时间序列确定性的指标检验方法

摘要

对于时间序列的生成机理是否服从于确定规律性的判断将直接影响到对其进行研究的理论框架的选择.提出了一种时间序列确定性成分的指标检验方法.该方法首先将待检验的时间序列重构于高维相空间中,寻找其主要几何特征在低维欧式空间中的投影,再将投影反射回高维相空间.通过比较原高维相空间与反射空间之间的偏差,来判断该序列的确定性.仿真实验证明了该方法具有可靠性.%The determinism of time series has a direct impact on the choice of the theoretical framework. A method to detect the determinism of nonlinear time series is proposed. This method first reconstructs the time series into a high dimensional space. Then the low-dimensional projector of the high-dimensional manifolds is found in a low-dimensional Euclidean space. When the projector is reflected back to the high-dimensional space, there are differences between the projector and the high-dimensional manifolds. By comparing the high-dimensional manifolds and the projector reflected back to the high-dimensional space, the determinism of the time series can be detected. The simulation results show that the method is reliable.