A time series analysis method based on Renyi entropy and MMA

A time series analysis, time series technology, applied in special data processing applications, instruments, electrical digital data processing, etc., can solve problems such as heavy tail phenomenon

Inactive Publication Date: 2019-01-11
UNIV OF ELECTRONIC SCI & TECH OF CHINA
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Problems solved by technology

[0004] In view of the above-mentioned deficiencies in the prior art, a time series analysis method based on Rényi entropy and MMA provided by the present invention solves the problem of heavy tail phenomenon in traditional analysis methods

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  • A time series analysis method based on Renyi entropy and MMA
  • A time series analysis method based on Renyi entropy and MMA
  • A time series analysis method based on Renyi entropy and MMA

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[0035] The following describes the specific embodiments of the present invention to facilitate those skilled in the art to understand the present invention, but it should be clear that the present invention is not limited to the scope of the specific embodiments, for those of ordinary skill in the art, as long as various changes These changes are obvious within the spirit and scope of the present invention defined and determined by the appended claims, and all inventions and creations that utilize the concept of the present invention are protected.

[0036] Such as figure 1 As shown, a time series analysis method based on Rényi entropy and MMA includes the following steps:

[0037] S1, calculate the logarithmic cumulative deviation sequence x(i) of the time series X(i) of length N, the calculation formula is:

[0038]

[0039] In the above formula, Is the average value of all elements in the time series X(i), x k Is the kth element in the time series, and k is the subscript of the ...

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Abstract

The invention discloses a time series analysis method based on Renyi entropy and MMA. The invention makes use of the advantage of the MMA analysis method in multi-scale analysis of time series and theadvantage of Renyi entropy in dealing with heavy tail problem of time series analysis, has the ability to analyze time series with multi-attributes, multi-scales and multi-fractals, can reveal the short-term and long-term characteristics of financial time series, and especially can quantify the volatility, importance and relationship between the attributes of time series.

Description

Technical field [0001] The invention relates to the technical field of data mining, in particular to a time series analysis method based on Rényi entropy and MMA. Background technique [0002] In many time series, it is easy to find characteristics of periodicity or self-similarity, reflecting the existence of multifractal structure in these time series. Multifractal features are common in complex time series, such as financial time series, heartbeat sequence, traffic time series, weather record sequence, DNA sequence, etc. In order to analyze the multifractal characteristics of time series, some researchers have proposed many analysis methods, such as wavelet analysis, generalized Hurst index method, detrending fluctuation analysis (DFA), multifractal detrending fluctuation analysis (MFDFA), and more Scale fractal analysis (MMA) and so on. Some methods are briefly introduced in the previous chapter. Among them, MFDFA and MMA analysis methods are widely used in the research meth...

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Application Information

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IPC IPC(8): G06F16/2458
Inventor 李建平顾小丰胡健苌浩阳陆亚男葛学志俞腾秋李顺利
Owner UNIV OF ELECTRONIC SCI & TECH OF CHINA
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