摘要
针对 R/S 系列分析方法在估计 H 参数时存在一定偏差,从而导致分析结论产生分歧的问题,提出用非线性估计方法提高 R/S 系列分析估计 H 参数的精确度,同时结合 ARFIMA 模型对估计精度进行了验证.最后应用非线性 R/S 方法揭示中国股市主要指数和个股收益序列中的长期记忆效应.
R/S series analysis is widely used as measures of long memory in time series. As H parameter estimated bias existed and the precision may be improved through using non-linear estimate as we proposed and verified with ARFIMA model. Finally long memory characters of Chinese stock index and stock samples are revealed by non-linear R/S analysis.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2005年第3期80-85,共6页
Systems Engineering-Theory & Practice
