m $ FRV W m ZKHUH DQG $ DUH NQRZQ DQG m
WKH SKDVH DQJOH LV WKH GHVLUHG XQNQRZQ SDUDPHWHU 7KHQ WKH SDUWLDO
GHULYDWLYH EHFRPHV
# #
VW m $ FRV W m
#D #m
b$ VLQ m
= = #I \ m
I \Mm G\ m b m G\
M
b A
b b #m
(VWLPDWLRQ
t= u = =
J[ K[ G[ J [ G[
K [ G[
b b
ZKHUH WKH WHUPV DUH HTXDO ZKHQ J[ LV OLQHDUO\ UHODWHG WR K[ $SSO\LQJ WKH
6FKZDU] LQHTXDOLW\ WR OHDGV WR
=t# u =
OQ I \Mm I \MmG\ m b m I \Mm G\ w
A
b #m b
5
8VLQJ WKH GHnQLWLRQ IRU WKH PRPHQW RI WKH IXQFWLRQ RI D UDQGRP YDULDEOH
VD\ ( IJ[J J[I [G[ ZH REWDLQ
( mA b m w t
u
#
( OQ I \Mm
#m
$Q HTXLYDOHQW GHnQLWLRQ IRU WKH &5 ERXQG LV JLYHQ LQ 7KH GHULYD
WLRQ LV QRW JLYHQ KHUH WKH LQWHUHVWHG UHDGHU LV UHIHUUHG WR >@ 7KH VHFRQG
IRUP RI WKH &5 ERXQG LV JLYHQ E\
}mA w | # OQ I \ m }
b
(
M
#m
D )LOWHULQJ
7KLV WHFKQLTXH VHH )LJXUH XVHV DOO SDVW DQG WKH FXUUHQW GDWD LQ
IRUPDWLRQ $V WKH QDPH LPSOLHV nOWHULQJ PDQLSXODWHV FXUUHQW DQG SDVW
LQIRUPDWLRQ GDWD WR REWDLQ DQ RSWLPDO HVWLPDWH RI WKH WUXH PHVVDJH
YDOXH DW WLPH W
E 3UHGLFWLQJ
W
3UHGLFWLQJ XVHV DOO LQIRUPDWLRQ DYDLODEOH DW WLPH MXVW DV WKH nOWHULQJ
RSHUDWLRQ GRHV 7R REWDLQ DQ RSWLPDO SUHGLFWHG YDOXH RI WKH PHVVDJH
RU VLJQDO VRPH q VHFRQGV LQWR WKH IXWXUH LW XVHV SDVW DQG SUHVHQW LQ
IRUPDWLRQ )LJXUH VKRZV WKH JHRPHWU\ RI WKH SUHGLFWLQJ SURFHVV
F 6PRRWKLQJ
+LVWRULFDOO\ WZR GLmHUHQW VROXWLRQV KDYH EHHQ IRUPXODWHG 7KH nUVW RQH
LV REWDLQHG LQ WKH IUHTXHQF\ GRPDLQ ZKLOH WKH VHFRQG RQH LV REWDLQHG LQ WKH
WLPH GRPDLQ 7KH IUHTXHQF\ GRPDLQ DSSURDFK ZDV IRUPXODWHG E\ :LHQHU
>@ DQG OHDGV WR D GHVFULSWLRQ RI WKH RSWLPDO SURFHVVRU LQ WHUPV RI VHFRQG
RUGHU PRPHQWV LH FRUUHODWLRQ RU VSHFWUDO SURSHUWLHV >@ 7KH HVWLPDWH
LV QRQUHFXUVLYH 7KH WLPH GRPDLQ DSSURDFK ZDV IRUPXODWHG E\ .DOPDQ >@
DQG LV EDVHG RQ DQ XSGDWH RI WKH HVWLPDWH D JDLQ IDFWRU DQG DQ HUURU FULWHULRQ
)RU WKH GLVFUHWHWLPH FDVH WKH JRYHUQLQJ HTXDWLRQ IRU nOWHULQJ LV RI WKH IRUP
VAQ j VAQ b . Q >\Q b & j VAQ b @
ZKHUH j DQG & DUH WKH VWDWH WUDQVLWLRQ DQG REVHUYDWLRQ PDWULFHV UHVSHFWLYHO\
AQ b LV WKH HVWLPDWH DW WKH SUHYLRXV VDPSOH LQVWDQW WKH WHUP
7KH TXDQWLW\ V
\Q b & j VAQ b FRUUHVSRQGV WR WKH HUURU RFFXULQJ DW WLPH Q DQG . Q
LV WKH WLPH YDU\LQJ .DOPDQ JDLQ 7KH HVWLPDWH LV UHFXUVLYH LQ QDWXUH 0DQ\
ERRNV IRFXV RQ WKH .DOPDQ nOWHULQJ WHFKQLTXH VHH IRU H[DPSOH >@
ZKHUH 006( GHQRWHV WKH PLQLPXP PHDQ VTXDUHG HUURU JW LV WKH GHVLUHG
JW
TXDQWLW\ DQG A LV LWV HVWLPDWH ,Q RXU SUREOHPV WKH GDWD LV RI WKH IRUP
\W VW QW W7
7KH LQWHUYDO LV > 7 @ EXW FDQ HDVLO\ EH DGDSWHG WR DQ\ LQWHUYDO > W WI @ DQG
WKH GHVLUHG TXDQWLW\ LV
JW VW m m ! D SUHGLFWLQJ SUREOHP
JW VW D nOWHULQJ SUREOHP
JWVW m m W 7 D VPRRWKLQJ SUREOHP
([DPSOH *LYHQ \W SUHGLFW \W m IRU m !
JW \W m
JAW \AW m D \W
Q R Q R
PLQ ( JW b JAW PLQ ( \W m b D \W
ID J ID J
PLQ -
ID J
(VWLPDWLRQ
Q R
ZKHUH - ( \ W m b D \W
6HWWLQJ
#-
#D
SURGXFHV
( I\W m b D \W b\WJ
RU
5< m b D 5<
KHQFH
5< m
DA066(
5<
006( LV JLYHQ E\
Q
R
006( ( JW JW
b A
Q R
( \ W m b D \W
t u
5 m
( \W m b \ \W
5\
t 5 m u 5< m
5< < 5
5 m
< b
5< 5< <
5 m b 5< m
5< <
5<
5 m
5< b <
5<
1RWH WKH FRUUHODWLRQ IXQFWLRQ 5< c FDQ EH VLPSOLnHG WR 5< c 56 c
51 c LI WKH SURFHVVHV VW DQG QW DUH VWDWLVWLFDOO\ LQGHSHQGHQW
7KH RUWKRJRQDOLW\ SULQFLSOH >@ D FRPSDFW YHUVLRQ RI PLQLPL]LQJ WKH
PHDQ VTXDUHG HUURU VD\V
HUURU \W m b D \W
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
KHQFH
( IHUURU c GDWDJ ( I\W m b D \W \WJ
RU
( I\W m\WJ b D ( \W\W
5< m b D 5<
DQG WKH RSWLPDO VROXWLRQ LV JLYHQ E\
5< m
DA006(
5<
7KH 006( LV JLYHQ E\
006( ( IHUURU c TXDQWLW\ WR EH HVWDEOLVKHGJ
|t 5< m
u }
( \W m b \W \ W m
5<
5 m
5< b <
5<
:H QRWH WKDW WKH VDPH UHVXOWV DUH REWDLQHG DV LQ WKH SUHYLRXV H[DPSOH
([DPSOH *LYHQ \W VW QW ZH ZDQW WR nQG WKH EHVW HVWLPDWH RI
VW XVLQJ \W LH VAW D \W
( IHUURU c GDWDJ ( IVW b D \W \WJ
( VW\W b D ( \W\W
KHQFH
56< 56 561
DA006(
5< 56 51 561 516
56
56 51
LI VLJQDO DQG QRLVH DUH VWDWLVWLFDOO\ LQGHSHQGHQW $VVXPLQJ WKDW VLJQDO QRLVH
DUH VWDWLVWLFDOO\ LQGHSHQGHQW WKH 006( LV JLYHQ E\
|t 5
u }
006( ( VW b 6< \W VW
5<
5
56 b 6< 5< 6
5<
56 56 51
56 b
56 51 56 51
(VWLPDWLRQ
66< I b + I 6< I
ZKHUH 66< I DQG 6< I DUH WKH FURVV DQG DXWRSRZHU VSHFWUDO GHQVL
WLHV UHVSHFWLYHO\ 7KH RSWLPDO QRQFDXVDO nOWHU LV JLYHQ E\
66< I 666 I
+ I
6< I 66 I 61 I
LI VLJQDO DQG QRLVH DUH VWDWLVWLFDOO\ LQGHSHQGHQW DQG
KA W )
b I+ I J
E 6XSSRVH
=W
VAW \W b ~ K~ G~
|t =W u }
( VW b \W b ~ K~ G~ \W b m m W
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
=W
56< m b K~ 5< m b ~ G~
ZKLFK QHHGV WR EH VROYHG IRU KA W
7KH 006( LV JLYHQ E\
|t =W u }
006( ( VW b \W b ~ K~ G~ VW
=W
56 b K~ 5< ~ G~
DQG
( IVW m b D VW E VW VWJ
7KLV OHDGV WR
566 m b D 566 b E 566
DQG
566 m b D 566 b E 566
566 m b E 566
566 m
DA006(
566
566 m
E006(
A
566
7KH 006( LV JLYHQ E\
006( ( IVW m b D VW b E VW VW mJ
566 b D 566 m b E 566 m
ZKHUH ZH LQVHUW WKH RSWLPDO YDOXHV IRU D DA006( DQG E E006(
A IURP WKH
RSWLPDO VROXWLRQV VHW
(VWLPDWLRQ
D 7KH H[SHFWHG YDOXHV RI WKH HUURU DQG WKH GDWD DUH RUWKRJRQDO
( IqQ \M J M ccc1 b
006( ( IqQJQJ
;
0 b
VAQ KL \Q b L Q ccc1 b
L
qQ VAQ b VQ
( IqQ \Q b M J M ccc1 b
RU 0 b
;
( KL \Q b L b VQ \Q b M
L
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
KHQFH
;
0 b
KL 5< M b L b 56< M
L
RU
;
0 b
KL 5< M b L 56< M
L
,Q PDWUL[ IRUP ZH KDYH
5< 5< b ccc 5< b0 K
%
% 5< 5< 5< b0 &
& % K &
&% &
ccc
%
# % $# &
$
5< 0 b 5< 0 b ccc 5< K0 b
56<
%
% 56< &
&
%
# &
$
56< 0 b
RU
5K U
ZKHUH 5 LV WKH DXWRFRUUHODWLRQ PDWUL[ RI \
K K K c c c K0 b @7
>
DQG
U 56 56 c c c 56 0 b @7
>
7KH RSWLPDO ),5 nOWHU ZHLJKWV LQ WKH 006( VHQVH DUH JLYHQ E\
K 5b U
7KH 006( LV JLYHQ E\
006( (qQ VQ
;
0 b
( VQ b KL\Q b L VQ
L
;
0 b
56 b KL 5< 6 bL
L
;
0 b
56 b KL 566 L
L
(VWLPDWLRQ
U 56 56 c c c 56 0 b @7
>
;
0 b
56 b KL 56 L
L
1RWH ZH FRXOG KDYH FRPSXWHG D WRWDO 006 HUURU E\ DFFRXQWLQJ IRU WKH 006
HUURU DW HYHU\ WLPH LQFUHPHQW Q 1RWH ZH RQO\ H[DPLQHG WKH ),5 :LHQHU
nOWHU VROXWLRQ 2QH FDQ DOVR DGGUHVV SUREOHPV ZKHUH WKH :LHQHU nOWHU LV RI WKH
,,5 IRUP $ QRQFDXVDO VROXWLRQ LV VLPSOH 7KH FDXVDO VROXWLRQ LV REWDLQHG
XVLQJ ZKDW LV FDOOHG WKH :LHQHU+RSI WHFKQLTXH 'HWDLOV FDQ EH IRXQG LQ
>@ ZKLFK UHTXLUH IDFWRUL]DWLRQ RI WKH 36'
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
6800$5<
&KDSWHU VHUYHV DV DQ LQWURGXFWLRQ WR WKH DUHD RI HVWLPDWLRQ :H XVH HVWL
PDWLRQ LQ VRPH GHWHFWLRQ SUREOHPV LH XVH WKH HVWLPDWH LQ SODFH RI WKH WUXH
YDOXH LQ WKH QXLVVDQFH GHWHFWLRQ SUREOHPV :LHQHU nOWHUV DUH GLVFXVVHG LQ
VRPH GHWDLO ZKLOH .DOPDQ nOWHUV DUH PHQWLRQHG IRU FRPSOHWHQHVV VDNH %RWK
W\SHV RI nOWHUV DUH YHU\ LPSRUWDQW SURFHVVLQJ WRROV LQ WKH VLJQDO SURFHVVLQJ
FRPPXQLFDWLRQV DQG FRQWURO DUHDV 6HFWLRQ DGGUHVVHV WKH EDVLF FODVVHV
LH 0$3 0/ DQG %D\HV
RI HVWLPDWRUV ZKLFK DUH GHWDLOHG LQ GLmHUHQW
VXEVHFWLRQV ,Q 6HFWLRQ ZH GHnQH VHYHUDO HOHPHQWDU\ SURSHUWLHV WKDW DUH
XVHG LQ LGHQWLI\LQJ WKH FKDUDFWHULVWLFV RI WKH HVWLPDWH 7KHVH GHnQLWLRQV DUH
EDVLF RQHV ,Q ERRNV VSHFLDOL]LQJ RQ HVWLPDWLRQ WKHRU\ DGGLWLRQDO GHnQLWLRQV
FDQ EH IRXQG 6HFWLRQ GHULYHV WKH &5 ERXQG IRU WKH QRQUDQGRP XQELDVHG
SDUDPHWHU FDVH ,Q 6HFWLRQ ZH IRFXV RQ ZDYHIRUP HVWLPDWLRQ LH SUH
