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本文根据Hurst系数估计值k的特征,用蒙特卡洛方法建立了k的经验分布表,通过观测序列的k值与表中相应的值进行比较以判别序列的长期相关性.此外,本文还借助于bootstrap法提出了长期相关性识别的非参数法.使用这两种方法所得出的结论是一致的,其有效性通过实例得到了验证.
In this paper, based on the characteristics of Hurst coefficient estimation k, the empirical distribution table of k is established by Monte Carlo method. The k value of the observation sequence is compared with the corresponding value in the table to determine the long-term correlation of the sequence. In addition, this paper also proposed a non-parametric method of long-term correlation recognition by means of bootstrap method. The conclusions reached by these two methods are consistent and their validity is verified by examples.