摘要
本文介绍了检验经济数据中的混沌现象的两种方法—R/S分析和BDS统计方法。通过对上证综指进行R/S分析,计算了它的Hurst指数并发现它的平均循环周期,并研究了经济时间序列的短期或长期依赖特性及其演化趋势。对同样的数据进行BDS分析,研究了经济时间序列的随机特性。
This paper introduced two methods to check up the chaos phenomenon in economic data .The one is R/S Analysis, the other is BDS Statistic. By using R/S Analysis in Shanghai security integrate exponent, I calculate its Hurst exponent and find its average circular cycle . And I take research of short term and long term dependency and evolve tendency in economic time series .By analysing the same data with BDS Statistic, I take the research of random characteristic in economic time series.
出处
《微计算机信息》
北大核心
2006年第03X期148-150,共3页
Control & Automation
基金
江苏攻关项目(BE2002327)
