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关于双重时序AR-MA模型的相关结构及与ARMA模型的比较

卢祖帝   

  1. 中国科学院系统科学研究所
  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:1995-07-25 发布日期:1995-07-25

卢祖帝. 关于双重时序AR-MA模型的相关结构及与ARMA模型的比较[J]. 系统科学与数学, 1995, 15(3): 222-230.

Lu ZU-DI. ON THE CORRELATION STRUCTURE OF THE DOUBLY STOCHASTIC TIME SERIES AR-MA MODEL AND SOME COMPARISON WITH THE ARWA MODEL[J]. Journal of Systems Science and Mathematical Sciences, 1995, 15(3): 222-230.

ON THE CORRELATION STRUCTURE OF THE DOUBLY STOCHASTIC TIME SERIES AR-MA MODEL AND SOME COMPARISON WITH THE ARWA MODEL

Lu ZU-DI   

  1. Deportment of Mathematics, Southeast University, Nanjing 210018
  • Received:1900-01-01 Revised:1900-01-01 Online:1995-07-25 Published:1995-07-25
本文在文[4]的基础上讨论了双重时序AR(1)-MA(q)模型的相关结构,在不假定白噪声序列为正态的情况下,证明了安鸿志[2]关于模型的相关结构的猜想是正确的,具体地构造了AR(1)-MA(3)模型的相关结构,并与ARMA模型进行了初步的比较,给出了一些抛砖引玉的讨论.
On the basis of [4], the correlation structure of the doubly stochastic time series AR-MA model is discussed in this paper. without assuming that the noise processes are Gaussian, the conjecture given by An Hongzhi[2] on the correlation structure is proved to be correct. As an introduction to the method, we explicitly construct the correlation structure of AR(1)-MA(3) model. We also give some comparative discussions with the ARMA model.
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