摘要
应用混沌理论和小波变换的方法分析世界原油价格增长率的时间序列,通过相空间重构技术得到合理的时间延迟、嵌入维数和最大Lyapunov指数。实验结果给出了处理后的石油价格时间序列存在混沌性的证据,利用关联函数求出了关联维度,从而给出对系统的混沌程度的估计和对原油价格进行有效性预测的时间尺度。
In this sequence of growth paper, chaos theory and wavelet transform method are applied to analyze the time rates in crude oil prices in the world. Through phase space reconstruction technique, reasonable time delay and embedding dimension and the largest Lyapunov exponent are determined. The results give out the evidence of chaos＇ s existence in time sequence of continuous wavelet-based oil prices. After receiving the correlation dimension by using the correlation function, the estimate of system chaos and the time scale of effectiveness prediction to oil prices can be given.
出处
《信息技术》
2013年第5期20-23,共4页
Information Technology
基金
天津市哲学社会科学研究规划资助项目(TJGLWT11-17)
关键词
混沌
小波变换
相空间重构
时间序列
chaos
wavelet transform
phase space reconstruction
time sequence
