[1]王海燕,李文,陈文彦.时间序列间统计依赖性测量的一种改进方法[J].南京理工大学学报(自然科学版),2002,(03):325-329.
 WangHaiyan LiWen ChenWenyan.A Revised Method to Measure Statistical Dependence Between Two Time Series[J].Journal of Nanjing University of Science and Technology,2002,(03):325-329.
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时间序列间统计依赖性测量的一种改进方法()
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《南京理工大学学报》(自然科学版)[ISSN:1005-9830/CN:32-1397/N]

卷:
期数:
2002年03期
页码:
325-329
栏目:
出版日期:
2002-06-30

文章信息/Info

Title:
A Revised Method to Measure Statistical Dependence Between Two Time Series
作者:
王海燕李文陈文彦
东南大学应用数学系, 南京210096
 南京理工大学理学院, 南京210094
Author(s):
WangHaiyan LiWen ① ChenWenyan
Department of Applied Mathematics, Southeast University, Nanjing 210096)
关键词:
时间序列 统计依赖性 互信息 关联积分
Keywords:
t ime series stat istical dependence mutual information correlation integral
分类号:
O212
摘要:
提出了利用改进的广义互信息测量 2个随机变量之间非线性统计依赖性的方法 ,在此基础上获得了利用关联积分计算 2个具遍历性的观测时间序列之间统计依赖性的公式 ,并与利用互信息和广义互信息测量 2个观测时间序列之间统计依赖性的方法进行了比较 ,通过例子说明了这种改进方法的优点
Abstract:
A new method to measure stat istical dependence between two random variables is proposed by use of revised generalized mutual informat ion. Based on this method, the formulat ion to calculate statist ical dependence betw een tw o observat ional t ime series w ith ergodicity is obtained by use of correlation integral. By comparing this method w ith the methods that measure stat ist ical dependence using mutual informat ion and generalized mutual information, the advantages of this method are illustrated by two examples.

参考文献/References:

1   Pompe B. Measuring statistical dependences in a time series. Journal of Statistical Physics, 1993,73( 3/ 4) : 587~ 610
2  Pompe B, Blidh P, Hoyer D, et al. Using mutual information to measure coupling in the cardio respirator y system. IEEE Engineering in Medicine and Biolog y, 1998, 17( 6) : 32~ 39
3  Prichard D, Theiler J. Generalized redundancies for time ser ies analysis. Physica D, 1995, 84:476~ 493
4  Grassberger P, Procaccia I. Estimation of the Kolmorgor ov entropy from a chaotic signal. Phys-ical Review A, 1983, 28: 2 591~ 2 593

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备注/Memo

备注/Memo:
王海燕  男  35 岁  副教授 博士
更新日期/Last Update: 2002-06-30