R/S Analysis for Finding Non-linear Time Series′ Cycle and Its Application
Bingxue Wang · Shuxue de shijian yu renshi · 2004
Some time series, such as capital data series and other economic data time series, come from interaction of large number of intricate factors and possess linear/non-linear mechanism. The conventional spectral analysis and other similar statistical tests would be inappropriate tools for cycle analysis on such time series. Here, the superiority of R/S analysis appear owing to lacking hypothesis of sine and cosine. The result of R/S analysis shows that Shanghai composite index is characterized by a persistent process for periods up to about 5-month.