GLFWLQJ nOWHULQJ DQG VPRRWKLQJ :LHQHU nOWHULQJ LV LOOXVWUDWHG XVLQJ VLPSOH
H[DPSOHV )LQDOO\ WKH :LHQHU nOWHU LV H[DPLQHG LQ WKH GLVFUHWHWLPH FDVH DQG
GHPRQVWUDWHG ZLWK D :LHQHU ),5 nOWHU H[DPSOH
352%/(06
:H HVWLPDWH WKH VHFRQG PRPHQW RI D ]HUR PHDQ ZKLWH *DXVVLDQ VHTXHQFH
XVLQJ
1;
b
= [ Q
1Q
ZKLFK LV DQ HVWLPDWH RI WKH VHFRQG RUGHU PRPHQW
\Q b ))7 b < N b
PDJQ VT QRUPDOL] b 1 M< NM
'HWHUPLQH ZKHWKHU RU QRW WKLV HVWLPDWRU LV ELDVHG VKRZ ZRUN
*LYHQ QL IRU L c c c 1 b
ZKHUH QL DUH LLG *DXVVLDQ
UDQGRP YDULDEOHV ZLWK ]HUR PHDQ DQG D YDULDQFH RI }
D 2EWDLQ WKH 0/ HVWLPDWH RI WKH YDULDQFH RI WKH VHTXHQFH GHQRWHG
E\ }0/
DVVXPH WKH WUXH PHDQ LV ]HUR
7KH UDQGRP SURFHVVHV [W DQG \W DUH UHDO YDOXHG DQG MRLQWO\ *DXVVLDQ
ZLWK ]HUR PHDQV LH I [W\V I [WI \V IRU DOO W DQG V
/HW
V GHnQH WKH HVWLPDWH RI WKH FURVVFRUUHODWLRQ IXQFWLRQ EDVHG RQ WKH
WLPH DYHUDJH DV
=
U;< ~ 7 [W\W ~ GW
E :KDW LV WKH YDULDQFH RI WKLV HVWLPDWRU VKRZ DOO ZRUN" 8VHIXO
KLQW
=7=7 =7t XM
u
JW b VGW GV
M
b JX GX
b7 b7 b7 7
5HIHUHQFHV
>@ 6DJH $3(VWLPDWLRQ 7KHRU\ ZLWK $SSOLFDWLRQV WR &RPPXQLFDWLRQV
DQG &RQWURO 1HZ <RUN 0F*UDZ+LOO
>@ .D\ 60 )XQGDPHQWDOV RI 6WDWLVWLFDO 6LJQDO 3URFHVVLQJ (VWLPDWLRQ
7KHRU\ (QJOHZRRG &OLmV 1- 3UHQWLFH+DOO
>@ -D]ZLQVNL $+ 6WRFKDVWLF 3URFHVVHV DQG )LOWHULQJ 7KHRU\ 1HZ <RUN
$FDGHPLF 3UHVV
>@ 1DKL 1( (VWLPDWLRQ 7KHRU\ DQG $SSOLFDWLRQV 1HZ <RUN -RKQ :L
OH\ 6RQV
>@ YDQ 7UHHV +/ 'HWHFWLRQ (VWLPDWLRQ DQG 0RGXODWLRQ 7KHRU\ 3DUW
1HZ <RUN -RKQ :LOH\ 6RQV
>@ :DLQVWDLQ /$ DQG =XEDNRY 9' ([WUDFWLRQ RI 6LJQDOV IURP 1RLVH
1HZ <RUN 'RYHU 3XEOLFDWLRQV ,QF
>@ %URZQ 5* DQG +ZDQJ <& ,QWURGXFWLRQ WR 5DQGRP 6LJQDOV DQG
$SSOLHG .DOPDQ )LOWHULQJ UG (G 1HZ <RUN -RKQ :LOH\ 6RQV
>@ 7KHUULHQ &: 'LVFUHWH 5DQGRP 6LJQDOV DQG 6WDWLVWLFDO 6LJQDO 3UR
FHVVLQJ (QJOHZRRG &OLmV 1- 3UHQWLFH+DOO
>@ +D\HV 0+ 6WDWLVWLFDO 'LJLWDO 6LJQDO 3URFHVVLQJ DQG 0RGHOLQJ 1HZ
<RUN -RKQ :LOH\ 6RQV
>@ 0RRQ 7. DQG 6WLUOLQJ :& 0DWKHPDWLFDO 0HWKRGV DQG $OJRULWKPV
IRU 6LJQDO 3URFHVVLQJ (QJOHZRRG &OLmV 1- 3UHQWLFH+DOO
>@ 0DQRODNLV '* ,QJOH 9. DQG .RJRQ 60 6WDWLVWLFDO DQG $GDS
WLYH 6LJQDO 3URFHVVLQJ 6SHFWUDO (VWLPDWLRQ 6LJQDO 0RGHOLQJ $GDSWLYH
)LOWHULQJ DQG $UUD\ 3URFHVVLQJ 1HZ <RUN 0F*UDZ+LOO
>@ %DUNDW 0 6LJQDO 'HWHFWLRQ DQG (VWLPDWLRQ /RQGRQ $UWHFK +RXVH
>@ .DPHQ (: DQG 6X -. ,QWURGXFWLRQ WR 2SWLPDO (VWLPDWLRQ /RQ
GRQ 6SULQJHU9HUODJ
$SSOLFDWLRQV WR 'HWHFWLRQ
3DUDPHWHU (VWLPDWLRQ DQG
&ODVVLnFDWLRQ
,1752'8&7,21
7KLV FKDSWHU LQWURGXFHV VRPH RI WKH PRGHUQ VLJQDO SURFHVVLQJ LGHDV DOJR
ULWKPV WKDW FDQ EH XVHG WR SHUIRUP GHWHFWLRQ DQGRU SDUDPHWHU HVWLPDWLRQ
$V ZDV GLVFXVVHG LQ WKH HDUOLHU FKDSWHUV WKH EDVLF LGHD LV WR IRFXV WKH HQHUJ\
RU SRZHU RI WKH VLJQDO RI LQWHUHVW DW RQH ORFDWLRQ LQ WKH GHFLVLRQ RU HVWL
PDWLRQ VSDFH ZKLOH VSUHDGLQJ QRLVH LQWHUIHUHQFH DQG MDPPLQJ DV PXFK DV
SRVVLEOH LQ WKH DGRSWHG FRRUGLQDWH V\VWHP 8VXDOO\ WKH GLVFXVVLRQV ZLOO GHDO
ZLWK HQHUJ\ ([WHQVLRQV WR SRZHU DUH HDVLO\ REWDLQHG E\ QRUPDOL]LQJ E\ WKH
OHQJWK WKDW LV E\ WKH QXPEHU RI VDPSOHV LQYROYHG 3RZHU LV MXVW QRUPDOL]HG
HQHUJ\ 1RUPDOL]LQJ WKH HQHUJ\ UHTXLUHV RQH PRUH GLYLVLRQ SHU RXWSXW GDWD
SRLQW KHQFH LI ZH FDQ VDYH LQ WKH SURFHVVLQJ HmRUW LH GR QRW QRUPDOL]H
ZH SUHIHU WR GR VR ,I WKH HQHUJ\ DW VRPH ORFDWLRQ H[FHHGV D JLYHQ WKUHVKROG
WKHQ GHWHFWLRQ KDV WDNHQ SODFH DQG HVWLPDWLRQ FDQ WDNH SODFH
$OO RI WKH DSSOLFDWLRQV GHDO ZLWK GLVFUHWHWLPH GDWD LH GLVFUHWHWLPH SUR
FHVVHV RU VHTXHQFHV VLQFH E\ GHnQLWLRQ DQ DSSOLFDWLRQ LPSOLHV XVLQJ KDUGZDUH
DQGRU VRIWZDUH WR SURFHVV WKH GDWD 7KHUH DUH VRPH DQDORJ W\SH GHWHFWRUV
EXW WKH VSHHG VL]H SRZHU FRQVXPSWLRQ HUURU FRUUHFWLRQ DQG VWRUDJH DELOLWLHV
DQG UREXVWQHVV WR SK\VLFDO SHUWXUEDWLRQ LH KHDW VKRFN DJH GHWHULRUDWLRQ
PDNH GLJLWDO LPSOHPHQWDWLRQV WKH SUHIHUUHG FKRLFH ,W LV GLpFXOW WR VZLWFK DQD
ORJ GHYLFHV IURP RQH SURFHVVLQJ MRE WR DQRWKHU GXH WR DQ HOHFWURQLF FKDUJH
EXLOGXS RU UHPRYDO )RU GLJLWDO LPSOHPHQWDWLRQV D SURFHVVLQJ MRE FKDQJH
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
LH XVH GDWD IURP D GLmHUHQW VHQVRU RU WR REWDLQ D GLmHUHQW FRPSXWDWLRQDO
UHVXOW UHTXLUHV RQO\ WKH WHPSRUDU\ VWRUDJH RI LQWHUPHGLDWH UHVXOWV LQ VRPH
PHPRU\ GHYLFH 5$0 KDUG GULYH HWF >^@ :H QRWH WKDW LQ WKH OLWHUD
WXUH WKH GLVFXVVLRQ RI PRVW RI WKH DOJRULWKPV DUH GRQH XVLQJ FRQWLQXRXV WLPH
DUJXPHQWV LH FRQWLQXRXV WLPH FRQWLQXRXV IUHTXHQF\ HWF &ORVHG IRUP
H[SUHVVLRQV DUH PXFK PRUH UHDGLO\ REWDLQHG E\ XVLQJ DQDORJ UDWKHU WKDQ GLV
FUHWH DUJXPHQWV 7\SLFDOO\ ZH VKRZ RQO\ GLVFUHWH SURFHVVLQJ VFKHPHV VLQFH
WKRVH DUH WKH RQHV WKDW GR JHW LPSOHPHQWHG 7KHUH LV VXpFLHQW LQIRUPDWLRQ
SURYLGHG VR WKDW WKH UHDGHU ZLOO JHW IDPLOLDU ZLWK WKH SURFHVVLQJ VFKHPHV 7R
IXOO\ XQGHUVWDQG WKHVH DOJRULWKPV ZH UHIHU WKH UHDGHU WR WKH UHIHUHQFHV ,Q
HDUOLHU FKDSWHUV ZH XVHG H[SM{NQ WR GHQRWH DQ H[SRQHQWLDO WHUPV 1RZ ZH
SUHIHU WR XVH WKH PRUH FRPSDFW QRWDWLRQ HM {NQ LQ WKLV FKDSWHU :H GHnQH
WKH FRUUHODWLRQ IXQFWLRQ EDVHG RQ WKH WLPH DYHUDJH DV JLYHQ LQ 3UREOHP
WKDW LV IRU D SRVLWLYH ODJ WKH VHFRQG YDULDEOH XVHV D SRVLWLYH VKLIW
ZKHUH N GHQRWHV WKH VSHFWUDO ORFDWLRQ DQG 1 LV WKH LQWHJUDWLRQ RU GDWD OHQJWK
7R VSHHG XS WKH RSHUDWLRQ FRPSDUH ZLWK WKH QRUPDOL]DWLRQ KDV
EHHQ OHIW RXW ,I WKH QHHG DULVHV ZH FDQ DOZD\V QRUPDOL]H 7KH EORFN GLDJUDP
IRU WKH SHULRGRJUDP LV JLYHQ LQ )LJXUH
,Q D JLYHQ ELQ ZKHQ D VLJQDO LV SUHVHQW WKH ELQ
V RXWSXW ZLOO EH JRYHUQHG
E\ D QRQFHQWUDO FKLVTXDUHG SUREDELOLW\ GHQVLW\ IXQFWLRQ :H DOVR NQRZ
WKDW IRU ZKLWH *DXVVLDQ QRLVH WKH ELQ
V 3') LV RI DQ H[SRQHQWLDO IRUP DOVR
FDOOHG FKLVTXDUHG ZLWK WZR GHJUHHV RI IUHHGRP 7KH PHDQ RI WKH H[SRQHQWLDO
$SSOLFDWLRQV
3') HTXDOV WR RQH VWDQGDUG GHYLDWLRQ VHH WKH SUREDELOLW\ VXPPDU\ WDEOH
LQ $SSHQGL[ ' +HQFH ZH FDQ WDON DERXW WKH SUREDELOLW\ RI GHWHFWLRQ DQG
WKH SUREDELOLW\ RI IDOVH DODUP :H DOVR NQRZ LI ZH WDNH WKH DYHUDJH RI WKH
QRLVH RQO\ EDFNJURXQG DFURVV WKH ELQV WKUHH DQG PRUH VWDQGDUG GHYLDWLRQV RI
SHDN WR QRLVH PHDQ VHSDUDWLRQ DUH UHTXLUHG WR KDYH D UHDVRQDEOH IDOVH DODUP
UDWH 2QH FRXOG REWDLQ DQ H[DFW WKUHVKROG EDVHG RQ WKH QRLVH RQO\ 3') WR
JXDUDQWHH D GHVLUHG IDOVH DODUP UDWH DQG KHQFH GHWHUPLQH WKH SUREDELOLW\ RI
GHWHFWLRQ EDVHG RQ WKH SUHYDLOLQJ 615 OHYHO
7KH SURFHVVLQJ JDLQ RI WKH SHULRGRJUDP LV HVVHQWLDOO\ G% SHU GRXEOLQJ
RI WKH ))7 OHQJWK SURYLGHG WKH VLQXVRLG XQGHU LQYHVWLJDWLRQ VWD\V LQ RQH
VSHFWUDO ELQ ZKHUH WKH VSHFWUDO ELQ ZLGWK LV KDOYHG HYHU\ WLPH WKH LQWHJUDWLRQ
WLPH LV GRXEOHG LH GRXEOH WKH ))7 VL]H $OO VSHFWUDO FRPSRQHQWV LQFOXGLQJ
VWDEOH VLQXVRLGV KDYH DQ LQKHUHQW IUHTXHQF\ VWDELOLW\ DQG EDQGZLGWK ,I WKH
VLQXVRLG LV WLPH OLPLWHG WKHQ WKH VSHFWUDO SHDN RI WKH VLQXVRLG KDV D EDQGZLGWK
LQYHUVHO\ SURSRUWLRQDO WR WKH GXUDWLRQ ,Q D VLWXDWLRQ OLNH WKLV H[FHHGLQJ WKH
LQWHJUDWLRQ WLPH ZLOO DGG DGGLWLRQDO QRLVH WR WKH LQWHJUDWLRQ SURFHVV GXULQJ
WKH WLPH HSRFK ZKHQ WKH VLJQDO GLVDSSHDUV (YHQ LI WKH VLJQDO H[LVWV IRU WKH
GXUDWLRQ RI WKH WUDQVIRUP WKH ELQ ZLGWK PD\ EH VR VPDOO WKDW WKH IUHTXHQF\ RI
WKH VLQXVRLG ZDQGHUV RXWVLGH LWV VSHFWUDO ELQ :KHQ VLJQDO HQHUJ\ LV GLYHUWHG
