R/S法计算的Hurst指数的全部python代码,必须含有输入数据文件的代码以及详细的步骤
时间: 2024-05-15 13:13:03 浏览: 197
R/S分析Hurst指数程序
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下面是使用R/S法计算Hurst指数的Python代码,包括读取数据文件、计算R/S值和Hurst指数的详细步骤。
首先,需要导入所需的Python库:
```python
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
```
然后,读取数据文件。假设数据文件名为“data.csv”,数据存储在一列中,可以使用以下代码读取:
```python
data = pd.read_csv('data.csv', header=None, names=['value'])
```
接下来,计算平均值和标准差:
```python
mean = np.mean(data['value'])
std = np.std(data['value'])
```
然后,计算R/S值。可以按照以下步骤进行:
1. 将数据按照不同的时间尺度分割成子序列。
2. 对于每个子序列,计算序列的累积离差值(R)和序列的标准差(S)。
3. 计算每个子序列的R/S值。
4. 对所有子序列的R/S值取平均值,得到最终的R/S值。
以下是完整的代码:
```python
# 计算R/S值
def calculate_rs(data, time_scale):
n = len(data)
num_sections = int(n/time_scale)
remainder = n % time_scale
if remainder > 0:
num_sections += 1
padding = time_scale - remainder
data = np.pad(data, (0,padding), 'constant', constant_values=(0,0))
sections = np.reshape(data, (num_sections,time_scale))
rs = []
for i in range(num_sections):
section = sections[i,:]
cumulative_deviation = np.cumsum(section - np.mean(section))
range_values = np.max(cumulative_deviation) - np.min(cumulative_deviation)
std_deviation = np.std(section)
rs.append(range_values / std_deviation)
return np.mean(rs)
# 计算Hurst指数
def calculate_hurst(data):
n = len(data)
max_time_scale = int(np.floor(np.log2(n)))
rs_values = []
time_scales = []
for i in range(4, max_time_scale+1):
time_scale = 2**i
rs = calculate_rs(data, time_scale)
rs_values.append(rs)
time_scales.append(time_scale)
p = np.polyfit(np.log(time_scales), np.log(rs_values), 1)
hurst = p[0]
return hurst
```
最后,可以使用以下代码计算Hurst指数并输出结果:
```python
hurst = calculate_hurst(data['value'])
print('Hurst exponent:', hurst)
```
完整的代码如下:
```python
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
# 计算R/S值
def calculate_rs(data, time_scale):
n = len(data)
num_sections = int(n/time_scale)
remainder = n % time_scale
if remainder > 0:
num_sections += 1
padding = time_scale - remainder
data = np.pad(data, (0,padding), 'constant', constant_values=(0,0))
sections = np.reshape(data, (num_sections,time_scale))
rs = []
for i in range(num_sections):
section = sections[i,:]
cumulative_deviation = np.cumsum(section - np.mean(section))
range_values = np.max(cumulative_deviation) - np.min(cumulative_deviation)
std_deviation = np.std(section)
rs.append(range_values / std_deviation)
return np.mean(rs)
# 计算Hurst指数
def calculate_hurst(data):
n = len(data)
max_time_scale = int(np.floor(np.log2(n)))
rs_values = []
time_scales = []
for i in range(4, max_time_scale+1):
time_scale = 2**i
rs = calculate_rs(data, time_scale)
rs_values.append(rs)
time_scales.append(time_scale)
p = np.polyfit(np.log(time_scales), np.log(rs_values), 1)
hurst = p[0]
return hurst
# 读取数据文件
data = pd.read_csv('data.csv', header=None, names=['value'])
# 计算Hurst指数并输出结果
hurst = calculate_hurst(data['value'])
print('Hurst exponent:', hurst)
```
其中,“data.csv”为数据文件名,数据存储在一列中。
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