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希爾柏特黃轉換於非穩定時間序列之分析:用電量與黃金價格 / Non-stationary time series analysis by using Hilbert-Huang transform: electricity consumption and gold price volatility張雁茹, Chang, Yen Rue Unknown Date (has links)
本文有兩個研究目標,第一個是比較政大用電量與氣溫之間的相關性,第二則是分析影響黃金價格波動的因素。本文使用到的研究方法有希爾柏特黃轉換(HHT)與一些統計值。
本研究使用的分析數據如下:政大逐時用電量、台北逐時氣溫以及倫敦金屬交易所(London Metal Exchange)的月平均黃金價格。透過經驗模態分解法(EMD),我們可以將分析數據拆解成數個互相獨立的分量,再藉由統計值選出較重要的分量並分析其意義。逐時用電量的重要分量為日分量、週分量與趨勢;逐時氣溫的重要分量為日分量與趨勢;月平均黃金價格的重要分量則是低頻分量與趨勢。
藉由這些重要分量,我們可以更加了解原始數據震盪的特性,並且選出合理的平均週期將所有的分量分組,做更進一步的分析。逐時用電量與逐時氣溫分成高頻、中頻、低頻與趨勢四組,其中低頻與趨勢相加的組合具有最高的相關性。月平均黃金價格則是分為高頻、低頻與趨勢三組,其中高頻表現出供需以及突發事件等短週期因素,低頻與歷史上對經濟有重大影響的事件相對應,趨勢則是反應出通貨膨脹的現象。 / There are two main separated researched purposes in this thesis. First one is comparing the correlation between electricity consumption and temperature in NCCU. Another one is analyzing the properties of gold price volatility. The methods used in the study are Hilbert-Huang transform (HHT) and some statistical measures.
The following original data: hourly electricity consumption in NCCU, hourly temperature in Taipei, and the LME monthly gold prices are decomposed into several components by empirical mode decomposition (EMD). We can ascertain the significant components and analyze their meanings or properties by statistical measures. The significant components of each data are shown as follows: daily component, weekly component and residue for hourly electricity consumption; daily component and residue for hourly temperature; low frequency components and residue for the LME monthly gold prices.
We can understand more properties about these data according to the significant components, and dividing the components into several terms based on reasonable mean period. The components of hourly electricity consumption and hourly temperature are divided into high, mid, low frequency terms and trends, and the composition of low frequency terms and trends have the highest correlation between them. The components of LME monthly gold prices are divided into high, low frequency term and trend. High frequency term reveals the supply-demand and abrupt events. The low frequency term represents the significant events affecting economy seriously, and trend shows the inflation in the long run.
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