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中国物理学会期刊

滑动移除重标方差在动力学结构突变检验中的应用

CSTR: 32037.14.aps.63.209203

Application of moving cut data-rescaled variance analysis in dynamic structure mutation testing

CSTR: 32037.14.aps.63.209203
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  • 标度指数是一个有效的非线性动力学指数,能够针对相关性时间序列动力学结构突变进行检测;通过滑动窗口技术和滑动移除窗口技术,重标极差对于相关时间序列动力学突变具有很好的检测能力,但由于重标极差方法本身的不完善,在滑动移除窗口较小时其检测结果出现一些虚假的突变点和突变区间. 鉴于此,本文提出了一种新的动力学检测方法——滑动移除重标方差. 理想序列数值试验表明,滑动移除重标方差具有很强的稳定性和准确性,在滑动窗口较小时其检测结果没有出现虚假的突变点和区间,实测资料的应用进一步验证了新方法的可靠性.

     

    Scaling exponent is a valid nonlinear dynamics index, and can effectively detect the dynamic structure mutations in the correlation time series by means of moving a fixed widow and the moving cut a fixed window technique. When there is short-term correlation, sequence with short-term correlation and the calculation result of scaling exponent with rescaled range will be influenced to a certain degree, resulting in a certain deviation for the scaling exponent calculation of a moving cut window sequence, and some false mutations point and mutations range for abrupt change detection. In view of this, we present a new method of the dynamic structure mutation detection-moving cut data-rescaled variance analysis. The numerical testing of ideal time series shows that the moving cut data-rescaled variance analysis has strong stability and accuracy, which is much better than the moving rescaled variance and the moving approximate entropy. The test results have not false mutation point and interval when the moving window is small. The further application to practically measured data validates the reliability of the new method.

     

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