现代电子技术2013，Vol.36Issue(4)：66-68,72,4.
时间序列分析中数据的平稳性判定研究
Judgement of data stability in time sequence analysis
摘要
Abstract
The stability identification of time sequence is a key technology of time sequence analysis and forecasting. To provide more reliable stability judging method according to data feature, the mathematic principles of time path graph, autocorre-lation function, DF test and augment dickey-fuller test(ADF) test are analyzed proceeding from the conditions of data stability. Taking the stock data as the application background, simulation experiment and contrastive analysis for time sequence stability decision are performed with EViews tool. A conclusion that the comprehensive test including multiple detection methods is more reliable for the complex time sequence was obtained. The research provided a data preprocessing technical reference for the fur-ther research on the data analysis and forecasting in the random process.关键词
时间序列分析/数据平稳性/随机过程/ADF检验Key words
time sequence analysis/data stability/random process/augment dickey-fuller test分类
信息技术与安全科学引用本文复制引用
范涛涛,寇艳廷,刘晨,阎红灿..时间序列分析中数据的平稳性判定研究[J].现代电子技术,2013,36(4):66-68,72,4.基金项目
国家自然科学基金(30971611) （30971611）
河北省自然科学基金(F2009001276) （F2009001276）
河北联合大学大学生创新立项资助:非平稳数据的分析预测与实验仿真(X2011046) （X2011046）