RXWVLGH WKH SULQFLSOH VSHFWUDO ELQ WKHQ WKH VSHFWUDO UHSUHVHQWDWLRQ VXmHUV
IURP ZKDW LV FDOOHG RYHUUHVROYLQJ
6SHFWURJUDP
7KH VSHFWURJUDP DOORZV PXOWLSOH ORRNV RI WKH VSHFWUDO FRQWHQW DV D IXQFWLRQ
RI WLPH 7KH DOJRULWKP GLVUHJDUGLQJ WKH QRUPDOL]DWLRQ LV JLYHQ E\
n n
n; n
[Q Z Q b P H 1 n
63; N P n
n
bM { NQ n
n n
Q
Z Q
HOVH
7KH UHFWDQJXODU ZLQGRZ ZLOO VHOHFW GDWD YDOXHV IURP 1 SRLQWV WR WKH OHIW
RI WLPH ORFDWLRQ P WR 1 b SRLQWV WR WKH ULJKW RI P ,I D *DXVVLDQ W\SH
ZLQGRZ LV XVHG DQG WKH )RXULHU WUDQVIRUP LV QRW PDJQLWXGH VTXDUHG WKHQ WKLV
SDUWLFXODU YHUVLRQ RI WKH VKRUW WLPH )RXULHU WUDQVIRUP 67)7 LV FDOOHG WKH
*DERU WUDQVIRUP $Q DSSOLFDWLRQ RI WKH *DERU UHSUHVHQWDWLRQ WR GHWHFW WUDQ
VLHQW VLJQDOV FDQ EH IRXQG LQ >@ 7KH FKRLFH RI WKH *DXVVLDQ ZLQGRZ DOORZV
$SSOLFDWLRQV
1
;
[ Q \e Q
O XQELDVHG HVWLPDWH
5;< C
1 b MCM Q
5;< C 1 bM;
CMb
ZKHUH Q LV WKH WLPH LQGH[ P LV WKH GHOD\ DQG N LV WKH VSHFWUDO ORFDWLRQ 7KH
DOJRULWKP LV LOOXVWUDWHG ZLWK WKH EORFN GLDJUDP )LJXUH ZKHUH RQH FRXOG
HDVLO\ UHSODFH WKH [VHTXHQFH ZLWK D \VHTXHQFH DQG FUHDWH WKH FURVV :LJQHU
9LOOH GLVWULEXWLRQ EHWZHHQ WKH [ DQG \ VHTXHQFHV GHQRWHG E\ : 9 ';< Q N
)LJXUH VKRZV WKH :9' DQG LWV WKUHH WUDQVIRUP GRPDLQV ZKLFK ZLOO EH
GLVFXVVHG LQ WKH IROORZLQJ VHFWLRQV
7KH SURGXFW LQ WKH VXPPDQG LH [Q P [e Q b P D QRQOLQHDU
RSHUDWLRQ FDXVHV PDQ\ DUWLIDFWV LQ WKH WLPH IUHTXHQF\ GRPDLQ ,Q SDUWLFXODU
FURVV WHUPV LQ WLPH DQG LQ IUHTXHQF\ GR RFFXU 6HYHUDO DSSURDFKHV WR PLQLPL]H
RU UHPRYH WKHVH XQZDQWHG FURVV WHUPV KDYH EHHQ DGGUHVVHG >@ ,Q
WKH WLPH IUHTXHQF\ 7) SODQH RQH FDQ UHDG Rm WKH RQVHW IUHTXHQF\ GXUDWLRQ
EDQGZLGWK VSHFWUDO VKDSH DQG VSHFWUDO G\QDPLFV RI WKH VLJQDO RI LQWHUHVW
7KH WLOHV RI WKH 7) UHSUHVHQWDWLRQ FDQ EH DYHUDJHG LQ D PDJQLWXGH VHQVH WR
HQKDQFH WKH GHWHFWLRQ RI D ZDYHIRUP WKDW IROORZV WKH WLPHIUHTXHQF\ SRVLWLRQV
JRYHUQHG E\ WKH DYHUDJLQJ DVVLJQPHQW RI WKH 7) WLOHV
6SHFWUDO &RUUHODWLRQ
$V VKRZQ LQ )LJXUH WKH ' )RXULHU WUDQVIRUP RI WKH LQVWDQWDQHRXV FRUUH
ODWLRQ IXQFWLRQ OHDGV WR WKH VSHFWUDO FRUUHODWLRQ IXQFWLRQ GHQRWHG E\ & C N
DV JLYHQ E\
r s r s
[e Q HbM
;;
5; C N [ Q P b P
H M { 1 CQ { 1 NP
Q P
ZKHUH C DQG N DUH VSHFWUDO ORFDWLRQV 7KLV UHVXOW FDQ DOVR EH REWDLQHG E\
WDNLQJ D ' )RXULHU LQYHUVH WUDQVIRUP RYHU Q RI WKH :9' DV JLYHQ E\
;
&; C N
: 9 '; Q N H M { 1 CQ
Q
$SSOLFDWLRQV
)RU RXU DGRSWHG VLJQ FRQYHQWLRQ WKH ' IRUZDUG )RXULHU WUDQVIRUPV LH
WKH H[SRQHQWLDO NHUQHO XVHV D QHJDWLYH VLJQ DUH LQGLFDWHG RQ )LJXUH 7KH
VLJQ FRQYHQWLRQ LV DUELWUDU\ EXW FRPHV IURP PDNLQJ WKH QDUURZEDQG DPEL
JXLW\ IXQFWLRQ GHnQLWLRQ DJUHH ZLWK WKH JHQHUDOO\ DFFHSWHG YHUVLRQ
$PELJXLW\ )XQFWLRQ
7KH DPELJXLW\ IXQFWLRQ QDUURZEDQG DPELJXLW\ IXQFWLRQ LV JLYHQ E\ WKH
' )RXULHU WUDQVIRUP RI WKH LQVWDQWDQHRXV FRUUHODWLRQ IXQFWLRQ E\ WKH '
)RXULHU WUDQVIRUP RI WKH VSHFWUDO FRUUHODWLRQ IXQFWLRQ RU E\ WKH ' )RXULHU
WUDQVIRUP RI WKH :9' 7KH PRVW FRPPRQ IRUP LV JLYHQ E\
P [e Q b P HbM { 1 CQ
;
$; C P [ Q
Q
ZKHUH C LV WKH VSHFWUDO ORFDWLRQ DQG P LV WKH WLPH FRUUHODWLRQ VKLIW YDULDEOH
7KLV HTXDWLRQ VKRZV WKDW LW LV WKH DXWR RU FURVV FRUUHODWLRQ IXQFWLRQ RI WKH
VHTXHQFH [Q ZLWK D IUHTXHQF\ VKLIWHG YHUVLRQ RI [Q
'HSHQGLQJ RQ WKH WDVN DQG WKH VFHQDULR RQH RI WKH IRXU UHSUHVHQWDWLRQV
FDQ EH H[SORLWHG WR REWDLQ GHWHFWLRQ DQG SDUDPHWHU LQIRUPDWLRQ GLUHFWO\ IURP
WKH VXUIDFH RU IURP WKH PDJQLWXGH RI WKH VXUIDFH 8VXDOO\ WKH :9' LV WKH
SUHIHUUHG WRRO $V PHQWLRQHG HDUOLHU LW VXmHUV IURP WKH SURGXFW RSHUDWLRQ
RI WKH WZR VHTXHQFHV LQYROYHG 0DQ\ SDSHUV KDYH GHDOW ZLWK WKH DUWLIDFWV
FUHDWHG E\ WKH QRQOLQHDU RSHUDWLRQ 0RVW QRWHZRUWK\ DUH WKH VPRRWKLQJ
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
XVLQJ D *DXVVLDQ W\SH ZLQGRZ &KRL:LOOLDPV >@ DQG WKH DGDSWLYH NHU
QHO WHFKQLTXHV >@ ,I WKH VXPPDWLRQ VXSSRUW LV nQLWH ZKLFK LV XVXDOO\ WKH
FDVH WKHQ WKH WUXQFDWHG YHUVLRQ LV FDOOHG WKH SVHXGR :LJQHU9LOOH GLVWULEX
WLRQ 3:9' $ KRVW RI 7) GLVWULEXWLRQ HVWLPDWRUV LV DYDLODEOH ZKLFK FDQ
EH REWDLQHG E\ XVLQJ D SDUWLFXODU NHUQHO IXQFWLRQ LQ ZKDW LV NQRZQ DV &R
KHQ
V FODVV RI MRLQW WLPHIUHTXHQF\ UHSUHVHQWDWLRQV >@ 0$7/$% EDVHG
FRGH DQG D XVHU PDQXDO FDQ EH IRXQG DW WKH ZHEVLWH KWWSZZZFUWWVQXQLY
QDQWHVIUzDXJHUWIWEKWPO IUHH RI FKDUJH
6; I
(TXDWLRQ VKRZV WKDW WKH FODVVLFDO 36' HVWLPDWH UHVLGHV DW WKH m
ORFDWLRQV RI WKH VXUIDFH
,I ZH DUH GHDOLQJ ZLWK MXVW RQH VLQJOH VKRUW GDWD VSDQ LH RQH VHJPHQW
WKHQ ZH FDQ UHPRYH WKH WLPH GHSHQGHQF\ LQ WKH DUJXPHQW OLVW RI ,I
WKHUH LV PRUH WKDQ RQH GDWD VHJPHQW ZH UHWDLQ WKH WLPH GHSHQGHQF\ V\PERO
L]HG ZLWK WKH V\PERO Q 2QH ZD\ WR FUHDWH WKH VPRRWKHG F\FOLF SHULRGRJUDP
LV VKRZQ LQ )LJXUH ZKHUH m I b I / LV WKH GHFLPDWLRQ SDUDPHWHU IRU
QR GHFLPDWLRQ / ZLOO EH RQH I LV WKH FHQWHU IUHTXHQF\ RI WKH WRS EDQGSDVV
nOWHU I LV WKH FHQWHU IUHTXHQF\ RI WKH ERWWRP EDQGSDVV nOWHU DQG JQ DO
ORZV WKH ORZ SDVV nOWHU WR KDYH GHVLUDEOH FKDUDFWHULVWLFV 2QH SRVVLEOH JQ
VHTXHQFH LV WKDW DOO JQ HTXDO XQLW\ LH D VXPPHU WKDW VXPV XS D nQLWH
QXPEHU RI VDPSOHV DOVR FDOOHG D ER[FDU LQWHJUDWRU
)LJXUH LOOXVWUDWHV WKH JHQHUDO SULQFLSOH RI VSHFWUDO FRUUHODWLRQ YHU\
HORTXHQWO\ $VVXPLQJ IRU VLPSOLFLW\ WKDW JQ LV D ER[FDU LQWHJUDWRU WKHQ ZH
VHH WKDW WKH DOJRULWKP LV VLPSO\ D FRUUHODWRU WKDW FRUUHODWHV WKH RXWSXW RI WKH
WRS FKDQQHO ZLWK WKH FRQMXJDWHG RXWSXW RI WKH ERWWRP FKDQQHO )RFXVLQJ RQ
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
WKH WRS FKDQQHO ZH VHH WKDW WKH VLJQDO LV WKH FRPSOH[ HQYHORSH RI WKH EDQGSDVV
VHTXHQFH FHQWHUHG DW I GHVDPSOHG E\ D IDFWRU / LH WKH nOWHU SDVVHV WKH
EDQGSDVV SURFHVV WKH FRPSOH[ H[SRQHQWLDO KHWURG\QHV WKH EDQGSDVV SURFHVV
WR EDVH EDQG DQG WKH GHVDPSOHU UHPRYHV LI GHVLUHG UHGXQGDQF\ GXH WR WKH
RYHUVDPSOLQJ RI WKH SURFHVV 7KH ERWWRP FKDQQHO UHSHDWV WKH SURFHVV EXW
VHOHFWV DV WKH FHQWHU IUHTXHQF\ I
7KLV V\VWHP LQ PRGHUQ WHUPLQRORJ\ LV D PXOWLUDWH V\VWHP 7KH LQSXW
LV VDPSOHG DW D UDWH IV 7KH LQSXW WR WKH FRUUHODWRU VHFWLRQ LV VDPSOHG DW
D UDWH IV / 7KH RXWSXW LV D WKUHHGLPHQVLRQDO VXUIDFH LQGH[HG E\ I LH
I I I ZKLFK LV WKH FHQWHU IUHTXHQF\ DQG m LH m I b I
ZKLFK LV WKH GLmHUHQFH IUHTXHQF\ 7KH GLmHUHQFH IUHTXHQF\ LV WKH WZRVLGHG
EDQGZLGWK UHODWLYH WR WKH FHQWHU IUHTXHQF\ I ,I WKH SURSHU I DQG m DUH
VHOHFWHG ZH H[SHFW D ODUJH FRUUHODWLRQ SHDN DW WKH FRRUGLQDWH I m ,I WKDW
YDOXH LQ PDJQLWXGH H[FHHGV D JLYHQ WKUHVKROG ZH GHFODUH D GHWHFWLRQ 7KH
EHKDYLRU RI M6;m I M LH SHDNV YDOOH\V DQG JHRPHWU\ WHOOV WKH LQYHVWLJDWRU
DERXW WKH PRGXODWLRQ W\SH DQG PRGXODWLRQ SDUDPHWHUV ,QFUHDVLQJ cW WKH
GDWD VSDQ ZLOO LQFUHDVH GHWHFWDELOLW\ DQG LPSURYH WKH DFFXUDF\ RI WKH PRG
XODWLRQ SDUDPHWHUV SURYLGHG WKH UHFHLYHG VLJQDO PDLQWDLQV LQWHJULW\ RI WKH
SDUDPHWHUV +HQFH D QHJDWLYH 615 LQ G% LV QRW D SUREOHP LI WKH QXPEHU RI
VDPSOHV FDQ EH PDGH VXpFLHQWO\ ODUJH WR PDNH XS IRU WKH ORZ 615 :H DOVR
QRWLFH WKDW DQG WKH RSHUDWLRQV VKRZQ LQ )LJXUH FDQ EH UHODWHG 7KDW
LV WKH VPRRWKHG F\FOLF SHULRGRJUDP FDQ EH LQWHUSUHWHG DV DQ HYDOXDWLRQ RI
WKH VSHFWUDO FRUUHODWLRQ IXQFWLRQ DERXW D FHQWHU IUHTXHQF\ JLYHQ E\ I I
IROORZHG E\ DQ DGGLWLRQDO WLPH DYHUDJH LH /3) RSHUDWLRQ
