非线性时间序列周期分析的R/S分析方法及其应用  

R/S Analysis for Finding Non-linear Time Series′ Cycle and Its Application

作　　者：王炳雪[1] 史忠科[2] 

机构地区：[1]上海财经大学信息系,上海200433 [2]西北工业大学自动控制系,西安710072

出　　处：《数学的实践与认识》2004年第4期104-108,共5页Mathematics in Practice and Theory

摘　　要：许多时间序列 ,例如资本数据等经济类时间序列 ,是由众多错综复杂因素共同作用的结果 ,存在着种种线性和非线性作用机制 ,频谱分析及其种种变形不应该是这些时间序列周期分析的合适工具 ,R/S分析因为不象频谱分析那样有正弦或余弦的假设 ,因而具有明显的优势 .通过对上证指数的 R/S分析 ,发现上证指数具有长程正相关和大约 5个月一个周期的特点 .Some time series, such as capital data series and other economic data time series, come from interaction of large number of intricate factors and possess linear/non-linear mechanism. The conventional spectral analysis and other similar statistical tests would be inappropriate tools for cycle analysis on such time series. Here, the superiority of R/S analysis appear owing to lacking hypothesis of sine and cosine. The result of R/S analysis shows that Shanghai composite index is characterized by a persistent process for periods up to about 5-month.

关 键 词：时间序列 周期分析 R/S分析 资本市场 

分 类 号：F224[经济管理—国民经济]