| 多维时间序列在相空间重构中的应用 |
| |
| 引用本文： | 陆婕,顾圣士,蒋馥.多维时间序列在相空间重构中的应用[J].洛阳大学学报,2002,17(2):9-13. |
| |
| 作者姓名： | 陆婕 顾圣士 蒋馥 |
| |
| 作者单位： | 上海交通大学,管理学院,上海,200052 |
| |
| 摘 要： | 介绍了多为量时间序列重构相空间技术，并以上证指数的预测为算例，具体阐述了它对原有相空间重构技术的改进，研究结果表明多变量重构相空间技术的预测效果相对于单变量重构有很大提高，文章的最后指出了在这一方法在经济预测中的应用价值和前景。
|
| 关 键 词： | 多维时间序列 相空间重构 多变量时间序列 重构相空间 嵌入理论 经济预测 嵌入维数 分形维数 |
| 文章编号： | 1007-113X(2002)02-0009-05 |
Application of Multivariate Time Series in Reconstrusting Phase Space |
| |
| LU Jie,GU Sheng shi,Jiang Fu.Application of Multivariate Time Series in Reconstrusting Phase Space[J].Journal of Luoyang University,2002,17(2):9-13. |
| |
| Authors: | LU Jie GU Sheng shi Jiang Fu |
| |
| Abstract: | This paper introduces a new method, namely, multivariate time series reconstructing phase space. By making use of forcasting SSEC index as an algorithm, the paper explicates an definite improvement for the original technique of the reconstructing phase space. The result of the research also shows that reconstructing phase space via multivariate time can forecast much better than via univariate time series. Finally, the paper points out the applied value and prospect of this mettod in forecasting the economy. |
| |
| Keywords: | multivariate time series the reconstruction of phase space embedding theory |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
