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On the scaling ranges of detrended fluctuation analysis for long-memory correlated short series of data
scaling range detrended fluctuation analysis Hurst exponent power laws time series long memory econophysics complex systems
2012/9/14
We examine the scaling regime for the detrended fluctuation analysis (DFA) -the most popular method used to detect the presence of long memory in data and
the fractal structure of time series. First,...
Characterizing price index behavior through fluctuation dynamics
price index behavior fluctuation dynamics Statistical Finance
2012/6/4
We study the nature of fluctuations in variety of price indices involving companies listed on the New York Stock Exchange. The fluctuations at multiple scales are extracted through the use of wavelets...
Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals
Rescaled range analysis detrended fluctuation analysis Hurst exponent
2010/12/6
We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation—rescaled range analysis (R/S) and detrended fluctuation analysis (DFA). Even though both methods have bee...
Fluctuation-Dissipation Theory of Input-Output Interindustrial Correlations
Fluctuation-Dissipation Theory Input-Output Interindustrial Correlations
2010/11/3
The fluctuation-dissipation theory is invoked to shed light on input-output industrial correlations at a macroscopic level; it is applied to the IIP (indices of industrial production) data in Japan.
Modified detrended fluctuation analysis based on empirical mode decomposition
Modified detrended empirical mode decomposition
2010/11/1
Detrended fluctuation analysis (DFA) is a simple but very efficient method for investigating
the power-law long-term correlations of non-stationary time series, in which a detrending step is necessar...