非线性时间序列混沌特性分析及短期预测

非线性时间序列混沌特性分析及短期预测

刘道文;忽海娜

【期刊名称】《计算机仿真》

【年(卷),期】2012(029)010

【摘要】In order to improve the accuracy and the reliability of the prediction of the nonlinear time series, a method based on the theory of chaos was adopted. The method analyses the correlation dimension and the largest Lya-punov exponent of the algorithm, and applies the correlation dimension and the largest Lyapunov exponent to judge the chaotic characteristics of the nonlinear time series. According to the chaotic characteristic parameters, prediction model was established and the prediction was carries out. Then the prediction model was verified with the time series of Shanghai exchange stock index. Proved by the research, the prediction model based on the chaotic parameters has the better prediction ability and meets the satisfaction of the prediction accuracy, and the method has the feasibility verified by the research.%为提高非线性时间序列预测的准确性和可靠性,采用基于混沌理论的方法对时间序列进行分析和预测.在研究关联维数和最大Lyapunov指数算法基础上,利用关联维数和最大Lyapunov指数判定时间序列的混沌特性,根据混沌特性参数建立预测模型,并对非线性时间序列进行预测.以上海证券交易所股票价格指数时间序列为实例验证预测模型,研究结果表明,基于混沌特性参数建立的预测模型具有较好的预测能力和预测精度,证明用该方法预测非线性时间序列具有可行性.