首页 | 本学科首页   官方微博 | 高级检索  
相似文献
 共查询到20条相似文献,搜索用时 46 毫秒
1.
对一簇时间序列明确定义了自协方差非平稳时间序列.对于自协方差非平稳时间序列,提出了用于自协方差非平稳时间序列的3种时变参数自回归(TVPAR)模型:满阶TVPAR模型、非时变阶次TVPAR模型和时变阶次TVPAR模型.并进行了有关的最小赤池信息量准则(AIC)估计.  相似文献   

2.
双重时序模型的高阶矩结构   总被引:1,自引:0,他引:1  
为建立双重时序AR-MA模型的矩估计,除了需要模型平稳解序列的二阶矩结构[10]外,还需要建立平稳解序列的高阶矩结构[2].设{Xt}为AR(1)-MA(q)模型的4阶平稳解序列.木文部分地证明了。{X~2_t}的相关结构为某一ARMA(3q,3q—1)型,这为.建立模型参数的矩估计创造了条件.  相似文献   

3.
周杰  刘三阳 《应用数学》2007,20(3):587-592
在误差项独立同分布的条件下,本文讨论了条件自回归极差模型条件解和无条件解的渐近性质.利用随机游动的极限性质得到了条件解收敛于无条件解的充分条件,任意阶矩有限的充要条件以及外生变量与内生变量持续性的充要条件.所得到的结论适用于已得到应用的平稳条件自回归极差模型,也适用于包含单位根的模型和满足条件的其他类型的非平稳过程,为模型的统计推断提供了理论基础.  相似文献   

4.
W链及其应用     
本文定义一种新的马氏链,我们称为W链,它实际上是一致可数可加马氏链的推广,并用W链理论研究函数型随机方差非线性自回归模型平稳分布和矩的存在性,此时,只假设新息序列中的随机变量的分布函数关于Lebesgue分解中的绝对连续部分有密度函数,并不需要新息序列中的随机变量是连续型的.  相似文献   

5.
假定线性回归模型的误差列为i.i.d.,有r阶矩,1≤r<2.[1]中证明若  相似文献   

6.
研究带厚尾新息的非线性自回归函数型条件异方差(NARFCH)模型的平稳分布的尾概率. 结果表明, NARFCH序列的平稳分布的尾部紧密依赖于其条件方差. 当新息序列呈厚尾分布时, NARFCH序列的平稳分布的尾部会比新息序列的尾部更厚或更薄, 给出了具体的尾概率的增加或减少对条件方差的依赖公式, 并给出了两个具体例子来说明主要结果的应用.  相似文献   

7.
在索赔序列具有一阶自回归相依结构的条件下,给出了随机累积索赔前三阶矩的解析表达式,并应用矩匹配的方法讨论了所得结果在总索赔分布逼近中的应用.数值实验表明了结论的正确性和有效性.  相似文献   

8.
非对称广义自回归条件异方差的新模型   总被引:4,自引:0,他引:4  
本文提出了一个新的非对称广义自回归条件异方差的新模型,证明了该模型宽平稳及其最简模型偶数价矩存在的充要条件。  相似文献   

9.
一阶自回归模型参数变点的假设检验   总被引:1,自引:0,他引:1       下载免费PDF全文
本文讨论一阶自回归模型自回归参数$\phi$的变点问题. 对于一阶自回归模型, 在模型的白噪声序列的方差$\sigma^2$已知和未知的条件下, 利用最大似然方法, 我们分别讨论了模型自回归参数$\phi$的Abrupt Change-Point 和Gradual Change-Point的检测问题.  相似文献   

10.
误差为线性过程时回归模型的估计问题   总被引:10,自引:0,他引:10  
对一类非线性回归模型及线性模型,在误差是一个弱平稳线性过程及适当的条件下,获得了估计量的r-阶平均相合性、完全相合性和渐近正态性。  相似文献   

11.
12.
We study a class of self-similar processes with stationary increments belonging to higher order Wiener chaoses which are similar to Hermite processes. We obtain an almost sure wavelet-like expansion of these processes. This allows us to compute the pointwise and local Hölder regularity of sample paths and to analyse their behaviour at infinity. We also provide some results on the Hausdorff dimension of the range and graphs of multidimensional anisotropic self-similar processes with stationary increments defined by multiple Wiener–Itô integrals.  相似文献   

13.
It is considered the class of Riemann surfaces with dimT1 = 0, where T1 is a subclass of exact harmonic forms which is one of the factors in the orthogonal decomposition of the spaceΩH of harmonic forms of the surface, namely The surfaces in the class OHD and the class of planar surfaces satisfy dimT1 = 0. A.Pfluger posed the question whether there might exist other surfaces outside those two classes. Here it is shown that in the case of finite genus g, we should look for a surface S with dimT1 = 0 among the surfaces of the form Sg\K , where Sg is a closed surface of genus g and K a compact set of positive harmonic measure with perfect components and very irregular boundary.  相似文献   

14.
Schr(o)dinger operator is a central subject in the mathematical study of quantum mechanics.Consider the Schrodinger operator H = -△ V on R, where △ = d2/dx2 and the potential function V is real valued. In Fourier analysis, it is well-known that a square integrable function admits an expansion with exponentials as eigenfunctions of -△. A natural conjecture is that an L2 function admits a similar expansion in terms of "eigenfunctions" of H, a perturbation of the Laplacian (see [7], Ch. Ⅺ and the notes), under certain condition on V.  相似文献   

15.
As early as in 1990, Professor Sun Yongsheng, suggested his students at Beijing Normal University to consider research problems on the unit sphere. Under his guidance and encouragement his students started the research on spherical harmonic analysis and approximation. In this paper, we incompletely introduce the main achievements in this area obtained by our group and relative researchers during recent 5 years (2001-2005). The main topics are: convergence of Cesaro summability, a.e. and strong summability of Fourier-Laplace series; smoothness and K-functionals; Kolmogorov and linear widths.  相似文献   

16.
17.
18.
<正>Aims and Scope Journal of Mathematical Research with Applications(JMRA),formerly Journal of Mathematical Research and Exposition(JMRE)created in 1981,is one of the transactions of China Society for Industrial and Applied Mathematics,and is a bimonthly journal.JMRA is dedicated to publishing first-rate original research papers in all areas of mathematics with applications,and making research findings available to a wide scientific world,as JMRE has for many years.In line with the name change,the new scope of Journal of Mathematical Research with Applications will not include the articles on mathematical methodology and mathematical philosophy.Copyright Information  相似文献   

19.
20.
<正>Erratum to:Science in China Series A:Mathematics,April 2009 Vol.52 No.4:617–630doi:10.1007/s11425-009-0038-2There is a mistake in the proof of[1,Lemma 2.2],which occurs in 4-th line at[1,p.619],  相似文献   

设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号