| 以互信息为基础的广义相关系数 |
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| 引用本文： | 丁晶,王文圣,赵永龙. 以互信息为基础的广义相关系数[J]. 四川大学学报(工程科学版), 2002, 34(3): 1-5 |
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| 作者姓名： | 丁晶 王文圣 赵永龙 |
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| 作者单位： | 1. 四川大学,水电学院,四川,成都,610065
2. 四川省电力调度局,四川,成都,610016 |
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| 基金项目： | 国家自然科学基金重大资助项目 (5 0 0 9962 0 ) |
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| 摘 要： | 提出了描述变量间包括线性和非线性和相关程度的一种以互信息为基础的广义相关系数指标Rg，给出三种算法：等间距法、等概率法和等概率递推法。等概率法计算出的结果与序列的总体概率分布无关，分组为客观、合理，计算简便，较其他算法更优越。在等概率法基础上，通过统计实验途径，得到了广义相关系数分位数表。
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| 关 键 词： | 非线性 广义相关系数 互信息 线性 等概率法 互相关函数 信息论 随机变量 |
| 文章编号： | 1009-3087(2002)03-0001-05 |
| 修稿时间： | 2001-11-18 |
General Correlation Coefficient Between Variables Based on Mutual Information |
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| DING Jing ,WANG Wen sheng ,ZHAO Yong long. General Correlation Coefficient Between Variables Based on Mutual Information[J]. Journal of Sichuan University (Engineering Science Edition), 2002, 34(3): 1-5 |
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| Authors: | DING Jing WANG Wen sheng ZHAO Yong long |
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| Affiliation: | DING Jing 1,WANG Wen sheng 1,ZHAO Yong long 2 |
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| Abstract: | The correlation between variables is of importance in the analysis of nonlinear dynamic system. However traditional approaches are usually centered on the analysis of autocorrelation coefficient and mutual correlation coefficient or other indexes that only reflect the linear correlation between variables. Obviously it is not sufficient for the real system that often has nonlinear correlation structure. Mutual information is used in such analysis. A general correlation coefficient is proposed and three different algorithms: equidistance algorithm, equal probability algorithm and successively equal probability algorithm, are discussed. The equal probability algorithm, which has no relationship with the studied population distribution, is the best and simplest. A quantile table of general correlation coefficient based on the equal probability algorithm is provided for statistic test purpose. |
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| Keywords: | nonlinear general correlation coefficient mutual information |
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