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A Novel Approach for Nonstationary Time Series Analysis with Time-Invariant Correlation Coefficient
المؤلفون المشاركون
Fu, Huimin
Wang, Zhihua
Zhang, Yongbo
Liu, Chengrui
المصدر
Mathematical Problems in Engineering
العدد
المجلد 2014، العدد 2014 (31 ديسمبر/كانون الأول 2014)، ص ص. 1-12، 12ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2014-01-22
دولة النشر
مصر
عدد الصفحات
12
التخصصات الرئيسية
الملخص EN
We will concentrate on the modeling and analysis of a class of nonstationary time series, called correlation coefficient stationary series, which commonly exists in practical engineering.
First, the concept and scope of correlation coefficient stationary series are discussed to get a better understanding.
Second, a theorem is proposed to determine standard deviation function for correlation coefficient stationary series.
Third, we propose a moving multiple-point average method to determine the function forms for mean and standard deviation, which can help to improve the analysis precision, especially in the context of limited sample size.
Fourth, the conditional likelihood approach is utilized to estimate the model parameters.
In addition, we discuss the correlation coefficient stationarity test method, which can contribute to the verification of modeling validity.
Monte Carlo simulation study illustrates the authentication of the theorem and the validity of the established method.
Empirical study shows that the approach can satisfactorily explain the nonstationary behavior of many practical data sets, including stock returns, maximum power load, China money supply, and foreign currency exchange rate.
The effectiveness of these processes is addressed by forecasting performance.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Liu, Chengrui& Wang, Zhihua& Fu, Huimin& Zhang, Yongbo. 2014. A Novel Approach for Nonstationary Time Series Analysis with Time-Invariant Correlation Coefficient. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-449610
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Liu, Chengrui…[et al.]. A Novel Approach for Nonstationary Time Series Analysis with Time-Invariant Correlation Coefficient. Mathematical Problems in Engineering No. 2014 (2014), pp.1-12.
https://search.emarefa.net/detail/BIM-449610
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Liu, Chengrui& Wang, Zhihua& Fu, Huimin& Zhang, Yongbo. A Novel Approach for Nonstationary Time Series Analysis with Time-Invariant Correlation Coefficient. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-449610
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-449610
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
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