:KHQ ZH H[DPLQH DQG DQG )LJXUH ZH QRWLFH WKH RUGHU
RI WKH KHWURG\QH DQG GHVDPSOH RSHUDWLRQV 7KLV LV DOVR SUHVHQWHG RQ WKH
OHIWKDQG VLGH RI EORFN GLDJUDP )LJXUH
7KH RUGHU RI WKH UHVDPSOHU DQG KHWURG\QHU FDQ HDVLO\ EH UHYHUVHG DV
VKRZQ RQ WKH ULJKWKDQG VLGH RI )LJXUH 7KH QHZ DUUDQJHPHQW KDV WKH
REYLRXV DGYDQWDJH WKDW E\ UHVDPSOLQJ nUVW WKH QXPEHU RI GDWD SRLQWV KDV
EHHQ UHGXFHG +HQFH WKH QXPEHU RI GDWD SRLQWV WKDW QHHG WR EH VWRUHG DQG
RSHUDWHG RQ KDV EHHQ UHGXFHG ZKLOH PDLQWDLQLQJ IXOO DFFXUDF\ :H FDQ PRGLI\
WKH DOJRULWKP RI )LJXUH WR WDNH DGYDQWDJH RI WKLV LGHD 7KH UHVXOW LV VKRZQ
LQ )LJXUH
$SSOLFDWLRQV
:H UHDOL]H WKDW WKH nUVW WZR HOHPHQWV EORFNV LQ HDFK OHJ LH WKH EDQG
SDVV nOWHU DQG WKH GRZQ VDPSOHU FDQ EH UHSODFHG ZLWK DQ ))7 XVLQJ WKH
VSHFWUDO ELQ FRUUHVSRQGLQJ WR IUHTXHQF\ I DQG I GHQRWHG E\ IC DQG IC
UHVSHFWLYHO\ 7KH GHVLUHG GRZQ VDPSOLQJ LV REWDLQHG ZLWK SURSHU FKRLFH RI
WKH ))7 VL]H DQG WKH RYHUODS IDFWRU :H FDQ DOVR UHSODFH WKH ODVW SURFHVVLQJ
FRPSRQHQWV LH WKH WZR KHWURG\QH WKH SURGXFW DQG WKH ORZ SDVV nOWHU
LQJ RSHUDWLRQV ZLWK DQ DGGLWLRQDO ))7 RI VL]H 3 7KLV SURFHVVLQJ VFKHPH
LV FDOOHG WKH ))7 DFFXPXODWLRQ PHWKRG )$0 >@ DQG LV VKRZQ LQ )LJXUH
7KH YDULDEOHV DUH L WKH QXPEHU RI WKH LWK ))7 RU VHJPHQW 1 WKH LQSXW
))7 VL]H JRYHUQLQJ WKH DFFXUDF\ RI FKRRVLQJ WKH SDUWLFXODU FHQWHU IUHTXHQF\
I DQG WKH ZLGWK RI WKH VSHFWUDO nOWHU DV ZHOO DV WKH GHVDPSOLQJ UDWH DQG
3 WKH VL]H RI WKH RXWSXW ))7 JRYHUQLQJ WKH LQFUHPHQWDO UHVROXWLRQ RI WKH m
SDUDPHWHU >@
7KHUH LV DQRWKHU SURFHVVRU LPSOHPHQWDWLRQ WKH VRFDOOHG VWULS VSHFWUDO
FRUUHODWLRQ DOJRULWKP 66&$ DV VKRZQ LQ )LJXUH >@ 7KH WRSLF RI F\FOLF
GHWHFWLRQ ZKHUH WKH WKHRUHWLFDO DQG PHDVXUHG VSHFWUDO FRUUHODWLRQ GHQVLW\
6&' DUH FRUUHODWHG LV DGGUHVVHG LQ &KDSWHU 6HFWLRQ ( RI >@ $ SRVVLEOH
GHWHFWLRQ VWDWLVWLF IRU FRQWLQXRXV W\SH YDULDEOHV LV JLYHQ LQ
=
A;m I
m
66 I e
61 I m 61 I b m
] 6 GI
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
( I[ J
P
( I[ J
P
7KH FRUUHVSRQGLQJ FXPXODQWV XVLQJ WKH VLJQ FRQYHQWLRQ >@ LH SOXV
VLJQV LQ WKH H[SHFWDWLRQV DUH JLYHQ E\
F P PHDQ
P b P YDULDQFH
F
PQ [P [P ~ [P ~Qb
DQG ZLOO RQO\ GHSHQG RQ WKH WLPH GLmHUHQFH ~ ~ ~Qb )RU H[DPSOH
IRU RUGHUV Q WKH FXPXODQWV FQ ~ ~ ~ RI WKH ]HUR PHDQ
VHTXHQFH I[PJ DUH UHODWHG WR WKH PRPHQWV PQ ~ ~ ~ DV IROORZV
F P ([P
F ~ P ~ b P ~ P; ~ ( [P [P ~
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
F ~ ~ ~ [P ~
( [ P [ P
F ~ ~ ~ ( [P [P ~ [P ~ [P ~
b( [P [P ~ ( [P ~ [P ~
b( [P [P ~ ( [P ~ [P ~
b( [P [P ~ ( [P ~ [P ~
7KH H[SUHVVLRQV EHFRPH FRPSOLFDWHG DV WKH RUGHU RI WKH FXPXODQW LQFUHDVHV
(VSHFLDOO\ LI ZH FDQQRW FODLP WKDW WKH nUVW RUGHU PRPHQW LV ]HUR $ IXUWKHU
FRPSOLFDWLRQ DULVHV LI ZH DOORZ WKH SURFHVV WR EH FRPSOH[ YDOXHG 7KHQ RQH
QHHGV WR GHFLGH ZKLFK WHUPV LQ WKH H[SUHVVLRQV DUH WR EH FRQMXJDWHG WKHUH
PD\ EH VHYHUDO FKRLFHV >@
&XPXODQWV KDYH VRPH SURSHUWLHV WKDW PDNH WKHP PRUH GHVLUDEOH WKDQ PR
PHQWV DV IDU DV KLJKHU RUGHU VWDWLVWLFV DUH FRQFHUQHG 6RPH RI WKHVH SURSHUWLHV
DUH OLVWHG EHORZ >@
D (DFK FXPXODQW LV LQGHSHQGHQW RI DOO ORZHU RUGHU FXPXODQWV
E )RU D *DXVVLDQ SURFHVV RU VHTXHQFH DOO FXPXODQWV RI RUGHU JUHDWHU
WKDQ WZR DUH HTXDO WR ]HUR WKDW LV WKH *DXVVLDQ SURFHVV LV FRPSOHWHO\
FKDUDFWHUL]HG E\ LWV nUVW WZR PRPHQWV +HQFH RQH FDQ XVH FXPXODQWV
WR HVWLPDWH WKH GHJUHH RI QRQ*DXVVLDQLW\ RI WKH SURFHVV
F &XPXODQWV RI WKH VXP RI WZR LQGHSHQGHQW VWDWLVWLFDO SURFHVVHV HTXDO WKH
VXP RI WKHLU UHVSHFWLYH FXPXODQWV
G ,GHDOO\ WKH FXPXODQW RI *DXVVLDQ QRLVH ZLOO EH ]HUR VXJJHVWLQJ D SUR
FHVVLQJ DSSURDFK ZKHUHLQ *DXVVLDQ QRLVH ZLOO KDYH OLWWOH HmHFW RQ WKH
SURFHVVRUV RXWFRPH
)URP D GDWD SURFHVVLQJ SRLQW RI YLHZ ZH FDQQRW FRPSXWH H[SHFWDWLRQV
DQG DVVXPLQJ HUJRGLFLW\ RI WKH PRPHQW FXPXODQW XQGHU FRQVLGHUDWLRQ HP
SOR\ D WLPH YDU\LQJ RSHUDWLRQ )RU H[DPSOH
;
1 b
A
PM 1
M
[ L
L
DQG b
;
1
A
& ~ ~ 1 ~ [L ~
[ L [ L
L
$SSOLFDWLRQV
&RPSOH[ YDOXHG GDWD UHTXLUHV FRPSOH[ FRQMXJDWLRQ RI VRPH RI WKH VH
TXHQFHV >@ %LDVHG DQG XQELDVHG HVWLPDWHV ZLOO XVH GLmHUHQW QRUPDOL]D
WLRQV
&XPXODQW 6SHFWUXP
6XSSRVH [QQ LV D UHDO VWDWLVWLFDO UDQGRP VHTXHQFH ZLWK PWK RUGHU FXPXODQW
FP ~ ~ ~Pb $VVXPLQJ WKDW WKH FXPXODQW VHTXHQFH VDWLVnHV
; ;
MFP ~ ~ ~Pb M
~ b ~P> b
DQG
; ;
M~M M MFP ~ ~ ~Pb M
~ b ~P> b
IRU M P b
7KHQ WKH PWK RUGHU FXPXODQW VSHFWUXP &P Pb RI I[QJ H[
LVWV LV FRQWLQXRXV DQG LV GHnQHG E\ WKH PbGLPHQVLRQDO )RXULHU WUDQVIRUP
RI WKH PWK RUGHU FXPXODQW VHTXHQFH 7KH VHFRQG RUGHU FXPXODQW VSHFWUXP LV
WKH SRZHU VSHFWUXP SRZHU VSHFWUDO GHQVLW\ JLYHQ E\
HbM~
;
& F ~
~ b
M; M
1
IRU b{ {
7KH VHFRQG RUGHU FXPXODQW VHTXHQFH LV WKH FRYDULDQFH VHTXHQFH ZKLOH WKH
VHFRQG RUGHU PRPHQW VHTXHQFH LV WKH DXWRFRUUHODWLRQ IXQFWLRQ 2I FRXUVH
IRU D ]HUR PHDQ VHTXHQFH WKH DXWRFRYDULDQFH DQG WKH DXWRFRUUHODWLRQ VH
TXHQFH DUH LGHQWLFDO 7KH )RXULHU WUDQVIRUP UHODWLRQVKLS LV NQRZQ DV
WKH :LHQHU.KLQWFKLQH UHODWLRQVKLS
%L6SHFWUXP
7KH ELVSHFWUXP LV GHnQHG DV WKH ' )RXULHU WUDQVIRUP RI WKH WKLUG RUGHU
FXPXODQW VHTXHQFH DQG LV JLYHQ E\
bM ~ HbM~
; ;
&
F ~ ~ H
~ b ~ b
; ; ; e
1
IRU b{ { DQG M M {
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
7UL6SHFWUXP
7KH WULVSHFWUXP LV JLYHQ DV WKH ' )RXULHU WUDQVIRUP RI WKH IRXUWK RUGHU
FXPXODQW VHTXHQFH DQG LV JLYHQ E\
; ;
;
&
F ~ ~ ~
~ b ~ b ~ b
cHbM ~ HbM~ HbM ~
IRU M M { M M { M M { DQG M M {
3RO\6SHFWUXP
,Q JHQHUDO WKH SRO\VSHFWUXP RI RUGHU / b LV JLYHQ DV WKH / b ' )RXULHU
WUDQVIRUP RI WKH /WK RUGHU FXPXODQW VHTXHQFH DQG LV JLYHQ E\
3/
bM L L ~L
; ;
>
&/ /b F/ ~ ~/b H
~ b ~/> b
0DQ\ SDSHUV KDYH EHHQ SXEOLVKHG WR VKRZ WKH SURSHUWLHV RI WKHVH VSHFWUDO
DQG WKHLU HTXLYDOHQW FXPXODQW UHSUHVHQWDWLRQV >@ :H ZDQW WR SRLQW
RXW WKDW WKH FXPXODQW VHTXHQFHV RU WKH FXPXODQW VSHFWUD FDQ EH XVHG IRU
GHWHFWLRQ DQG FODVVLnFDWLRQ SXUSRVHV 6RPH W\SLFDO H[DPSOHV DUH
q .OHWWHU DQG 0HVVHU XVH KLJKHU RUGHU VSHFWUDO DQDO\VLV ELVSHFWUXP WR
GHWHFW D QRQ*DXVVLDQ VLJQDO HPEHGGHG LQ *DXVVLDQ QRLVH >@
q &RORQQHVH DQG 6FDUDQR XVH WKH WKLUG DQG IRXUWK RUGHU VWDWLVWLFV WR GHWHFW
WUDQVLHQWV LQ ZKLWH *DXVVLDQ QRLVH 7KH GHWHFWRUV DUH VXERSWLPDO DQG LW
LV VKRZQ WKDW WKH GHWHFWRU EDVHG RQ WKLUG RUGHU VWDWLVWLFV RXWSHUIRUPV
WKH VXERSWLPDO GHWHFWRUV EDVHG RQ VHFRQG DQG IRXUWK RUGHU VWDWLVWLFV
>@
q :LFNHUW DQG 7XUFRWWH GHWHFW WKH V\PERO UDWH OLQH RI D GLJLWDOO\ PRGX
ODWHG FDUULHU 7KHLU UHVXOWV VKRZ WKDW WKH WULVSHFWUXP SHUIRUPV EHWWHU
WKDQ FRQYHQWLRQDO GHWHFWRUV >@ 5REXVW EHDP IRUPLQJ LV LQWURGXFHG
E\ 1LNLDV DQG 0HQGHO >@
q 6DWWDU DQG 6DORPRQVVRQ VWXG\ GHWHFWLRQ XVLQJ nOWHU EDQNV DQG KLJKHU
RUGHU VWDWLVWLFV >@
q )HUUDUL DQG $OHQJULQ DGGUHVV WKH HVWLPDWLRQ RI IUHTXHQFLHV RI D FRPSOH[
VLQXVRLG XVLQJ WKH IRXUWK RUGHU VWDWLVWLFV >@
7KHVH H[DPSOHV DUH E\ QR PHDQV H[FOXVLYH UDWKHU WKDQ WKDW WKH\ DUH
WKRXJKW WR VHUYH DV D VWDUWLQJ SRLQW IRU WKH LQWHUHVWHG UHDGHU 0DWKZRUNV
VRIWZDUH SDFNDJH >@ PDLQWDLQV D KLJKHU RUGHU VWDWLVWLFV WRROER[ WKDW DOORZV
GDWD SURFHVVLQJ XVLQJ VRPH VWDQGDUG DOJRULWKPV LH ELVSHFWUXP
$SSOLFDWLRQV
ZKHUH 6;< I LV WKH FURVV SRZHU VSHFWUDO GHQVLW\ 6; I DQG 6< I DUH WKH
