小波降噪法在经济时间序列分析中的应用  

Application of Wavelet Denoising Method in Economic Time Series Analysis

作　　者：吕卫平[1] 黄婧[1] Lv Weiping;HUANG Jing(Longyan University, Longyan, Fujian 364000, Chin)

机构地区：[1]龙岩学院,福建龙岩364000

出　　处：《龙岩学院学报》2018年第2期12-17,共6页Journal of Longyan University

基　　金：福建省教育厅中青年(科技)项目(JAT160485)

摘　　要：主要研究小波降噪法在经济时间序列中的应用。介绍小波降噪法原理,给出利用小波降噪法处理经济时间序列时小波基函数、分解层数、阈值的选取原则,利用小波降噪法对期货市场中的某商品成交价格原始信号进行去噪处理,并得到较为光滑的真实信号的价格走势,去噪后的信号可为后续的研究提供更为精准的信息。The essence of economic time series is the signal and the signal is generally with noise. In order to extract accurate information from the economic time series signal,it is necessary to go through noise reduction processing. This paper mainly studies the application of wavelet denoising in economic time series. The principle of wavelet denoising method is introduced,then the selection principle of wavelet basis function,decomposition level and threshold value when using wavelet denoising method to deal with economic time series is given. The original signal of transaction price of a commodity in futures market is denoised by wavelet denoising method,and the price trend of smoother real signal is obtained. The de-noised signal can provide more accurate information for subsequent research.

关 键 词：小波去噪 尺度系数 小波系数 阈值 

分 类 号：O129[理学—数学]