相关系数与相关性度量

研究了度量相关性的两个主要工具:线性相关系数和尾部相关系数.线性相关系数反映了变量间的线性相关性,这对于一般的椭圆型分布是合适的.但如果随机变量具有不对称的尾部变化特征时,要用尾部相关系数描述它们之间的相关性.通过相关函数C opu la,对沪深股市的尾部相关系数进行了定量分析.结果表明:沪深股市具有较强的相关性.     

相关速率

本文讨论两个变量之间的相关速率问题，即：存在着某种函数关系的两个变量，当其中一个变量随着时间发生变化时，另一个变量随时间变化的情况．     

基于copula模型的沪深股市日收益率的相关性研究

由于沪深股市收益率具有非线性的特征,本文利用Copula函数从定量的角度刻画了上证综指和深证成指的日收益率序列的相关关系,研究表明,沪深股市日收益率序列呈现出很高的相关性,当沪深两市出现大幅震荡时,两市收益率的协同作用将大幅增强,Gaussian Copula函数更好的刻画了沪深股市收益率之间的秩相关性,Gumbel Copula函数在更好的刻画了两收益率序列的上尾相关性,而Clayton Copula函数在分析两序列的下尾相关性时较为出色,在平方欧氏距离标准下,t-Copula较好的拟合了沪深股市的日收益率序列。     

基于Copula-SV-t模型的沪深300期现相关性分析

结合SV-t模型和Copula模型,建立两变量金融时间序列的Copula-SV-t模型,并以刚刚上市交易的我国沪深300期货市场和其现货指数为例利用建立的模型进行相关程度和相关模式的分析,根据采用不同的Archimedean Copula函数,通过平方欧式距离评价Copula函数的拟合度.结果表明,股指期现市场之间存在条件正相关关系,且存在非对称的尾部相关关系,上尾部的相关性要强于下尾部的相关性,即期货市场的助涨效应要强于助跌效应.     

GMW-序列的多项相关性

提出了多项相关性的概念,并对二元序列进行多项相关分析,给出了GMW-序列多项相关函数的代数表达式和值域,证明了m—序列的各级相关函数的值域均为{1,T~(-1)},而GMW-序列除了自相关函数值域为{1,T~(-1)}外,其三级和三级以上的多项相关函数的值域的基数都大于2.     

从多种角度看线性相关系数

1引言 在科学研究中,我们不但要了解一个变量的变化情况,更要进一步了解一个变量与另一个变量之间的关系．变量之间的常见关系有两种：一是确定性函数关系,变量之间的关系可以用函数表示;二是非确定性相关关系,变量之间有一定的关系,但不能完全用函数表达,变量间只存在统计规律．相关和回归是研究变量间线性关系的重要方法．但两者研究的角度不同．回归是研究变量间的因果关系的,力图把非确定性相关关系化归为确定的函数关系,达到通过自变量的已知值来预测因变量的未知值的目的．     

正比例函数与反比例函数的思考

上海市初二数学教材第二十一章“正比例函数与反比例函数”共有三个单元:比例及性质;正比例函数与反比例函数;函数在第二单元中,正比例函数的定义为:“一般地,如果变量x、y满足y=kx(k≠0),那么称变量x、y成正比例,函数y=kx为正比例函数”.反比例函数的定义为:“一般地,如果变量x、y满足y=kx(k≠0),那么称变量x、y成反比例,函数y=kx为反比例函数.”本人认为,这样定义存在两点不足:1.它没能反映正比例函数、反比例函数与比例之间的内在联系,甚至让人觉得第一单元和第二单元间并没联系.在第一单元学习了比例,知道比例是形如a∶b=c∶d(bd≠0)的…     

相关免疫函数的结构与构造

一、引言 在流密码学中,人们通常采用一个线性移位寄存器或多个线性移位寄存器再加一个滤波函数来作为流密钥序列生成器。非线性滤波函数的作用是为了提高流密钥序列的线性复杂度。Siegenthaler指出:如果滤波函数选择不当,破译者在仅知密文的情况下可以使用相关攻击的方法来攻击该体制。为了抵抗相关攻击的方法,Siegenthaler提出了相关免疫函数的概念,并给出开关函数是相关免疫函数的必要条件。肖国镇和J.L.     

函数图像过定点的方法探究

函数关系是两个变量之间的特殊关系,表示函数关系的图像也会随函数解析式中系数的变化而变化,但有一些函数的图像无论系数如何变化都将过某些定点.如何寻求函数图像经过的定点呢?我归纳了以下三种情况:     

基于Copula-ECM-GARCH模型的农产品期货套期保值绩效研究

Copula函数具有可以准确刻画变量间的相依结构、精准描述金融时间序列"尖峰厚尾"分布特点的良好统计性质.针对传统计量模型在计算套期保值比率时存在的局限性,利用Copula函数描述变量的尾部相关性,并结合ECM-GARCH模型,对大豆、小麦、玉米三种国内农产品期货进行套期保值研究,分别计算最优的套期保值比率及其绩效,并...     

