Analysis of Dependence in Non-stationary Time Series
Li Li · Journal of Shenyang University of Chemical Technology · 2009
Based on the auto-regressive model,the dependence of non-stationary time series was discussed.More stochastic increasing is a dispersion order,to compare the relative degree of dependence between two pairs of random variables.To measure this dispersion order,a new method is given.We then estimate some numerical results by simulation using the Monte Carlo method under two important distributions,to show the rationality of the new method.