摘要
提出通过相空间重构及 Lyapunov指数来判定系统的混沌特性 .给出了时间序列相空间重构中确定最小嵌入维数的伪邻点法及确定时滞参数的自相关函数法 ;提出了一种计算 Lyapunov指数的实用方法 ;最后 ,以上证综合指数收益率时间序列为例进行了我国资本市场混沌特性判定研究 .
This is paper presents a method of a study on the chaotic characteristics by phase space reconstruction and Lyapunov exponents, and presents a method of the false neighboring method and the auto\|relativity function method for determining the time delay parameter and minimum embedding dimension of the reconstructed time series phase space; puts forward a method for calculate the Lyapunov exponents; perform a case study on judging the chaotic characteristics with the logarithm yield of the Shanghai Stock Market.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2002年第10期43-48,共6页
Systems Engineering-Theory & Practice
基金
(CCUIPP-NSFC)
投资银行管理创造性决策研究 (79942 0 1 3 )
