一种非平稳性时间序列的相依性分析  

Analysis of Dependence in Non-stationary Time Series

作　　者：王选鹤[1] 冯立伟[1] 里莉[1] 

机构地区：[1]沈阳化工学院数理系,辽宁沈阳110142

出　　处：《沈阳化工学院学报》2009年第2期182-185,共4页Journal of Shenyang Institute of Chemical Technolgy

摘　　要：基于时间序列中重要的自回归模型,讨论非平稳条件下的相依性.并结合色散序和线性回归模型,给出变量间相依性随机递增的新刻画方法.最后用蒙特卡罗方法模拟2种常用分布下的数值结果,验证新方法的合理性.Based on the auto-regressive model, the dependence of non-stationary time series was discussed. More stochastic increasing is a dispersion order, to compare the relative degree of dependence between two pairs of random variables. To measure this dispersion order, a new method is given. We then estimate some numerical results by simulation using the Monte Carlo method under two important distributions, to show the rationality of the new method.

关 键 词：时间序列 SI AR(1) 色散序 

分 类 号：O212.1[理学—概率论与数理统计]