DXWRSRZHU VSHFWUDO GHQVLWLHV 6LQFH WKH FURVV 36' LV FRPSOH[ YDOXHG RQH
W\SLFDOO\ ZRUNV ZLWK WKH PDJQLWXGH VTXDUHG FRKHUHQFH 06& IXQFWLRQ DV
JLYHQ IRU IUHTXHQF\ IN E\
Mo;< IN M M6;< IN M
6; IN 6< IN
IRU VRPH JLYHQ N ZKHUH ;L N DQG <L N DUH WKH )RXULHU WUDQVIRUPV RI WKH LWK
VHJPHQWV N LV WKH IUHTXHQF\ RI LQWHUHVW 0 LV WKH QXPEHU RI VHJPHQWV DQG
e GHQRWHV FRPSOH[ FRQMXJDWLRQ :H FDQ DOVR LQWHUSUHW DV WKH DYHUDJH
FURVV 36' HYDOXDWHG DW IUHTXHQF\ N DYHUDJHG RYHU 0 VHTXHQWLDO VHJPHQWV
DQG QRUPDOL]HG E\ WKH VTXDUH URRW RI WKH SURGXFW RI WKH DYHUDJHG DXWRSRZHU
VSHFWUDO GHQVLWLHV
7KH 06& KDV VHYHUDO XVHIXO SURSHUWLHV VRPH RI ZKLFK DUH OLVWHG EHORZ
,I [Q DQG \Q DUH LQGHSHQGHQW WKHQ o;<
7KH 06& FDQ EH XVHG WR PHDVXUH WKH OLQHDULW\ RI D V\VWHP ZKHUH [Q
DQG \Q UHSUHVHQW WKH LQSXW DQG RXWSXW RI WKH V\VWHP UHVSHFWLYHO\
,I [Q DQG \Q DUH WKH RXWSXWV RI WZR SDUDOOHO FKDQQHOV ZKLFK DUH
ERWK IHG E\ D FRPPRQ VLJQDO DQG LQGHSHQGHQW QRLVH WKHQ WKH 06& FDQ
EH XVHG WR REWDLQ DQ HVWLPDWH RI WKH LQSXW 615 WR WKH WZR FKDQQHOV
7KH 3') RI WKH 06& HVWLPDWH LV JLYHQ E\ >^@
ZKHUH C
;
) D E F ] DC EC &] C
C
C
DQG
DC bD C DD D C b
bD
7R DOORZ IRU 'RSSOHU FRUUHFWLRQ DQG WLPH GHOD\ DGMXVWPHQWV WKH DFWXDO
06& DOJRULWKP LV JLYHQ E\
n n
n; n
n
n
n
;L IN <Le~ IN H MtL nn
n
MoA;< ~ tM
;
L
;
M;L IN M
M<L~ IN M
L L
VSDFH 7KLV LV WKH LGHD EHKLQG WKH LQQHU SURGXFW DV ZDV DGYRFDWHG LQ &KDSWHUV
DQG +HQFH D ZDYHOHW W\SH GHFRPSRVLWLRQ FDQ EH WKH RSHUDWLRQ WKDW DOORZV
JRRG GHWHFWLRQ 1RWH ZH OHIW RXW WKH ZRUG RSWLPDO VLQFH ZH GLG QRW GHULYH
D ZDYHOHW W\SH VWUXFWXUH IURP D %D\HV SRLQW RI YLHZ 5DWKHU ZH DUJXH XVLQJ
D PDWFKHG nOWHU W\SH DUJXPHQW ZKHUH ZH WU\ WR PDWFK WKH UHSOLFD WR WKH
VLJQDO SURYLGHG WKH DPELHQW QRLVH LV *DXVVLDQ )RU LQWURGXFWLRQ WR ZDYHOHW
WUDQVIRUPV ZH UHIHU WKH UHDGHU WR &KDSWHU DQG $SSHQGL[ ( DV ZHOO DV WR
>^@ )RU VRPH ZDYHOHW EDVHG GHWHFWLRQ DSSOLFDWLRQ ZH VXJJHVW >^@
7KH OLVW LV E\ QR PHDQV FRPSOHWH LW LV LQWHQGHG WR VHUYH DV D VWDUWLQJ SRLQW
IRU IXUWKHU UHDGLQJ
DV JLYHQ E\
ZQ ZQ b x Q [Q b '
ZKHUH ' LV WKH GHOD\ W\SLFDOO\ RQH VDPSOH EHWZHHQ UHIHUHQFH DQG GHOD\
FKDQQHO x LV D VPDOO SRVLWLYH FRQVWDQW Q LV WKH HUURU DW WLPH Q 7KH YHFWRUV
Z DQG [ DUH JLYHQ E\ ZQ >ZQ ZQ c c c Z, bQ@7 WKH nOWHU ZHLJKWV7
DW WLPH Q DQG [Q b ' >[Q b ' [Q b ' b c cc [Q b ' b , @
WKH VWRUHG GDWD LQ WKH GHOD\ FKDQQHO , LV WKH QXPEHU RI PXOWLSOLHUV LQ
WKH ),5 nOWHU DQG ZQ b LV WKH SUHYLRXV nOWHU YHFWRU 7KLV LV FDOOHG WKH
OHDVW PHDQVTXDUH /06 DOJRULWKP >@ ZKLFK LV DQ LPSOHPHQWDWLRQ RI WKH
VWHHSHVW GHVFHQW PHWKRG XVLQJ DQ HVWLPDWH RU PHDVXUHPHQW RI WKH JUDGLHQW RI
WKH HUURU VXUIDFH
7KLV UHDOL]DWLRQ DGDSWLYH nOWHU GRHV QRW UHTXLUH NQRZOHGJH RI WKH FRUUHOD
WLRQ IXQFWLRQV EXW LW QHHGV D JRRG FKRLFH RI WKH VWHS VL]H SDUDPHWHU WRR ODUJH
D VWHS VL]H FUHDWHV QRLVH ZKLOH WRR VPDOO D VWHS VL]H GRHV QRW DOORZ TXLFN FRQ
YHUJHQFH WR WKH WUXH YDOXHV LH LW UHTXLUHV H[FHVVLYH WLPH 7KH nOWHU ZHLJKWV
FDQ EH XVHG WR IRUP DQ HVWLPDWH RI WKH SRZHU VSHFWUDO GHQVLW\ DV JLYHQ E\
ZKHUH WKH LPSXOVH UHVSRQVH KL bZL IRU L c c c , b DQG
K
3 N FRQVWDQW
$/( n
n1b
;
n
n
n
n
n
LHb
K M { 1 NL n
n
n
L
6800$5<
7KLV FKDSWHU WULHV WR WUDFH RXW VRPH RI WKH ODWH HmRUWV DVVRFLDWHG ZLWK GH
WHFWLRQ DQG GHWHFWLRQ UHODWHG WRSLFV :LWK WKH SURJUHVV LQ FRPSXWDWLRQDO
DELOLWLHV SURFHVVLQJ WDVNV RQFH DVVXPHG WR EH WRR FXPEHUVRPH KDYH EHFRPH
D VWDQGDUG RSHUDWLRQ ,Q WKLV VSLULW VRPH RI WKH QHZHU WHFKQLTXHV KDYH EHHQ
LGHQWLnHG LQ WKLV FKDSWHU SURYLGLQJ VRPH UHIHUHQFH PDWHULDO WKDW D PRWL
YDWHG UHDGHU PD\ HDVLO\ EH DEOH WR DFFHVV ,Q 6HFWLRQ WKH SHULRGRJUDP
WKH VSHFWURJUDP DQG VRPH DYHUDJLQJ WHFKQLTXHV DUH DGGUHVVHG 6HFWLRQ
EULHo\ H[SORUHV WKH FRUUHODWLRQ FRQFHSW 7KH FRQFHSW RI LQVWDQWDQHRXV FRUUH
ODWLRQ IXQFWLRQ :LJQHU9LOOH GLVWULEXWLRQ VSHFWUDO FRUUHODWLRQ DQG DPELJXLW\
IXQFWLRQ DUH DGGUHVVHG LQ 6HFWLRQ &\FORVWDWLRQDU\ SURFHVVLQJ DQG VRPH
RI LWV LPSOHPHQWDWLRQV DUH LQWURGXFHG LQ 6HFWLRQ 6HFWLRQ DGGUHVVHV
KLJKHU RUGHU PRPHQWV DQG FXPXODQWV DV ZHOO DV WKHLU )RXULHU WUDQVIRUPV LH
KLJKHU RUGHU VSHFWUD &RKHUHQFH SURFHVVLQJ LV GLVFXVVHG LQ 6HFWLRQ ZKLOH
6HFWLRQ LQWURGXFHV ZDYHOHW SURFHVVLQJ LQ WKH GHWHFWLRQ FRQWH[W 6HFWLRQ
LQWURGXFHV WKH DGDSDWLYH nOWHU LQ D GHWHFWLRQ UHODWHG VFHQDULR DQG SURYLGHV
VRPH UHIHUHQFHV
5HIHUHQFHV
>@ 6WUXP 5' DQG .LUN '( )LUVW 3ULQFLSOHV RI 'LVFUHWH 6\VWHPV DQG
'LJLWDO 6LJQDO 3URFHVVLQJ 1HZ <RUN $GGLVRQ:HVOH\ 3XEOLVKHUV
>@ /XGHPDQ /& )XQGDPHQWDOV RI 'LJLWDO 6LJQDO 3URFHVVLQJ 1HZ <RUN
+DUSHU 5RZ
>@ 6ROLPDQ 66 DQG 6ULQDWK 0' &RQWLQXRXV DQG 'LVFUHWH 6LJQDOV DQG
6\VWHPV 8SSHU 6DGGOH &OLmV 1- 3UHQWLFH+DOO
>@ +LSSHQVWLHO 5' DQG $NWDV 8 ?7LPH 'LmHUHQFH RI $UULYDO (VWLPD
WLRQ 8VLQJ :DYHOHW 7UDQVIRUPV QG 0LG:HVW 6\PS RQ &LUFXLWV
DQG 6\VWHPV /DV &UXFHV 10 $XJXVW ^
>@ &ODDVHQ 7$&0 DQG 0HFNOHQEUDXNHU :)* ?7KH :LJQHU 'LV
WULEXWLRQ _ $ 7RRO IRU 7LPH)UHTXHQF\ 6LJQDO $QDO\VLV 3DUW , &RQ
WLQXRXV 7LPH 6LJQDOV 3KLOLSV - RI 5HVHDUFK YRO SS ^
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
>@ &ODDVHQ 7$&0 DQG 0HFNOHQEUDXNHU :)* ?7KH :LJQHU 'LVWUL
EXWLRQ _ $ 7RRO IRU 7LPH)UHTXHQF\ 6LJQDO $QDO\VLV 3DUW ,, 'LVFUHWH
7LPH 6LJQDOV 3KLOLSV - RI 5HVHDUFK YRO SS ^
>@ &RKHQ / 7LPH)UHTXHQF\ $QDO\VLV (QJOHZRRG &OLmV 1- 3UHQWLFH
+DOO
>@ 4LDQ 6 DQG &KHQ ' 7LPH)UHTXHQF\ $QDO\VLV _ 0HWKRGV DQG $S
SOLFDWLRQV 8SSHU 6DGGOH &OLmV 1- 3UHQWLFH+DOO
>@ )ODQGULQ 3 7LPH)UHTXHQF\ 7LPH6FDOH $QDO\VLV 6DQ 'LHJR &$
$FDGHPLF 3UHVV
>@ &RKHQ / ?7LPH)UHTXHQF\ 'LVWULEXWLRQV _ $ 5HYLHZ 3URF RI
,((( YRO SS ^
>@ $PLQ 0* DQG $OOHQ ) ?6HSDUDWLRQ RI 6LJQDOV DQG &URVV 7HUPV
LQ :LJQHU 'LVWULEXWLRQ 8VLQJ $GDSWLYH )LOWHULQJ 3URF RI QG 0LG
:HVW 6\PS RQ &LUFXLWV DQG 6\VWHPV YRO SS ^
>@ %RDVKDVK % ?7LPH)UHTXHQF\ 6LJQDO $QDO\VLV LQ $GYDQFHV LQ 6SHF
WUXP (VWLPDWLRQ DQG $UUD\ 3URFHVVLQJ 6 +D\NLQ HG (QJOHZRRG &OLmV
1- 3UHQWLFH+DOO SS ^
>@ +LSSHQVWLHO 5' DQG 2OLYHLUD 3 ?6SHFWUDO (VWLPDWLRQ 8VLQJ WKH
,QVWDQWDQHRXV 3RZHU 6SHFWUXP ,36 ,((( 7UDQV $FRXVWLFV 6SHHFK
DQG 6LJQDO 3URFHVVLQJ 2FW
>@ 0DUSOH / %URWKHUWRQ 7 %DUWRQ 5 HW DO ?7UDYHOV 7KURXJK WKH
7LPH)UHTXHQF\ =RQH $GYDQFHG 'RSSOHU 8OWUDVRXQG 3URFHVVLQJ 7HFK
QLTXHV 3URF WK $VLORPDU &RQI RQ 6LJQDOV 6\VWHPV DQG &RPSXW
HUV YRO SS ^
>@ %DUDQLXN 5* DQG -RQHV '/ ?$ 6LJQDO'HSHQGHQW 7LPH)UHTXHQF\
5HSUHVHQWDWLRQ )DVW $OJRULWKP IRU 2SWLPDO .HUQHO 'HVLJQ ,(((
7UDQV 6LJQDO 3URFHVVLQJ YRO SS ^
>@ )ODQGULQ 3 DQG 5LRXO 2 ?$pQH 6PRRWKLQJ RI WKH :LJQHU9LOOH
'LVWULEXWLRQ 3URF ,((( ,&$663 SS ^
>@ %RXGUHDX[%DUWHOV *) ?0L[HG 7LPH)UHTXHQF\ 6LJQDO 7UDQVIRUPD
WLRQV LQ 7KH 7UDQVIRUPV DQG $SSOLFDWLRQV +DQGERRN $' 3RXODULNDV
HG %RFD 5DWRQ )/ &5& 3UHVV
>@ &KRL +, DQG :LOOLDPV :* ?,PSURYHG 7LPH)UHTXHQF\ 5HSUHVHQ
WDWLRQ RI 0XOWLFRPSRQHQW 6LJQDOV 8VLQJ ([SRQHQWLDO .HUQHOV ,(((
7UDQV $FRXVWLFV 6SHHFK DQG 6LJQDO 3URFHVVLQJ YRO SS ^
$SSOLFDWLRQV
>@ $WODV /( /RXJKOLQ 3- DQG 3LWWRQ -: ?6LJQDO $QDO\VLV ZLWK
&RQH .HUQHO 7LPH)UHTXHQF\ 5HSUHVHQWDWLRQV DQG 7KHLU $SSOLFDWLRQV
LQ 7LPH)UHTXHQF\ 6LJQDO $QDO\VLV % %RDVKDVK HG SS ^
/RQJPDQ &KHVKLUH
>@ +ODZDWVFK ) DQG %RXGUHDX[%DUWHOV *) ?/LQHDU DQG 4XDGUDWLF
