检验具有长期趋势的不规则波动中的非线性。
Testing for nonlinearity in irregular fluctuations with long-term trends.
作者信息
Nakamura Tomomichi, Small Michael, Hirata Yoshito
机构信息
Department of Electronic and Information Engineering, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong.
出版信息
Phys Rev E Stat Nonlin Soft Matter Phys. 2006 Aug;74(2 Pt 2):026205. doi: 10.1103/PhysRevE.74.026205. Epub 2006 Aug 15.
We describe a method for investigating nonlinearity in irregular fluctuations (short-term variability) of time series even if the data exhibit long-term trends (periodicities). Such situations are theoretically incompatible with the assumption of previously proposed methods. The null hypothesis addressed by our algorithm is that irregular fluctuations are generated by a stationary linear system. The method is demonstrated for numerical data generated by known systems and applied to several actual time series.
我们描述了一种用于研究时间序列不规则波动（短期变异性）中的非线性的方法，即使数据呈现长期趋势（周期性）。从理论上讲，这种情况与先前提出的方法的假设不兼容。我们的算法所处理的原假设是不规则波动由平稳线性系统生成。该方法通过已知系统生成的数值数据进行了演示，并应用于几个实际时间序列。
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