哈尔滨商业大学学报（自然科学版）2007，Vol.23Issue(2)：249-252,256,5.
股指时间序列突变点小波检测研究
Study on wavelet detection of change point of stock exchange index time series
摘要
Abstract
Forecasting the change point of stock exchanges index time series is a key problem to the investment on stock market and then the detection of change point is a basis to the forecast. A non-parametric method, based on a wavelet data-dependent threshold technique for change point detection, is applied to detect the location and the number of change point of the monthly return rate of Shanghai stock exchanges index time series. It shows the explanation of the mathematical characterization of change point with Lipschitz exponents. The model mentioned in this paper proves that the local maxima of the wavelet transform modulus detect the locations of change points. The real example result shows that the location and number of change point is precisely.关键词
突变点/股指收益率/小波变换Key words
change point detection/stock market/wavelets transform分类
管理科学引用本文复制引用
隋学深,杨忠海..股指时间序列突变点小波检测研究[J].哈尔滨商业大学学报（自然科学版）,2007,23(2):249-252,256,5.基金项目
国家自然科学基金(70171050). （70171050）
