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非平稳过程的小波因果度量
引用本文:唐洪敏,谢衷洁. 非平稳过程的小波因果度量[J]. 数学物理学报(A辑), 2008, 28(2): 201-213
作者姓名:唐洪敏  谢衷洁
作者单位:北京大学概率统计系,北京100871
摘    要:该文对带有随机趋势的非平稳过程给出了一种新的因果度量定义.作者将证明新定义与Hosoya给出的因果度量定义等价, 但由于避免了以往文献中常见的对非平稳过程协整性的要求, 该定义有利于简化因果关系的假设检验.文中还对Wald检验和似然比检验进行了讨论.数值模拟和实证分析表明, 这两种检验方法都是有效的.

关 键 词:分数差分平稳过程  小波变换  因果度量  非因果性检验
文章编号:1003-3998(2008)02-201-13
收稿时间:2005-12-25
修稿时间:2005-12-25

Causality Measure of Nonstationary Processes by Wavelet
Tang Hongmin,Xie Zhongjie. Causality Measure of Nonstationary Processes by Wavelet[J]. Acta Mathematica Scientia, 2008, 28(2): 201-213
Authors:Tang Hongmin  Xie Zhongjie
Affiliation:Department of Probability and Statistics, Peking University, Beijing 100871
Abstract:A new causality measure of nonstationary processes with stochastic trend is proposed in this paper, which is proved to be equivalent with Hosoya's one-sided causality measure. The new measure avoids complicated cointegration analysis in the literature and two tests are discussed in detail. One is the wavelet Wald test, the other is likelihood ratio test. They work well both in numerical simulation and empirical example.
Keywords:Fractionally differenced stationary processzz  Wavelet transformzz  
Causality measurezz
  Noncausality test.zz
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