引入一种新的方法来建模给定的时间序列,基于将任何随机变化归因于跳跃事件:跳跃跳跃建模
Ali Asghar Movahed1, Houshyar Noshad2
1Department of Physics and Energy Engineering, Amirkabir University of Technology (Tehran Polytechnic), Hafez Avenue, P.O. Box 15875-4413, Tehran, Iran.
Scientific reports
|January 12, 2024
概括
这项研究引入了一种新的跳转漂移方程,以将时间序列数据中的随机变化模型为跳跃事件. 该模型统一了扩散和跳转扩散过程,使得从数据中对参数进行非参数估计.
科学领域:
- 随机过程是指随机的过程.
- 时间序列分析时间序列分析.
- 数学建模的数学建模
背景情况:
- 在时间序列中区分采样不连续性和实路不连续性是具有挑战性的.
- 现有的模型往往难以统一扩散和跳跃扩散过程.
研究的目的:
- 开发一个统一的随机动态方程,将所有随机变化模型作为跳跃事件.
- 证明该模型可以描述扩散和复杂的跳跃扩散过程.
- 为了证明模型参数可以从观察到的数据中估计非参数.
主要方法:
- 制定一个新的随机动态方程,包括漂移项和Poisson跳跃过程.
- 以最简单的形式分析方程 (漂移+单跳过程).
- 扩展包括复杂系统建模的多个跳跃过程.
- 非参数估计技术用于推导模型函数和参数.
主要成果:
- 提议的跳转漂移方程成功地描述了扩散过程的离散时间演变.
- 该模型通过结合多个跳跃过程来容纳具有不同跳跃幅度的系统.
- 所有未知的函数和参数都可以从时间序列数据中非参数得到.
结论:
- 建立了一个统一的框架,用于模拟连续和跳跃式随机变化的时间序列.
- 开发的模型提供了一种灵活的方法来分析复杂的随机系统.
- 非参数估计为将模型应用于真实世界的数据提供了一种实用方法.
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