Comparison of performance between rescaled range analysis and rescaled variance analysis in detecting abrupt dynamic change  

作　　者：何文平 刘群群 姜允迪 卢莹 

机构地区：[1]National Climate Center,China Meteorological Administration [2]College of Mathematics and Statistics, Nanjing University of Information Science and Technology [3]Yangzhou Meteorological Office

出　　处：《Chinese Physics B》2015年第4期581-588,共8页中国物理B（英文版）

基　　金：Project supported by the National Basic Research Program of China(Grant No.2012CB955902);the National Natural Science Foundation of China(Grant Nos.41275074,41475073,and 41175084)

摘　　要：In the present paper, a comparison of the performance between moving cutting data-rescaled range analysis （MC- R/S） and moving cutting data-rescaled variance analysis （MC-V/S） is made. The results clearly indicate that the operating efficiency of the MC-R/S algorithm is higher than that of the MC-V/S algorithm. In our numerical test, the computer time consumed by MC-V/S is approximately 25 times that by MC-R/S for an identical window size in artificial data. Except for the difference in operating efficiency, there are no significant differences in performance between MC-R/S and MC-V/S for the abrupt dynamic change detection. Mc-R/s and MC-V/S both display some degree of anti-noise ability. However, it is important to consider the influences of strong noise on the detection results of MC-R/S and MC-V/S in practical applicationIn the present paper, a comparison of the performance between moving cutting data-rescaled range analysis （MC- R/S） and moving cutting data-rescaled variance analysis （MC-V/S） is made. The results clearly indicate that the operating efficiency of the MC-R/S algorithm is higher than that of the MC-V/S algorithm. In our numerical test, the computer time consumed by MC-V/S is approximately 25 times that by MC-R/S for an identical window size in artificial data. Except for the difference in operating efficiency, there are no significant differences in performance between MC-R/S and MC-V/S for the abrupt dynamic change detection. Mc-R/s and MC-V/S both display some degree of anti-noise ability. However, it is important to consider the influences of strong noise on the detection results of MC-R/S and MC-V/S in practical application

关 键 词：moving cutting data-rescaled range analysis moving cutting data-rescaled variance analysis abrupt dynamic change 

分 类 号：TP301.6[自动化与计算机技术—计算机系统结构]