一种基于重标极差方法的动力学结构突变检测新方法

何文平; 邓北胜; 吴琼; 张文; 成海英

doi:10.7498/aps.59.8264

摘要

提出了一种针对相关性时间序列动力学结构突变检测的新方法——滑动移除重标极差分析.数值试验表明,新方法能够准确的检测出理想序列中的动力学结构突变,其检测结果对于子序列的长度依赖性较小,而且具有很强的抗噪能力,弥补了滑动去趋势波动分析的不足.

关键词:

A new method is proposed in this paper—moving cut data-rescaled range analysis (MC-R/S). Tests on the correlated time series suggest that the MC-R/S can accurately detect the time-instants of abrupt change, and the MC-R/S results almost do not depend on the length of subseries and are less affected by noises. So, MC-R/S is suitable to detecting an abrupt dynamic change in those time series exhibiting correlations, and can very well make up the deficiency of moving detrended fluctuation analysis (MDFA).

Keywords:

scaling exponent /
moving cut data-rescaled range analysis /
moving detrended fluctuation analysis /
abrupt dynamic change

作者及机构信息

(1)国家气候中心,北京 100081; (2)国家卫星气象中心,北京 100081; (3)兰州大学大气科学学院,兰州 730000;北京市气象局,北京 100089; (4)南京邮电大学通达学院,南京 210003; (5)盐城工学院基础教学部,盐城 224002

基金项目: 国家自然科学基金(批准号:40905034,40930952, 40775948),公益性行业(气象)科研专项(批准号:GYHY200806005)资助的课题.

Authors and contacts

(1)Department of Atmospheric Sciences, Lanzhou University, Lanzhou 730000,China;Beijing Meteorological Bureau, Beijing 100089, China; (2)Department of Basic Course, Yancheng Institute of Technology, Yancheng 224002, China; (3)National Climate Center, China Meteorological Administration, Beijing 100081, China; (4)National Satellite Meteorological Center, China Meteorological Administration, Beijing 100081, China; (5)Tongda College, Nanjing University of Post and Telecommunications, Nanjing 210003

参考文献

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[4]	He W P, Feng G L, Wu Q, Wan S Q, Chou J F 2008 Non. Proc. Geo. 15 601
[5]	He W P, Wu Q, Zhang W, Wang Q G, Zhang Y 2009 Acta Phys. Sin. 58 2862 (in Chinese)[何文平、吴琼、张文、王启光、张勇 2009 58 2862]
[6]	Shi N, Gu J Q, Yi Y M, Lin Z N 2005 Chin. Phys. 14 844
[7]	Shi N, Yi Y M, Gu J Q, Xia D D 2006 Chin. Phys. 15 2180
[8]	Dai X G, Fu C B, Wang P 2005 Chin. Phys. 14 850
[9]	Dai X G, Wang P, Chou J F 2004 Pro. in Chin. Sci. 60 544
[10]	Liu S D, Chen J, Liu S K 1999 J. Appl. Meteor. Sci. (supplement) 10 10 (in Chinese)[刘式达、陈炯、刘式适 1999 应用气象学报(增刊)10 10]
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[16]	Bunde A, Eichner J F, Kantelhardt J W, Havlin S 2005 Phys. Rev. Lett. 94 048701
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[18]	Eichner J F, Koscienly-Bunde E, Bunde A 2003 Phys. Rev. E 8 046133-1
[19]	Govindan R B, Vjushin D, Brenner S, Bunde A, Havlin S, Schellnhuber H J 2001 Phys. A 294 239
[20]	He W P 2008 The research and application of the abrupt detecting methods in dynamical structures (Lanzhou: Lanzhou University) p37 (in Chinese) [何文平 2008 动力学结构突变检测方法的研究及其应用(第37页)]
[21]	Feng G L, Dong W J, Jia X J 2002 Acta Phys. Sin. 51 1181 (in Chinese) [封国林、董文杰、贾晓静 2002 51 1181]
[22]	Feng G L, Dai X G, Wang A H 2001 Acta Phys. Sin. 50 606 (in Chinese) [封国林、戴新刚、王爱慧 2001 50 606]
[23]	Feng G L, Dong W J, Gong Z Q, Hou W, Wan S Q, Zhi R 2006 Nonlinear theories and methods on spatial-temporal distribution of the observational data (Beijing: Metrological Press) p227 (in Chinese)[封国林、董文杰、龚志强、侯威、万仕全、支蓉 2006 观测数据非线性时空分布理论和方法 (北京:气象出版社)第227页]
[24]	Carvalho L M V, Tsonis A A, Jones C, Rocha1 H R, Polito P S 2007 Non. Proc. Geo. 14 723
[25]	Hurst H E 1951 Trans. Am. Soc. Civ. Eng . 116 770
[26]	Chen Z, Ivanov P, Hu K, Stanley H E 2002 Phys. Rev. E 65 041107
[27]	Fraedrich K, Blender R 2003 Phys. Rev. Lett. 90 108501
[28]	May R 1976 Nature 261 459
[29]	Mann H B 1945 Econometrica 13 245
[30]	Kendall M G, Charles G 1975 Rank Correlation Methods (New York: Oxford University) p202
[31]	Yamamoto R, Iwashima T, Sanga N K 1985 J. Meteor. Soc. Japan. 63 1157

