一種計算時間序列關(guān)聯(lián)維的逐步遞歸法
A Novel Method of Calculating the Correlative Dimension of Time-Series
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摘要: 該文提出了一種計算時間序列關(guān)聯(lián)維數(shù)的逐步遞歸法。該方法可按給定的置信度和相關(guān)性指標(biāo),逐步遞歸、識別并計算出一維時間序列的無標(biāo)度區(qū)及關(guān)聯(lián)維數(shù)。理論分析和仿真結(jié)果驗證了該方法的有效性和客觀性。
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關(guān)鍵詞:
- 時間序列; 關(guān)聯(lián)維; 重構(gòu)相空間; 分形
Abstract: In this paper, a novel method of calculating the correlative dimension of time-series is proposed. With this method, the fractal scaleless band of time-series can be identified and the correlative dimension of time series can be calculated according to the parameters given. The results of theory analysis and Monte Carlo simulation show that the method is efficient and objective in identifying the fractal scaleless band of time-series and calculating the correlative dimension of time series. -
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