7LPH)UHTXHQF\ 6LJQDO 5HSUHVHQWDWLRQV ,((( 63 0DJD]LQH SS
^ $SULO
>@ *DUGQHU :$ ?$Q ,QWURGXFWLRQ WR &\FORVWDWLRQDU\ 6LJQDOV LQ &\FOR
VWDWLRQDULW\ LQ &RPPXQLFDWLRQV DQG 6LJQDO 3URFHVVLQJ : $ *DUGQHU
HG &KDSWHU 1HZ <RUN ,((( 3UHVV
>@ 6WHSKHQV -3 ?6LJQDO $QDO\VLV 8VLQJ D 6SHFWUDO &RUUHODWLRQ $QD
O\]HU 5IGHVLJQ SS ^ -XO\
>@ *DUGQHU :$ ?([SORLWDWLRQ RI 6SHFWUDO 5HGXQGDQF\ LQ &\FORVWDWLRQ
DU\ 6LJQDOV ,((( 63 0DJD]LQH SS ^ $SULO
>@ 5REHUWV 56 %URZQ :$ DQG /RRPLV -U ++ ?&RPSXWDWLRQDOO\
(pFLHQW $OJRULWKPV IRU &\FOLF 6SHFWUDO $QDO\VLV ,((( 63 0DJD]LQH
SS ^ $SULO
>@ *DUGQHU :$ $Q ,QWURGXFWLRQ WR 5DQGRP 3URFHVVHV ZLWK $SSOLFDWLRQV
WR 6LJQDOV DQG 6\VWHPV QG HG 1HZ <RUN 0F*UDZ+LOO ,QF
>@ *DUGQHU :$ ?6LJQDO ,QWHUFHSWLRQ $ 8QLI\LQJ 7KHRUHWLFDO )UDPH
ZRUN IRU )HDWXUH 'HWHFWLRQ ,((( 7UDQV RQ &RPPXQLFDWLRQV YRO
&20 QR SS ^
>@ *DUGQHU :$ 6WDWLVWLFDO 6SHFWUDO $QDO\VLV $ 1RQSUREDELOLVWLF 7KH
RU\ (QJOHZRRG &OLmV 1- 3UHQWLFH+DOO
>@ *DUGQHU :$ ?0HDVXUHPHQW RI 6SHFWUDO &RUUHODWLRQ ,((( 7UDQV
$FRXVWLFV 6SHHFK DQG 6LJQDO 3URFHVVLQJ YRO QR SS ^
2FWREHU
>@ 6SRRQHU &0 ?+LJKHU2UGHU 6WDWLVWLFV IRU 1RQOLQHDU 3URFHVVLQJ RI
&\FORVWDWLRQDU\ 6LJQDOV LQ &\FORVWDWLRQDULW\ LQ &RPPXQLFDWLRQV DQG
6LJQDO 3URFHVVLQJ : $ *DUGQHU HG &KDSWHU 1HZ <RUN ,(((
3UHVV
>@ 6SRRQHU &0 DQG *DUGQHU :$ ?([SORLWDWLRQ RI +LJKHU2UGHU &\
FORVWDWLRQDULW\ IRU :HDN6LJQDO 'HWHFWLRQ DQG 7LPH'HOD\ (VWLPDWLRQ
3URF RI WK :RUNVKRS RQ 6WDWLVWLFDO 6LJQDO DQG $UUD\ 3URFHVVLQJ 9LF
WRULD %ULWLVK &ROXPELD &DQDGD SS ^ 2FWREHU
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
>@ 1LNLDV &/ DQG 3HWURSXOX $3 +LJKHU 2UGHU 6SHFWUD $QDO\VLV $
1RQOLQHDU 6LJQDO 3URFHVVLQJ )UDPHZRUN (QJOHZRRG &OLmV 1-
3UHQWLFH+DOO
>@ 1LNLDV &/ DQG 5DJKXYHHU 05 ?%LVSHFWUXP (VWLPDWLRQ $ 'LJ
LWDO 6LJQDO 3URFHVVLQJ )UDPHZRUN 3URF ,((( YRO QR SS
^ -XO\
>@ .OHWWHU ' DQG 0HVVHU + ?'HWHFWLRQ RI D 1RQ*DXVVLDQ 6LJQDO LQ
*DXVVLDQ 1RLVH 8VLQJ +LJK2UGHU 6SHFWUDO $QDO\VLV :RUNVKRS RQ
+LJKHU2UGHU 6SHFWUDO $QDO\VLV SS ^
>@ &RORQQHVH 6 DQG 6FDUDQR * ?7UDQVLHQW 6LJQDO 'HWHFWLRQ 8VLQJ
+LJKHU 2UGHU 0RPHQWV ,((( 7UDQV RQ 6LJQDO 3URFHVVLQJ YRO
QR SS ^ )HEUXDU\
>@ :LFNHUW 0$ DQG 7XUFRWWH 5/ ?5DWH /LQH 'HWHFWLRQ 8VLQJ +LJKHU
2UGHU 6SHFWUD 0LOLWDU\ &RPPXQLFDWLRQV &RQI 0,/&20
SS
^
>@ 6DWWDU ) DQG 6DORPRQVVRQ * ?2Q 'HWHFWLRQ 8VLQJ )LOWHU %DQNV DQG
+LJKHU 2UGHU 6WDWLVWLFV ,((( 7UDQV RQ $HURVSDFH DQG (OHFWURQLF
6\VWHPV YRO QR SS ^ 2FWREHU
>@ )HUUDUL $ DQG $OHQJULQ * ?(VWLPDWLRQ RI WKH )UHTXHQFLHV RI D &RP
SOH[ 6LQXVRLGDO 1RLV\ 6LJQDO 8VLQJ )RXUWK 2UGHU 6WDWLVWLFV ,((( SS
^
>@ 1LNLDV &/ DQG 0HQGHO -0 ?6LJQDO 3URFHVVLQJ ZLWK +LJKHU 2UGHU
6SHFWUD ,((( 6LJQDO 3URFHVVLQJ 0DJD]LQH YRO QR SS ^
-XO\
>@ 7KHUULHQ &: 'LVFUHWH 5DQGRP 6LJQDOV DQG 6WDWLVWLFDO 6LJQDO 3UR
FHVVLQJ (QJOHZRRG &OLmV 1- 3UHQWLFH+DOO
>@ 1LNLDV &/ ?+LJKHU 2UGHU 6SHFWUDO $QDO\VLV LQ $GYDQFHV LQ 6SHF
WUXP (VWLPDWLRQ DQG $UUD\ 3URFHVVLQJ 6 +D\NLQ HG (QJOHZRRG &OLmV
1- 3UHQWLFH+DOO SS ^
>@ 0HQGHO -0 ?7XWRULDO RQ +LJKHU2UGHU 6WDWLVWLFV 6SHFWUD LQ 6LJQDO
3URFHVVLQJ DQG 6\VWHP 7KHRU\ 7KHRUHWLFDO 5HVXOWV DQG 6RPH $SSOL
FDWLRQV 3URF ,((( YRO QR SS ^ 0DUFK
>@ 7KH 0DWKZRUNV ,QF ?+LJKHU 2UGHU 6SHFWUDO $QDO\VLV 7RROER[ 9HU
VLRQ 1DWLFN 0$
>@ %HQGDW -6 DQG 3LHUVRO $* 5DQGRP 'DWD $QDO\VLV DQG 0HDVXUH
PHQW 3URFHGXUHV 1HZ <RUN -RKQ :LOH\ 6RQV
$SSOLFDWLRQV
>@ &DUWHU *& ?(VWLPDWLRQ RI WKH 0DJQLWXGH6TXDUHG &RKHUHQFH )XQF
WLRQ 6SHFWUXP LQ &RKHUHQFH (VWLPDWLRQ 1HZ /RQGRQ &7 1DYDO
8QGHUZDWHU 6\VWHPV &HQWHU
>@ 1XWWDOO $+ DQG &DUWHU *& ?%LDV RI WKH 0DJQLWXGH6TXDUHG &R
KHUHQFH ,((( 7UDQV RQ $FRXVW 6SHHFK DQG 6LJQDO 3URFHVVLQJ YRO
SS ^
>@ &DUWHU *& DQG 1XWWDOO $+ ?6WDWLVWLFV RI WKH (VWLPDWH RI &RKHU
HQFH 3URF ,((( YRO SS ^
>@ 0RKQNHUQ */ ?0D[LPXP /LNHOLKRRG (VWLPDWLRQ RI 0DJQLWXGH
6TXDUHG &RKHUHQFH ,((( 7UDQV RQ $FRXVW 6SHHFK DQG 6LJQDO 3UR
FHVVLQJ YRO SS ^ -DQXDU\
>@ )ULHGODQGHU % DQG 3RUDW % ?'HWHFWLRQ RI 7UDQVLHQW 6LJQDOV E\ *DERU
5HSUHVHQWDWLRQ ,((( 7UDQV RQ $FRXVW 6SHHFK DQG 6LJQDO 3URFHVV
LQJ YRO SS ^ )HEUXDU\
>@ 'DXEHFKLHV , ?2UWKRQRUPDO %DVHV RI &RPSDFWO\ 6XSSRUWHG :DYHOHWV
&RPPXQLFDWLRQV RQ 3XUH DQG $SSOLHG 0DWKHPDWLFV YRO SS
^ 1RYHPEHU
>@ 'DXEHFKLHV , ?7HQ /HFWXUHV RQ :DYHOHWV 6,$0 3KLODGHOSKLD 3$
>@ %XUUXV &6 *RSLQDWK 5$ DQG *XR + ,QWURGXFWLRQ WR :DYHOHWV
DQG :DYHOHW 7UDQVIRUPV $ 3ULPHU 8SSHU 6DGGOH 5LYHU 1- 3UHQWLFH
+DOO
>@ 6WUDQJ * DQG 1JX\HQ 7 :DYHOHWV DQG )LOWHU %DQNV :HOOHVOH\ 0$
:HOOHVOH\&DPEULGJH 3UHVV
>@ 9HWWHUOL 0 DQG .RYDFHYLuF - :DYHOHWV DQG 6XEEDQG &RGLQJ (QJOH
ZRRG &OLmV 1- 3UHQWLFH+DOO
>@ 0DOODW 6* ?$ 7KHRU\ IRU 0XOWL5HVROXWLRQ 6LJQDO 'HFRPSRVLWLRQ
WKH :DYHOHW 5HSUHVHQWDWLRQ ,((( 7UDQV RQ 3DWWHUQ 5HFRJQLWLRQ DQG
0DFKLQH ,QWHOOLJHQFH YRO QR SS ^ -XO\
>@ 9DLG\DQDWKDQ 33 0XOWLUDWH 6\VWHPV DQG )LOWHU %DQNV (QJOHZRRG
&OLmV 1- 3UHQWLFH+DOO
>@ *RVZDPL -& DQG &KDQ $. )XQGDPHQWDOV RI :DYHOHWV 1HZ <RUN
-RKQ :LOH\ 6RQV
>@ :DQJ = :LOOHWW 3 DQG 6WUHLW 5 ?:DYHOHWV LQ WKH )UHTXHQF\ 'R
PDLQ IRU 1DUURZEDQG 3URFHVV 'HWHFWLRQ 3URF ,((( &RQI RQ $FRXV
WLFV 6SHHFK DQG 6LJQDO 3URFHVVLQJ 6DOW /DNH &LW\ 8WDK
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
>@ (UGRO 1 .\SHURXQWDV 6 DQG 3HWOMDQVNL % ?7LPH DQG 6FDOH (YROX
WLRQDU\ (9' DQG 'HWHFWLRQ 3URF ,((( &RQI RQ $FRXVWLFV 6SHHFK
DQG 6LJQDO 3URFHVVLQJ 6DOW /DNH &LW\ 8WDK
>@ (UGRO 1 ?0XOWLVFDOH 'HWHFWLRQ RI 1RQ6WDWLRQDU\ 6LJQDOV LQ :DYHOHW
6XEEDQG DQG %ORFN 7UDQVIRUPV LQ &RPPXQLFDWLRQV DQG 0XOWLPHGLD
$1 $NDQVX 0- 0HGOH\ HGV SS ^ 1HZ <RUN .OXZHU
>@ )ULVFK 0 DQG 0HVVHU + ?7KH 8VH RI WKH :DYHOHW 7UDQVIRUP LQ WKH
'HWHFWLRQ RI DQ 8QNQRZQ 7UDQVLHQW 6LJQDO ,((( 7UDQV RQ ,QIRUPD
WLRQ 7KHRU\ YRO QR SS ^ 0DUFK
>@ )DUJXHV 0 2YHUG\NH + DQG +LSSHQVWLHO 5 ?:DYHOHW%DVHG 'HWHF
WLRQ RI )UHTXHQF\ +RSSLQJ 6LJQDOV VW $VLORPDU &RQI RQ 6LJQDOV
6\VWHPV DQG &RPSXWHUV 3DFLnF *URYH &$ 1RYHPEHU
>@ )DUUHOO 7& DQG 3UHVFRWW * ?$ /RZ 3UREDELOLW\ RI ,QWHUFHSW 6LJQDO
'HWHFWLRQ 5HFHLYHU 8VLQJ 4XDGUDWLF 0LUURU )LOWHU %DQN 7UHHV 3URF
,((( &RQI RQ $FRXVWLFV 6SHHFK DQG 6LJQDO 3URFHVVLQJ $WODQWD *HRU
JLD
>@ +D\NLQ 6 $GDSWLYH )LOWHU 7KHRU\ UG HG 8SSHU 6DGGOH 5LYHU 1-
3UHQWLFH+DOO
>@ $OH[DQGHU 67 $GDSWLYH 6LJQDO 3URFHVVLQJ 7KHRU\ DQG $SSOLFDWLRQV
1HZ <RUN 6SULQJHU9HUODJ
>@ :LGURZ % DQG 6WHDUQV 6' $GDSWLYH 6LJQDO 3URFHVVLQJ (QJOHZRRG
&OLmV 1- 3UHQWLFH+DOO
>@ :LGURZ % HW DO ?$GDSWLYH 1RLVH &DQFHOOLQJ 3ULQFLSOHV DQG $SSOL
FDWLRQV 3URF ,((( 9RO 1R 'HFHPEHU SS ^
>@ :LGURZ % HW DO ?6WDWLRQDU\ DQG 1RQ6WDWLRQDU\ /HDUQLQJ &KDUDF
WHULVWLFV RI WKH /06 $GDSWLYH )LOWHU 3URF ,((( 9RO 1R
$XJXVW SS ^
>@ =HLGOHU -3 ?3HUIRUPDQFH $QDO\VLV RI WKH /06 $GDSWLYH 3UHGLFWLRQ
)LOWHU 3URF ,((( 9RO 1R 'HFHPEHU SS ^
>@ :LGURZ % DQG +Rm -U 0 ?$GDSWLYH 6ZLWFKLQJ &LUFXLWV ,5(
:(6&21 &RQY 5HF 3W SS ^
$33(1',; $
3UREDELOLW\ 5DQGRP 3URFHVVHV DQG 6\VWHPV
3UREDELOLW\ 3 UI; [J
'LVWULEXWLRQ IXQFWLRQ ); [
=
I [ G[
b ;
= [
); [ I [ G[
b ;
3 U I; [J
= [ = \
I [ \ G[
b b ;<
3 UI; [ < \ J G\
= =[
I [ \ G[ PDUJLQDO
b b ;<
3 U I; [J G\
=
I; [ I [ \ G\ PDUJLQDO GHQVLW\
b ;<
%D\HV
UXOH
I;< [ \
I; M< [M\ I< \
ZLWK I< \
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
6RPH FRPPRQ GHQVLWLHV DUH
8QLIRUP 3') IRU D E
!
