| 金融时间序列去趋势统计方法研究 |
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| 引用本文： | 梁四安,田剑波,戴永隆. 金融时间序列去趋势统计方法研究[J]. 长江大学学报, 2005, 2(4): 100-104 |
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| 作者姓名： | 梁四安 田剑波 戴永隆 |
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| 作者单位： | 中山大学数学与计算科学学院,广东,广州,510275;中山大学数学与计算科学学院,广东,广州,510275;中山大学数学与计算科学学院,广东,广州,510275 |
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| 摘 要： | 金融时间序列分析关注的不仅仅是统计意义上的显著性,更重要的是要考虑到合理的经济解释.只有在合理经济解释基础上的统计结果,才能保证统计结果和预测的稳定性,并对实践作出指导.通过对金融时间序列去趋势统计方法的研究,得出了经济解释的难度随着统计显著性的增加呈上升趋势的一般性结论以及一些对实践具有指导意义的结论.
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| 关 键 词： | 金融时间序列 去趋势 参数统计 非参数统计 |
| 文章编号： | 1673-1409(2005)04-0100-05 |
| 修稿时间： | 2004-11-28 |
Methods of Detrend of Financial Time Series |
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| LIANG Si-an,TIAN Jian-bo,DAI Yong-long. Methods of Detrend of Financial Time Series[J]. Journal of Yangtze University, 2005, 2(4): 100-104 |
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| Authors: | LIANG Si-an TIAN Jian-bo DAI Yong-long |
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| Abstract: | Financial time series analysis is more concerned on the rational economic interpretation than the statistical significance. Only the result and prediction based reasonable economic interpretation can be robust and instructive in practice. Financial times series analysis plays important roles as statistical tools.The detrend method and its applications is investigated, some generally practical instructive conclusions are obtained that the economic interpretation is increasedly difficult as the statistical results are more significance. |
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| Keywords: | detrend financial time series parameter statistic nonparameter statistic |
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