对多变量静态和非静态时间序列的基于内核的联合独立性测试
Zhaolu Liu1, Robert L Peach2,3, Felix Laumann1
1Department of Mathematics, Imperial College London, London SW7 2AZ, UK.
Royal Society open science
|November 30, 2023
概括
我们开发了新的基于内核的统计测试,用于分析复杂的多变量时间序列数据. 这种方法有效地揭示了各种应用中的静态和非静态过程中的更高阶依赖关系.
科学领域:
- 统计 统计 统计 统计
- 数据科学数据科学数据科学
- 时间序列分析时间序列分析
背景情况:
- 多变量时间序列数据在许多领域都很常见.
- 了解变量之间的依赖关系是准确分析的关键.
- 现有的方法可能无法捕捉到复杂的,高阶关系.
研究的目的:
- 引入新的基于内核的统计测试,用于在多变量时间序列中的联合独立性.
- 为静态和非静态过程扩展希尔伯特-施密特独立性标准.
- 提供一种可靠的方法来发现复杂数据中的更高阶相互作用.
主要方法:
- 基于内核的统计测试扩展了d变量希尔伯特-施密特独立性标准.
- 适用于静态和非静态的多变量时间序列.
- 使用重抽样技术对单个和多个实现时间序列.
主要成果:
- 在合成数据 (频率混合,逻辑门) 中成功发现了重要的更高阶依赖性.
- 在气候,神经科学和社会经济学的真实世界数据集中表现出强度.
- 验证了该方法检测复杂相互作用的能力.
结论:
- 开发的方法增强了多变量时间序列的分析.
- 它提供了一种有价值的工具,用于在各种数据中发现高阶交互.
- 扩大了统计独立性测试对现实世界系统的适用性.
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