DXE
I X EbD
!
HOVH
)RU H[DPSOH ,I
t u r\s
X WDQb [
\
RU X WDQb [
WKHQ
!
I X
{ b{ X {
!
HOVH
([SRQHQWLDO 3') ZLWK GHJUHHV RI IUHHGRP
bD[
DH [w D!
I [
[
DQG } ([ b ( [
( I[ b ( [J
RU
[ z 1 P }
$SSHQGL[ $
)RU 1 UHDO YDOXHG *DXVVLDQ UDQGRP YDULDEOHV WKH MRLQW SUREDELOLW\ GHQVLW\
IXQFWLRQ LV JLYHQ E\
w
I; [ [ c c c [1
7 b
H[S b [ b P; e; [ b P
{1 Me; M
ZKHUH
[ [ [ c c c [1 7
P; P P c c c P1 7
e; XLM
ZKHUH XLM ( [L b PL [M b PM DQG e; M LV WKH GHWHUPLQDQW RI WKH
M
FRYDULDQFH PDWUL[ e;
,I WKH UDQGRP YDULDEOHV DUH DOO XQFRUUHODWHG LH
|
L M
X LM }L L M
&DXFK\ 3') [
/HW F
\
WKHQ I F
D D!
{ D F
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
&KL6TXDUHG 3') 1 GHJUHHV RI IUHHGRP
1
;
/HW \ [L
L
WKHQ I \
1 b
H[S b }\ 8 \
1 b1 }1 \
ZKHUH bQ Q DQG 8 c GHQRWHV WKH XQLW VWHS
5LFLDQ QRQFHQWUDO 5D\OHLJK 3')
| t u}
/HW I [ \
H[S b
[ b P; \
} { }
S
DQG ] [ \
] r] P s
!
H[S b] P; } ,
; ]w
} }
WKHQ I ]
!
]
/RJ1RUPDO 3')
/HW \ H[S[
ZKHUH [ z 1 P; };
t
!
!
S
H[S b OQ \ b P; u \w
WKHQ I \ {}; < }[
!
!
\
$SSHQGL[ $
1RQ&HQWUDO &KL6TXDUHG 3')
1
;
/HW Y $ [L
L
ZKHUH w $ 1
$ YHU\ XVHIXO UXOH DSSOLFDEOH ZKHQ GLmHUHQWLDWLRQ RI DQ LQWHJUDO H[SUHVVLRQ
LV UHTXLUHG
/HLEQLW] 5XOH = E[
[ I W [GW
D [
= E[
G #I W [ GE[ GD[
GW I E[ [ b I D[ [
G[ D[ #[ G[ G[
,I [ [ WKHQ
) ; [ [ 3 U I[ ; [ J ) [ b ) [
'HQVLW\ )XQFWLRQ
I [
G) [ I [ w
G[
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
= [
) [ I [G[
b
=
3 UI; $J I [G[
$
0RPHQWV Q =
( [Q [ I [G[
b ;
=
PHDQ ([ [I [G[
b ;
YDULDQFH ( [ b P; ( [ b P;
QG PRPHQW ( [
=
,I \ J [ WKHQ ( \ (J[ J [ I; [ G[
&RYDULDQFH
& ;< FRY ; < ( I[ b P; \ b P< J 5;< b P; P<
([\ ([(\
2UWKRJRQDO
([\
1RWH ,I ]HUR PHDQ DQG XQFRUUHODWHG WKHQ WKH FRPSRQHQWV DUH RUWKRJRQDO
,QGHSHQGHQFH
I;< [ \ I; [I< \
$SSHQGL[ $
([\ ([(\
1RWH
7KH WKHRUHP GRHV QRW DSSO\ ZKHQ Jc LV FRQVWDQW RYHU DQ LQWHUYDO
,I WKHUH DUH QR UHDO URRWV \ J[ WKHQ WKH GHQVLW\ I< \
%H FDUHIXO WR DFFRXQW IRU DOO URRWV
$QRWKHU ZD\ LV WKURXJK WKH SUREDELOLW\ GLVWULEXWLRQ IXQFWLRQ
3 U I< \J 3 U IJ; \J
3 U I; Jb \J
); J b \
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
([DPSOH \ D\ E IRU D !
)< \ 3 UI< \ J 3 U ID; E \J
| } t u
\bE \bE
3U ; );
D D
[ z 1 KHQFH I; [ S
Hb[
{
GJ [ Gm[
[ \ m KHQFH G[ G[
m
r \ s nn nn Hb\ m
I< \ I; n n S
m nmn { m
KHQFH < z 1 m
RU YLD WKH GLVWULEXWLRQ IXQFWLRQ
Q \R
3 UI< \ J 3U ;
m
r\s = \m
)< \ );
Hbz Gz
S
m b {
I< \
G
) \
G
S
= \ m Hbz
Gz
G\ G\ { b
S
Hb\ m
{ m
/HLEQLW] UXOH
(\ m([
(\ m ([ m m
$SSHQGL[ $
\ z 1 m
\ J [ [ KHQFH [ J [
n n
n #J #J n n n
n n n n
n #[ #[ n n n
n n
M- M n
n #J
n n
n
n
n
n #J nn n n
n n
#[ #[
[ \ b [
[ [
I; ; \ [ I; ; \ b [ [
MM
= =
I< \ \ b [ [ G[ I \ b [ I; [ G[
b ; ; b ;
I
VWDWLVWLFDOO\ LQGHSHQGHQW
RU
= = \ b[
)< \ [ [ G[ G[
b [ b ;;
I
[
3 U I< \ J
= t= \b[ u
I [ I [ G[ G[
b ; b ;
G)< \
I< \
G\
=
I [ I \ b [ G[
b ; ;
/HLEQLW] UXOH
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
&KDUDFWHULVWLF )XQFWLRQ
=
&; M I [HM[ G[
b
I [
= & MHbM[ G
{ b ;
([DPSOH 6XSSRVH WKH UDQGRP YDULDEOH LV *DXVVLDQ LH [ z 1 WKHQ
= b[ M[ b
&; M S H H G[ H
b {
LH OLQHDU WUDQVIRUPDWLRQ RI D *DXVVLDQ LV *DXVVLDQ
*HQHUDO 0RPHQWV
=
(J [ J[I [G[
b
=
([Q [Q I [G[
b
= =
(J[ \ J[ \ I [ \ G[ G\
b b
= =
([Q \ P [Q \ P I [ \ G[ G\
b b
= =
([\< 5;< [\I [ \ G[ G\
b b
1RWH LI ([\ ([ (\ WKHQ [ DQG \ DUH XQFRUUHODWHG
&21',7,21$/ 352%$%,/,7<
); [M< %
3 U; [M< % ZLWK 3 UI< % J !
I; [M< %
G); [M< %
G[
I; [M< % w
=
I [M< % G[
b ;
= [
); [M< % I [M< % G[
b ;
$SSHQGL[ $
=
3 U>; $M< % @ I; [M< % G[
$
5[
); M< [M\ ); [M< \ b I;< [ \G[
I< \
3 U $ % &
3 U$M% &
3 U% &
1RWH %D\HV
WKHRUHP KROGV DOVR IRU GHQVLWLHV
=
I [ I [M\I \G\
b
ZKHUH
I [ \
I [M\
I \
VR =
I [ \ G\ PDUJLQDO RI I [
VR
5; W W b ~ 5; ~
|; W W
( >[ b P [ b P @ 5; W W b P P
} } } }
ZKHUH
PL ([L L
}L ( [L b PL
5; ~ b P
|; ~
}
&URVV&RUUHODWLRQ )XQFWLRQ
5;< W W e
( I[ [ J
( [W [eWb~
j k
5;< ~
3URSHUWLHV
5; ~ e
5; b~ IRU FRPSOH[ SURFHVV
5; ~ 5; b~ IRU UHDO SURFHVV
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
5;< ~ e
5< ; b~
5;
};
M5; ~ M 5;
};
M5;< ~ M
>5 5 @
;; <<
S
M5;< ~ M 5; 5<
5; ~ OLP = 7 [W[e W b ~ GW
7 7 b7
5;< ~ OLP = 7 [W\e W b ~ GW
7 7 b7
3URSHUWLHV
6; w
6; 6; b IRU UHDO [W
6; LV UHDO IRU UHDO [W
1RWH
=
e
6; e
5; ~ HMW GW
$SSHQGL[ $
=
5; ~ H bMW GW 6; LV DOZD\V D UHDO YDOXHG IXQFWLRQ
LPDJ 6;
DQ HYHQ IXQFWLRQ IRU UHDO SURFHVV
VLQFH
=
e
5; ~ UHDO 6; 5; HM b~ GW 6; b
&URVV6SHFWUD&RUUHODWLRQ
=
6;< 5;< ~ H bM~ GW
5;< ~
= 6 HM~ G
{ ;<
e
6;< 6< ; IRU FRPSOH[ SURFHVVHV
6;< 6;< b IRU UHDO SURFHVVHV
m \ W n \ W
=
\ W K~ I W b ~ GW KW e I W
b
ZKHUH KW LV WKH LPSXOVH UHVSRQVH
RU
) I\WJ ) IKWJ) II WJ
< + )
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
%,%2 67$%,/,7<
,I
MI WM 0
WKHQ
n=
n
n =
n =
M\ WM n
nI W[W b ~ GWnn 0 MK~ MGW 0 MK~ MGW
b b b
,Q JHQHUDO ZH
OO ZRUN ZLWK VWDEOH WLPH LQYDULDQW V\VWHPV
5DQGRP ,QSXWV
/HW [W EH D UHDOL]DWLRQ VDPSOH IXQFWLRQ RI WKH UDQGRP SURFHVV [W
=
[W b KW b \W K~ [W b ~ GW
b
=
P< \x (\W K~ P; GW
=
P; K~ GW
P< P; +
= =
( \W \W b~ Kz Ko ( I[W bz [Wb~ bo JGz G~
ZVV LQSXW
= =
Kz Ko 5; ~ o b z Gz Go
5< ~ e
5; ~ e K b~ e K~
6< ) I5< ~ J
=
5 ~ HbM~ G~
b <
= =
6< Kz Hb Mz Gz Ko HMo Go
=
5 ~ o b z HbM~ o bz Gz Go GW
b ;
c
M+ MM 6; 5< ~ e
5; e K~ e K b~
$SSHQGL[ $
*LYHQ WKH SDUDOOHO QHWZRUNV
= =
5< < ~ K XK Y 5[ ~ Y b XGX GY
= + M+ e M6 HM~ G
{ b ;
6< < e
+ M+ M6;
:KLWH 1RLVH
${
!
!
! b : :
!
! :
!
61 ${
!
! b b : b :
!
! :
!
!
HOVH
51 ~ $
VLQ: ~ FRV ~
: ~
5HIHUHQFHV
>@ 3DSRXOLV $ 3UREDELOLW\ 5DQGRP 9DULDEOHV DQG 6WRFKDVWLF 3URFHVVHV
1HZ <RUN 0F*UDZ+LOO
$SSHQGL[ $
>@ /HRQ*DUFLD $ 3UREDELOLW\ DQG 5DQGRP 3URFHVVHV IRU (OHFWULFDO (Q
JLQHHULQJ QG HG $GGLVRQ:HVOH\ 3XEO &R
>@ +HOVWURP &: 3UREDELOLW\ DQG 6WRFKDVWLF 3URFHVVHV IRU (QJLQHHUV QG
HG 1HZ <RUN 0DF0LOODQ ,QF
>@ 7KRPDV -% $SSOLHG 3UREDELOLW\ DQG 5DQGRP 3URFHVVHV 1HZ <RUN
-RKQ :LOH\ 6RQV
>@ 0RKDQW\ 1 5DQGRP 6LJQDOV (VWLPDWLRQ DQG ,GHQWLnFDWLRQ $QDO\VLV
DQG $SSOLFDWLRQV 1HZ <RUN 9DQ 1RVWUDQG 5HLQKROG &R ,QF
>@ 6KDQPXJDQ .6 DQG %UHLSRKO $0 5DQGRP 6LJQDOV 'HWHFWLRQ
(VWLPDWLRQ DQG 'DWD $QDO\VLV 1HZ <RUN -RKQ :LOH\ 6RQV
>@ :KDOHQ $' 'HWHFWLRQ RI 6LJQDOV LQ 1RLVH 1HZ <RUN $FDGHPLF
3UHVV
>@ 0DLVHO / 3UREDELOLW\ 6WDWLVWLFV DQG 5DQGRP 3URFHVVHV 1HZ <RUN
6LPRQ 6FKXVWHU
$33(1',; %
6LJQDOV DQG 7UDQVIRUPV
RU LI LW LV VTXDUH LQWHJUDEOH
=
I W GW
>
M M
WKHQ =
) M I WH>MW GW
>
0DQ\ WLPHV ZH VXSSUHVV WKH M GHSHQGHQF\ VR ) M LV GHQRWHG E\ )
7KH LQYHUVH LV JLYHQ E\
I W
= ) HMW G
{ >
)RU SHULRGLF VLJQDOV )RXULHU VHULHV H[SDQVLRQ
I W I W 7 W DQG
7
{
;
I W FN HMN
W
N >
ZKHUH FN = 7 I WH>MN
W GW
7 >7
N >
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
'LVFUHWH )RXULHU 7UDQVIRUP ')7
>
; >
1
) N I QH M { 1 NQ
Q
>
1;
I Q ) N HM { 1 NQ
1
N
)RU )RXULHU UHIHUHQFH UHODWHG PDWHULDO FRQVXOW >@ DQG UHYLHZ &KDSWHU
+LOEHUW 7UDQVIRUP >@
AW
[ [W [W
+I
J e
{W
3 = [~
G~
{ > W ~ b
OLP VLPXOWDQHRXVO\
q
) I[WJ ;
| } |
)
VJQ M VJQ
M
b w
{W M
b
M
|
M; w
AWJ
) I[ b M; VJQ
b
M;
+LOEHUW WUDQVIRUP oLSV WKH VLJQ RI WKH )RXULHU WUDQVIRUP RI WKH SRVLWLYH
SDUW RI WKH IUHTXHQF\ FRPSRQHQWV DQG PXOWLSOLHV DOO VSHFWUDO FRPSRQHQWV E\
M
S
b
([DPSOH
HM
W H>M
W
[W FRV W
"
"
")
\
$SSHQGL[ %
) IFRV WJ { >p b p @
"
"
"
\ +
+I FRV W J AW
[
M b HM
W H>M
W c
b
DW VLQ W
+I DW FRV W
J b
3URSHUWLHV
[WDQG [AW DUH RUWKRJRQDO
[AW [W
+I J
+IAW
[ J [W
b
WKHQ
\AW KW [ AW [W KA W
e e
,I DW LV EDQGOLPLWHG WKHQ
DW FRV W
+I DW VLQ W
J
DW VLQ W
+I DW FRV W
J b
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
7LPH DYHUDJHV
5;; ~ 5;A ;A ~
= 7
A ~
5;; OLP AW[W
[ ~ GW
7 7 >7
b
A;; ~
5
5; ;A ~ b 5A;; ~
A ~
5;; b A ~
5;; b
A b~
5; ; b 5; ;A ~
5; ;A
([SHFWDWLRQV
AW
(;W ; >~ 5; ;A ~
5; ;A ~ b A;; ~
5
A ~
5;; A;; ~
5
5;A ;A ~ 5;; ~
6;; 6;A ;A
3UH(QYHORSHV $QDO\WLF 6LJQDO DQG &RPSOH[ (QYHORSHV
:H GHnQH WKH SUHHQYHORSH RI [W [S W
[S W [W M [AW
ZKHUH [AW +LOEHUW WUDQVIRUP RI [W
[W UHDO [S W I J
AW
[ [W
+I LPDJ [S W
J I J
; ) [WI J
;S ) [S W
I J
; M > M VJQ @;
b
; !
