A Model-Free Method for Structual Change Detection Multivariate Nonlinear Time Series

被引：2

作者：

Sun Qinghua Zhang Shiying Liang Xiongjian Dept of Economic Management Beijing University of Posts and Telecommunications Beijing P R China School of Management Tianjin University Tianjin P R China ^{[1
,2
,1
,1
,100876
,2
,300072
]}

机构：

来源：

JournalofSystemsEngineeringandElectronics | 2003年 / 02期

关键词：

Structural changes; Recursive genetic programming; Model-free method;

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

In this paper, we apply the recursive genetic programming (RGP) approach to the cognition of a system, and then proceed to the detecting procedure for structural changes in the system whose components are of long memory. This approach is adaptive and model-free, which can simulate the individual activities of the system's participants, therefore, it has strong ability to recognize the operating mechanism of the system. Based on the previous cognition about the system, a testing statistic is developed for the detection of structural changes in the system. Furthermore, an example is presented to illustrate the validity and practical value of the proposed.

引用

页码：36 / 46

页数：11

共 14 条

[1]

Research on Nonlinear Cointegration and Its Testing Method(in Chinese). Zhangxibin,Sun Qinghua,Zhang Shiying. Journal of Systems Engineering . 1999

[2]

Long Memory Series with Attractors. Granger C W,Hallman J. Oxford Bulletin of Economics and Statistics . 1991

[3]

The Great Crash.The Oil Price Shock and the Unit Root Hypothesis. Perron P. Econometrica . 1989

[4]

Genetic Programming D Automatic Discovery of Reusable Programs. Koza J R. . 1996

[5]

Residual-based Tests for Cointegration in Models with Regime Shifts. Gregory A W,Hansen B E. Journal of Econometrics . 1996

[6]

Detecting Structural Changes with Recursive Genetic Programming. Chen Shuheng,Yeh Chiahsuan. . 1997

[7]

Modelling Nonlinear Relationships between Extended-Memory Variables. Granger C W J. Econometrica . 1995

[8]

Ensemble Structure of Evolutionary Artificial Neural Networks. Yao X,Liu Y. . 1996

[9]

Change-Point Estimation of Fractionally Integrated Processes. Kuan C M,Hsu C C. . 1998

[10]

Modelling Nonlinear Economic Relationships. Granger C W J,Ter¨asvirta T. . 1993

← 1 2 →