| 经济时间序列相空间重构与混沌特性判定研究 |
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| 引用本文： | 郁俊莉,王其文,韩文秀. 经济时间序列相空间重构与混沌特性判定研究[J]. 武汉大学学报(理学版), 2004, 50(1): 33-37 |
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| 作者姓名： | 郁俊莉 王其文 韩文秀 |
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| 作者单位： | 1. 北京大学,光华管理学院,北京,100871
2. 天津大学,管理学院,天津,300072 |
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| 基金项目： | 中国博士后自然科学基金资助项目(2003033080) |
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| 摘 要： | 提出通过相空间重构及Lyapunov指数来判定时间序列的混沌特性．给出了时间序列相空间重构中确定最小嵌入维数的伪邻点法及确定时滞参数的自相关函数法；提出了一种计算Lyapunov指数的实用方法；最后，以上证综合指数收益率时间序列为例研究了经济时间序列的混沌特性判定问题．
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| 关 键 词： | 经济时间序列 相空间重构 混沌特性 Lyapunov指数 自相关函数法 伪邻点法 |
| 文章编号： | 1671-8836(2004)01-0033-05 |
| 修稿时间： | 2003-07-09 |
Theory and Practice on Reconstructed Phase Space of the Economic Time Series and Chaotic Characteristics |
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| YU Jun-li,WANG Qi-wen,HAN Wen-xiu. Theory and Practice on Reconstructed Phase Space of the Economic Time Series and Chaotic Characteristics[J]. JOurnal of Wuhan University:Natural Science Edition, 2004, 50(1): 33-37 |
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| Authors: | YU Jun-li WANG Qi-wen HAN Wen-xiu |
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| Affiliation: | YU Jun-li~1,WANG Qi-wen~1,HAN Wen-xiu~2 |
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| Abstract: | The purpose of this article is to judge the chaotic characteristics of time series by using phase space reconstruction and Lyapunov exponents. We discuss the method of the false neighboring and the auto-relativity function for determining the time delay parameter and minimum embedding dimension of the reconstructed time series phase space. Further more, we also put forward a method for calculating the Lyapunov exponents. In the last, a case study on judging the chaotic characteristics with the logarithm yield of the Shanghai Stock Market is performed. |
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| Keywords: | phase space reconstruction false neighboring method auto-relativity function method Lyapunov exponents |
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