【摘要】：經(jīng)驗(yàn)?zāi)Ｊ椒纸?EMD)能夠有效獲得非平穩(wěn)非線性信號(hào)的時(shí)頻特征,但傳統(tǒng)的EMD分解算法存在嚴(yán)重的端點(diǎn)效應(yīng).在深入研究和分析EMD算法的基礎(chǔ)上,提出了一種基于波形匹配的端點(diǎn)效應(yīng)處理方案,通過計(jì)算波形匹配度,在平均包絡(luò)線內(nèi)部尋找與其端部變化趨勢(shì)最為接近的子波,并用這段子波代替平均包絡(luò)線的邊緣部分,使處理后的平均包絡(luò)線極大地接近真實(shí)包絡(luò)線,并把這種端點(diǎn)效應(yīng)處理方案的EMD分解算法應(yīng)用到實(shí)際的股票市場(chǎng)價(jià)格趨勢(shì)分解中.實(shí)驗(yàn)結(jié)果表明,與經(jīng)典的EMD邊界延拓算法相比,本文提出的算法能更有效地抑制EMD分解時(shí)的邊界效應(yīng),分解得到的固有模式函數(shù)更能體現(xiàn)模擬信號(hào)真實(shí)的頻率、幅值信息.應(yīng)用實(shí)驗(yàn)表明:與現(xiàn)有方法相比,該方法更能提高預(yù)測(cè)精度.
[Abstract]:Empirical mode decomposition (EMD) can effectively obtain the time-frequency characteristics of non-stationary nonlinear signals, but the traditional EMD decomposition algorithm has a serious endpoint effect. On the basis of in-depth study and analysis of EMD algorithm, an endpoint effect processing scheme based on waveform matching is proposed. By calculating the degree of waveform matching, the wavelet which is closest to the change trend of its end is found in the average envelope. This wavelet is used to replace the edge part of the average envelope so that the processed average envelope is very close to the real envelope. The EMD decomposition algorithm of the endpoint effect processing scheme is applied to the actual price trend decomposition of the stock market. The experimental results show that compared with the classical EMD boundary extension algorithm, the proposed algorithm can suppress the boundary effect of EMD decomposition more effectively, and the intrinsic mode function obtained from the decomposition can reflect the real frequency and amplitude information of the analog signal more effectively. The experimental results show that compared with the existing methods, the proposed method can improve the prediction accuracy.
【作者單位】： 華南理工大學(xué)經(jīng)濟(jì)與貿(mào)易學(xué)院;紐約州立大學(xué)石溪分校商學(xué)院;復(fù)旦大學(xué)計(jì)算機(jī)科學(xué)技術(shù)學(xué)院;華南理工大學(xué)工商管理學(xué)院;
【基金】：教育部人文社會(huì)科學(xué)研究項(xiàng)目(13YJC790068) 國家自然科學(xué)基金(10826053,70871040) 華南理工大學(xué)中央高校基本科研業(yè)務(wù)費(fèi)專項(xiàng)資金(2009ZM0081)
【分類號(hào)】：F830.91;F224

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本文編號(hào)：2471382