METHOD FOR DETERMINING FUNCTIONS OF TIME SERIES MEAN AND VARIANCE
Hui Fu · Jixie qiangdu · 2004
A new theorem is presented, which points out that the variance of time series has the same functional form as the trend term of absolute value series of difference of the time series. Based on the discovery, a method for determining the trend term of the series is established, which obtains the periodic function of the trend term by the sample periodogram and the nonperiodic function of the trend term by multiple-point averaging, then the integral function of the trend term can be synthesized. The variance functional form of the original series can be derived from the trend function and its parameters obtained by the correlation coefficient stationary theory. This method can also be used to determine the mean function of time series.