施引文献

[1]	Fu C B, Wang Q 1992 Chin. J. Atmos. Sci. 16 483 (in Chinese) [符淙斌、王强 1992 大气科学16,483]
[2]	Mandelbrot B B 1967 Sci. 156 636
[3]	He W P 2008 The research and application of the abrupt detecting methods in dynamical structures (Lanzhou: Lanzhou University) p16 (in Chinese)[何文平 2008 动力学结构突变检测方法的研究及其应用(第16页)]
[4]	He W P, Feng G L, Wu Q, Wan S Q, Chou J F 2008 Non. Proc. Geo. 15 601
[5]	He W P, Wu Q, Zhang W, Wang Q G, Zhang Y 2009 Acta Phys. Sin. 58 2862 (in Chinese)[何文平、吴琼、张文、王启光、张勇 2009 58 2862]
[6]	Shi N, Gu J Q, Yi Y M, Lin Z N 2005 Chin. Phys. 14 844
[7]	Shi N, Yi Y M, Gu J Q, Xia D D 2006 Chin. Phys. 15 2180
[8]	Dai X G, Fu C B, Wang P 2005 Chin. Phys. 14 850
[9]	Dai X G, Wang P, Chou J F 2004 Pro. in Chin. Sci. 60 544
[10]	Liu S D, Chen J, Liu S K 1999 J. Appl. Meteor. Sci. (supplement) 10 10 (in Chinese)[刘式达、陈炯、刘式适 1999 应用气象学报(增刊)10 10]
[11]	Liu S D, Rong P P, Chen J 2000 Acta Meteor. Sin. 58 111 (in Chinese)[刘式达、荣平平、陈炯 2000 气象学报 58 111]
[12]	Cao H X, Zheng Z F, Zhang X L, Xie X L, Pan J H 2007 Chin. J. Geo. 50 420 (in Chinese) [曹鸿兴、郑祚芳、张秀丽、谢庄、潘家华 2007 地球 50 420]
[13]	Abaimov S G, Turcotte D L, Shcherbakov R, Rundle J B 2007 Non. Proc. Geophys. 14 455
[14]	Blender R, Fraedrich K, Sienz F 2008 Non. Proc. Geo. 15 557
[15]	Bunde A, Havlin S, Kantelhardt J W, Penzel T T, Peter J H, Voigt K 2000 Phys. Rev. Lett. 85 3736
[16]	Bunde A, Eichner J F, Kantelhardt J W, Havlin S 2005 Phys. Rev. Lett. 94 048701
[17]	Bunde E K, Bunde A, Havlin S, Roman H E, Goldreich Y, Schellnhuber H J 1998 Phys. Rev. Lett. 81 729
[18]	Eichner J F, Koscienly-Bunde E, Bunde A 2003 Phys. Rev. E 8 046133-1
[19]	Govindan R B, Vjushin D, Brenner S, Bunde A, Havlin S, Schellnhuber H J 2001 Phys. A 294 239
[20]	He W P 2008 The research and application of the abrupt detecting methods in dynamical structures (Lanzhou: Lanzhou University) p37 (in Chinese) [何文平 2008 动力学结构突变检测方法的研究及其应用(第37页)]
[21]	Feng G L, Dong W J, Jia X J 2002 Acta Phys. Sin. 51 1181 (in Chinese) [封国林、董文杰、贾晓静 2002 51 1181]
[22]	Feng G L, Dai X G, Wang A H 2001 Acta Phys. Sin. 50 606 (in Chinese) [封国林、戴新刚、王爱慧 2001 50 606]
[23]	Feng G L, Dong W J, Gong Z Q, Hou W, Wan S Q, Zhi R 2006 Nonlinear theories and methods on spatial-temporal distribution of the observational data (Beijing: Metrological Press) p227 (in Chinese)[封国林、董文杰、龚志强、侯威、万仕全、支蓉 2006 观测数据非线性时空分布理论和方法 (北京:气象出版社)第227页]
[24]	Carvalho L M V, Tsonis A A, Jones C, Rocha1 H R, Polito P S 2007 Non. Proc. Geo. 14 723
[25]	Hurst H E 1951 Trans. Am. Soc. Civ. Eng . 116 770
[26]	Chen Z, Ivanov P, Hu K, Stanley H E 2002 Phys. Rev. E 65 041107
[27]	Fraedrich K, Blender R 2003 Phys. Rev. Lett. 90 108501
[28]	May R 1976 Nature 261 459
[29]	Mann H B 1945 Econometrica 13 245
[30]	Kendall M G, Charles G 1975 Rank Correlation Methods (New York: Oxford University) p202
[31]	Yamamoto R, Iwashima T, Sanga N K 1985 J. Meteor. Soc. Japan. 63 1157

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