Algorithm and Positive Analysis of Time Series Relationship Dimension
Xin Zou · Systems Engineering · 2002
The traditional calculating method of relationship dimension is introduced briefly, then its disadvantages are analyzed particularly in accordance with the characteristics of economic data. After that, we lay emphasis on the calculating process of relationship integral expectancy value and give a positive simulation analysis to AR(1) in light of the calculating formula. The results of the simulation show that when the relationship integral expectancy value is taken as the estimate value of relationship dimension, the precision is fairly good.