;
$SSHQGL[ %
7KH WZR VNHWFKHV GUDZQ EHORZ LOOXVWUDWH WKH LGHD EHKLQG WKH FRQFHSW RI
WKH SUHHQYHORSH ,W VKRZV LQ WKH )RXULHU GRPDLQ KRZ WKH EDQGSDVV DQG '&
FRPSRQHQWV DUH PDQLSXODWHG
[S W [W M [AW
RU
JHW ; ) [W OHW
I J
; !
;S
;
:H VHH WKDW
a
; VKLIWHG YHUVLRQ RI ;S
RU >M
W
aW
[ [S WH
([DPSOH
I W D QDUURZEDQG VLJQDO
I W [W FRV W \W VLQ W
b
IAW [W VLQ W \ W FRV W
IS W [W M [
AW
[W FRV W \W VLQ W
b
M [W VLQ W \W FRV W
[W M\WFRV W M VLQ W
[W M\WHM
W
IaW IS WH>M
W [W M\ W
$SSHQGL[ %
7KH HQYHORSH LV GHnQHG WR EH WKH PDJQLWXGH RI WKH FRPSOH[ HQYHORSH
S
I W IaW
M [ W \ W
M
QW
LV ZVV b [W DQG \W DUH ZVV
ZLWK 5;; ~ 5< < ~ DQG 5; 5< }
6; 6< QDUURZEDQG SURFHVV
A W
Q [W VLQ W \ W FRV W
VR
[W QW FRV W Q
AW VLQ W
\ W A FRV W b QW VLQ W
Q
LQSKDVH TXDGUDWXUH
FRPSRQHQW SKDVH FRPSRQHQW
/HW
S
HW [ W \ W 5D\OHLJK 3')
W WDQ> \W [W XQLIRUP 3')
WKHQ
QW HW FRV W W
)RU PRUH GHWDLO RQ VLJQDOV FRQVXOW >@
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
')7 ,QWHUSUHWDWLRQ
6XSSRVH ZH KDYH D FRPSOH[ YDOXHG WLPH VLJQDO LH VLJQDO ZLWK D RQHVLGHG
QDUURZEDQG VSHFWUXP VD\ [Q DQHM
Q ZKHUH DQ LV ORZ SDVV QDUURZ
EDQG SURFHVV
;
Q 1 >
;Q HM [PH>MP ZKHUH Q LV WKH WLPH LQGH[
P Q
P Q
aQ
[ [S QH>M
Q
DQ
5HIHUHQFHV
>@ 2SSHQKHLP $9 :LOOVN\ $6 DQG <RXQJ ,7 6LJQDOV DQG 6\VWHPV
(QJOHZRRG &OLmV 1- 3UHQWLFH+DOO
$SSHQGL[ %
>@ /XGHPDQ /& )XQGDPHQWDOV RI 'LJLWDO 6LJQDO 3URFHVVLQJ 1HZ <RUN
:LOH\ +DUSHU 5RZ 3XEOLVKHUV
>@ 2SSHQKHLP $9 DQG 6FKDIHU 5: 'LJLWDO 6LJQDO 3URFHVVLQJ (QJOH
ZRRG &OLmV 1- 3UHQWLFH+DOO
>@ 0RKDQW\ 1 5DQGRP 6LJQDOV (VWLPDWLRQ DQG ,GHQWLnFDWLRQ $QDO\VLV
DQG $SSOLFDWLRQV 1HZ <RUN 9DQ 1RVWUDQG 5HLQKROG &R ,QF
>@ 6KDQPXJDQ .6 DQG %UHLSRKO $0 5DQGRP 6LJQDOV 'HWHFWLRQ
(VWLPDWLRQ DQG 'DWD $QDO\VLV 1HZ <RUN -RKQ :LOH\ 6RQV
$33(1',; &
0DWKHPDWLFDO 6WUXFWXUHV
5HIHUHQFHV
>@ +RmPDQ . DQG .XQ]H 5 /LQHDU $OJHEUD (QJOHZRRG &OLmV 1-
3UHQWLFH+DOO
>@ +RmPDQ . $QDO\VLV LQ (XFOLGHDQ 6SDFH (QJOHZRRG &OLmV 1- 3UHQWLFH
+DOO
$33(1',; '
6RPH 0DWKHPDWLFDO ([SUHVVLRQV DQG 0RPHQWV
RI 3UREDELOLW\ 'HQVLW\ )XQFWLRQ
= {
, [ H[ VLQ t Gt >@
{
,Q [ >
M Q -Q M[ >
H M Q{ -Q M[
, [ - M[
= {
[ [ [
- [ FRV[ VLQ t Gt b b ccc >@
{ c c c
= {
HM[ VLQ t Gt
{
= {
, [ H[S[ FRVt Gt
{
[
IRU VPDOO [ , {
H[S[
IRU ODUJH [ , [ { S S
{ [
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
HUI [
'HnQH
= [
HUI [
>
H \ G\
>
S
{
=
H>\ G\
HUI F[ S
{ [
b HUI [ 4[
1RWH
D QHJDWLYH QXPEHU
HUI F[ HUI M[ M D SRVLWLYH QXPEHU
[ :H VHH
HUI [ HUI FM[ M
HUI [ b HUI b[
ZKHUH
D
D b W H[
D
D b H
D
[ >
HUI F 3 ) $
$SSHQGL[ '
*XHVV D UHDVRQDEOH [
t uw
5W
[ OQ ZKHUH W
3) $ H[
t uw
5W
[ OQ W
3) $ H[
;
5W DL WL
L
= [ t u
> >
H \ P } G\ HUI
[bP
>
S
{ } }
= [>P }
>
H W GW
>
S
{
t u
[bP
4
}
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
&RPSOHPHQWDU\ (UURU )XQFWLRQ 7DEOH
=
(5) & [ S
>
H X GX
{ [
7KH YDOXHV DUH FRPSXWHG XVLQJ WKH 0$7/$% RU YHUVLRQ 7KH 0DWKZRUNV
,QF DV JLYHQ EHORZ
t u
[
(5) & [ HUI F0$7/$% S
$SSHQGL[ '
1
; > D b U 1
DU L U
bU
L
; D
LI b U WKHQ DUL
bU
L
[ [ [
OQ [ [b b ccc b [
[ [ [
, [ ccc
c c c
[
z
IRU VPDOO [
|
H[S[ c
, [ S ccc
{[ [ [
H[S[
z S IRU ODUJH [
{[
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
)XQFWLRQDO &KDUDFWHULVWLF
'HQVLW\ )RUP )XQFWLRQ 0HDQ }
3RLVVRQ 3 U [ ; D D
D[ HbD M b
HDH
[
[ ???
D!
&KLVTXDUH I ; [ ; Q Q
rQ s >
> Q
MQ
[Q b Hb[
IRU [ !
([SRQHQWLDO I ; [ ;
D D
D
DHbD[
IRU [ !
D M >
*DXVVLDQ I ; [ ; [x }
5{} HM[x Hb
}
Hb[b[x
}
T{ r s
5D\OHLJK I ; [ D
> { D
[ b[ D
H
D
IRU [ !
8QLIRUP I ; [ ;
DE E > D
HME HMD>
E >D ME D >
IRU D [ E
> D E
T r s
0D[ZHOO I ; [
{ D
> {
D
T
D [
{
HbD [
IRU [!
D!
$SSHQGL[ '
)XQFWLRQDO &KDUDFWHULVWLF
'HQVLW\ )RUP )XQFWLRQ 0HDQ }
Q Q
(UODQJ I; [ ;
D D
DQ [Qb HbD[ DQ
>
Q >
D M Q
IRU [ !
Q ???
D!
&DXFK\ I; [ ;
D {
HMEbDMM
>
D [ E
D!
IRU> [
5HIHUHQFHV
6FKDXP
V 2XWOLQH 6HULHV 7KHRU\ DQG 3UREOHPV 0DWK
>@ 6SLHJHO 05
HPDWLFDO +DQGERRN RI )RUPOXODV DQG 7DEOHV 1HZ <RUN 0F*UDZ+LOO
%RRN &R
ZKLFK VD\V WKDW WKH VFDOLQJ IXQFWLRQ LQ D JLYHQ VFDOH LV GHOWD FRUUHODWHG 7KH
HQHUJ\ RI WKH VFDOLQJ IXQFWLRQ LV GHQRWHG E\ . ,I . HTXDOV RQH WKHQ WKH
EDVLV IXQFWLRQV DUH QRUPDOL]HG
,Q JHQHUDO DQ\ IXQFWLRQ I W FDQ EH ZULWWHQ DV
; ;
;
I W FN W b N GP N PN W
N > P N >
ZKHUH PN W P P W b N
$SSHQGL[ (
6LQFH W b Q VSDQV 9 9 j : W b Q VSDQV 9 DQG W b Q VSDQV
: D ZHLJKWHG VXP ZLOO VSDQ 9 DV JLYHQ E\
; S
W KQ W b N WKH VFDOLQJ HTXDWLRQ
Q
5HIHUHQFHV
>@ 2SSHQKHLP $9 :LOOVN\ $6 DQG 1DZDE 6+ 6LJQDOV DQG 6\VWHPV
QG HG 8SSHU 6DGGOH 5LYHU 1- 3UHQWLFH+DOO
>@ %XUUXV &6 *RSLQDWK 5$ DQG *XR + ,QWURGXFWLRQ WR :DYHOHWV
DQG :DYHOHW 7UDQVIRUPV $ 3ULPHU 8SSHU 6DGGOH 5LYHU 1- 3UHQWLFH
+DOO
>@ 6WUDQJ * DQG 1JX\HQ 7 :DYHOHWV DQG )LOWHU %DQNV :HOOHVOH\ 0$
:HOOHVOH\&DPEULGJH 3UHVV
,QGH[
'HWHFWLRQ 7KHRU\ $SSOLFDWLRQV DQG 'LJLWDO 6LJQDO 3URFHVVLQJ
FRQYROXWLRQ (
FRRUGLQDWH WUDQVIRUPDWLRQ
FRUUHODWLRQ HpFLHQW HVWLPDWH
LQVWDQWDQHRXV HLJHQIXQFWLRQ
VSHFWUDO HLJHQYDOXH
FRUUHODWLRQ UHFHLYHU HQVHPEOH DYHUDJH
FRUUHODWRU HQYHORSH GHWHFWRU
FRUUHODWRU EDQN HUJRGLFLW\
FRVW HUURU IXQFWLRQ
FRYDULDQFH HUURU RI WKH nUVW NLQG
&UDPHU5DR &5 ERXQG HUURU RI WKH VHFRQG NLQG
FURVV SRZHU VSHFWUDO GHQVLW\ HVWLPDWLRQ
FURVV FRUUHODWLRQ
FXPXODQW VSHFWUXP )
FXPXODQWV
IDVW FRUUHODWLRQ
F\FORVWDWLRQDU\ SURFHVVLQJ
IDVW )RXULHU WUDQVIRUP ))7
))7 DFFXPXODWLRQ PHWKRG )$0
IDVW ZDYHOHW WUDQVIRUP
PHWKRG
nOWHULQJ
VWULS VSHFWUDO FRUUHODWLRQ PHWKRG
nQLWH LPSXOVH UHVSRQVH ),5 nO
66&$
WHU
VPRRWKHG F\FOLF SHULRGRJUDP
)RXULHU WUDQVIRUP )7
)RXULHU VHULHV
' )UHGKROP HTXDWLRQ RI WKH nUVW NLQG
GHFLPDWLRQ )UHGKROP HTXDWLRQ RI WKH VHFRQG
GHFRPSRVLWLRQ NLQG
GHWDLO IXQFWLRQ IXQGDPHQWDO WKHRUHP RI WUDQVIRU
GLVFUHWH )RXULHU WUDQVIRUP ')7 PDWLRQ
GLVFUHWH WLPH *
FRQYROXWLRQ
*DERU WUDQVIRUP
FRUUHODWLRQ
*DXVVLDQ GHQVLW\
')7
*UDP6FKPLGW SURFHGXUH
GLVFUHWH WLPH FRQWLQXRXV ZDYHOHW WUDQV
IRUP '7&:7 +
GLVFUHWH WLPH FRUUHODWRU
GLVFUHWH WLPH )RXULHU WUDQVIRUP '7)7 KLJKHU RUGHU PRPHQWV
+LOEHUW WUDQVIRUP
GLVFUHWH ZDYHOHW WUDQVIRUP ':7 KRPRJHQHRXV LQWHJUDO HTXDWLRQ
K\SRWKHVLV WHVWLQJ
,QGH[