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A Novel Approach for Nonstationary Time Series Analysis with Time-Invariant Correlation Coefficient
Joint Authors
Fu, Huimin
Wang, Zhihua
Zhang, Yongbo
Liu, Chengrui
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-01-22
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract 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.
American Psychological Association (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
Modern Language Association (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
American Medical Association (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
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-449610