天然气期货和现货价格间的相关性研究

基于天然气期货价格与现货价格序列间具有强非线性特征,本文将GARCH模型和Copula函数思想进行结合,同时考虑了天然气期货和现货价格间的时变相关结构,构建了时变Copula(GARCH-Normal、GARCH-GED和GARCH-t)模型,利用美国纽约商品交易所(NYMEX)Henry Hub交易中心天然气期货价格和现货价格数据进行实证研究。实证结果表明:GARCH-GED模型能够准确地拟合天然气期货与现货价格时间序列;时变SJC-Copula函数能够更好的描述天然气期货价格与现货价格间的相关性;天然气期货与现货价格间的相关性不是对称的,上尾的相关性小于下尾相的相关性。     

Generating Signals with Multiscale Time Irreversibility: The Asymmetric Weierstrass Function

Time irreversibility (asymmetry with respect to time reversal) is an important property of many time series derived from processes in nature. Some time series (e.g., healthy heart rate dynamics) demonstrate even more complex, multiscale irreversibility, such that not only the original but also coarse-grained time series are asymmetric over a wide range of scales. Several indices to quantify multiscale asymmetry have been introduced. However, there has been no simple generator of model time series with "tunable" multiscale asymmetry to test such indices. We introduce an asymmetric Weierstrass function W(A) (constructed from asymmetric sawtooth functions instead of cosine waves) that can be used to construct time series with any given value of the multiscale asymmetry. We show that multiscale asymmetry appears to be independent of other multiscale complexity indices, such as fractal dimension and multiscale entropy. We further generalize the concept of multiscale asymmetry by introducing time-dependent (local) multiscale asymmetry and provide examples of such time series. The W(A) function combines two essential features of complex fluctuations, namely fractality (self-similarity) and irreversibility (multiscale time asymmetry); moreover, each of these features can be tuned independently. The proposed family of functions can be used to compare and refine multiscale measures of time series asymmetry.     

Uniqueness for multiple trigonometric and Walsh series with convergent rearranged square partial sums

If at each point of a set of positive Lebesgue measure every rearrangement of a multiple trigonometric series square converges to a finite value, then that series is the Fourier series of a function to which it converges uniformly. If there is at least one point at which every rearrangement of a multiple Walsh series square converges to a finite value, then that series is the Walsh-Fourier series of a function to which it converges uniformly.

     

The analysis of correlation integrals in terms of extremal value theory

In this paper we first give an overview of the methods of analysis of time series in terms of correlation integrals, which were developed for time series generated by deterministic systems. From the extremal value theory one obtains asymptotic information on the behaviour of the correlation integrals of time series generated by non-deterministic (mixing) systems. This leads to an analysis in terms of correlation integrals which is complementary to the estimation of dimension and entropy.Dedicated to the memory of Ricardo Mañé     

无限级Dirichlet级数

本文研究了右半平面上无限级的Ｄｉｒｉｃｈｌｅｔ级数及随机Ｄｉｒｉｃｈｌｅｔ级数．这里我们给出一个较宽的系数条件,并证明在一定意义上是最好的;计算无限级Ｄｉｒｉｃｈｌｅｔ级数的精确级;把随机级数的研究引向一般得多的非同分布情况,并得到右半平面上非同分布的无限级随机Ｄｉｒｉｃｈｌｅｔ级数几乎必然（ａ．ｓ．）以虚轴上的每一点为没有有限例外值的Ｂｏｒｅｌ点的结论．     

ARMA模型在哈尔滨气温预测中的应用

将时间序列分析引入到气温时间序列预测的研究中,深入分析气温样本数据,并对其建立ARMA模型.采用最佳准则函数法确定模型的阶数,并利用自相关函数对模型的残差进行了检验.通过条件期望预测和适时修正预测方法求得预测值,与真实值的比较得到适时修正预测精确度比条件期望预测的精确度高.     

处处不连续又不可测的达布函数类的势

该文提出了一种构造处处不连续，而且在任何区间内取到任一函数值ｃ次的达布函数类的新方法，证明了该函数类的势为２＾ｃ（ｃ为连续统势）；还得到了处处不连续又不可测的达布函数类的势为２＾ｃ。     

On Homotopy of connected graphs having the same degree function

Let denote the set of simple graphs having the degree function . It is known that any two graphs from are homotopic in the sense that one can be obtained from the other by a series of simple two-edge switches so that every intermediate graph is in . Let denote the set of simple graphs having at most k components. A natural question arises whether it is possible to extend the above homotopy result on the class , and in particular, whether it is possible to obtain a connected simple graph from another connected simple graph of the same degree function by a series of two edge switches preserving connectivity. In this paper we give an answer to this question. We also consider two-edge switches of a special type and single out some classes of graphs for which these special operations provide the corresponding homotopy between its members.     

基于Copula函数和非参数估计的尾部相关性

给出基于Copula函数的尾部相关性的定义和性质,采用非参数方法估计尾部相关系数.结合数据得出上证指数和深圳指数的尾部相关系数和对应图形比较,可知两种股票的上尾比下尾相关性强.此相关系数反映了上证指数与深圳指数在极端值处同时小于或同时大于某个数值的概率大小.     

Cave Plots: A Graphical Technique for Comparing Time Series

Abstract

Cave plots are a good way to compare data from two or more time series, even if the two series are observed at irregular times. Cave plots can show thousands of measurements, but they are readily understood, preserve individual values, highlight short-term, long-term, and periodic fluctuations, and make correlation (or lack of correlation) between two time series apparent. We have used a page of cave plots to show millions of measurements on network reliability and tens of thousands of measurements on air quality. The plots highlight features of the data that warrant a closer look.