摘要翻译:
提出了一种经济时间序列相关性分析的新算法。该算法基于幂律分类方案(PLCS),然后分析了网络的渗流阈值(NPT)。将该算法应用于19个发达国家(1982、2011)、(1992、2011)和(2002、2011)的人均GDP时间序列之间的相关性分析。从相关强度、时间序列收敛性和相关稳定性等方面对具有代表性的国家进行了区分。将所得结果与NPT分析的超参数距离矩阵进行了比较。
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英文标题:
《Network analysis of correlation strength between the most developed
countries》
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作者:
Janusz Mi\'skiewicz
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最新提交年份:
2012
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类:Physics 物理学
二级分类:Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述:Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件:数据处理与存储;测量方法;统计和数学方面,如参数化和不确定性。
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英文摘要:
A new algorithm of the analysis of correlation among economy time series is proposed. The algorithm is based on the power law classification scheme (PLCS) followed by the analysis of the network on the percolation threshold (NPT). The algorithm was applied to the analysis of correlations among GDP per capita time series of 19 most developed countries in the periods (1982, 2011), (1992, 2011) and (2002, 2011). The representative countries with respect to strength of correlation, convergence of time series and stability of correlation are distinguished. The results are compared with ultrametric distance matrix analysed by NPT.
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PDF链接:
https://arxiv.org/pdf/1211.3599