本文選題：時(shí)間序列 + 頻率分量��； 參考：《統(tǒng)計(jì)與決策》2010年09期

【摘要】：文章采用分頻方式分析時(shí)間序列并為時(shí)間序列建模,首先對(duì)時(shí)間序列做離散余弦變換,用低頻變換系數(shù)重構(gòu)出時(shí)間序列的低頻分量,而剩余的高頻部分則采用時(shí)滯自相關(guān)分析方法確定模型結(jié)構(gòu)。針對(duì)股票多年日收盤(pán)價(jià)所作仿真試驗(yàn)證明,該時(shí)間序列建模方法是有效的,模型比較好地刻畫(huà)了時(shí)間序列的變化規(guī)律。
[Abstract]:In this paper, the time series is analyzed by the frequency division method and the time series is modeled. First, the discrete cosine transformation is made to the time series, the low frequency component of the time series is reconstructed by the low frequency transform coefficient, while the remaining high-frequency part is used to determine the model structure by the time-delay autocorrelation analysis method. Obviously, the time series modeling method is effective, and the model depicts the change law of time series better.

【作者單位】： 上海理工大學(xué)管理學(xué)院;
【基金】：上海市教育委員會(huì)科研資助項(xiàng)目(07ZZ94) 上海市重點(diǎn)學(xué)科資助項(xiàng)目(S30501)
【分類號(hào)】：F830;F224

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相關(guān)會(huì)議論文 前1條

1 田瑾;項(xiàng)靜恬;陳殿斌;;多種時(shí)間序列建模及組合預(yù)測(cè)的比較和改進(jìn)[A];中國(guó)現(xiàn)場(chǎng)統(tǒng)計(jì)研究會(huì)第九屆學(xué)術(shù)年會(huì)論文集[C];1999年

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本文編號(hào)：1788246