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Subsampling weakly dependent times series and application to extremes
dependent times series extremes
2010/11/30
This paper provides extensions of the work on subsampling by Bertail et al. (2004) for strongly
mixing case to weakly dependent case by application of the results of Doukhan and Louhichi (1999).We in...
Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series
Non-stationary Time Series Wavelet Transform Fractals Power Law
2010/4/27
We make use of wavelet transform to study the multi-scale, self similar behavior and deviations thereof, in the stock prices of large companies, belonging to different economic sectors. The stock mark...