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This paper describes a procedure for testing the presence of a pure feedback loop in a transfer function model for a multivariate discrete dynamic stochastic system. A modification of the portmanteau statistic based on sample cross-covariance matrices of the prewhitened series is proposed. The statistic is shown to be asymptotically distributed according to a % MathType!MTEF!2!1!+-% feaafeart1ev1aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn% hiov2DGi1BTfMBaeXafv3ySLgzGmvETj2BSbqefm0B1jxALjhiov2D% aebbfv3ySLgzGueE0jxyaibaiiYdd9qrFfea0dXdf9vqai-hEir8Ve% ea0de9qq-hbrpepeea0db9q8as0-LqLs-Jirpepeea0-as0Fb9pgea% 0lrP0xe9Fve9Fve9qapdbaqaaeGacaGaaiaabeqaamaabaabcaGcba% Gaeq4Xdm2aaWbaaSqabeaacaaIYaaaaaaa!3E0C!\[\chi ^2 \]-distribution with certain degrees of freedom under some pure feedback assumptions. Some numerical results are given to show the behavior of the proposed method.  相似文献
2.
在最优化理论基础上,采用相对较稳健的最小绝对偏差(LAD)估计方法,首先研究了周期自回归滑动平均(PARMA)模型参数估计问题,得到了PARMA模型LAD估计量的渐近分布.其次对该模型的LAD估计作了进一步的讨论,给出更一般假设条件下模型参数LAD估计量的渐近性质。  相似文献
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A novel parametric time-domain method for time varying spectral analysis of earthquake ground motions is presented. Based upon time varying autoregressive moving average (ARMA) modeling of earthquake ground motion, unscented Kalman filter (UKF) is used to estimate the time varying ARMA coefficients. Then, time varying spectrum is yielded according to the time varying ARMA coefficients. Analysis of the ground motion record El Centro (1940, N–S) shows that compared to Kalman filter (KF) based method, short-time Fourier transform (STFT) and wavelet transform (WT), UKF based method can more reasonably represent the distribution of the seismic energy in time–frequency plane, which ensures its better ability to track the local properties of earthquake ground motions and to identify the systems with nonlinearity. Analysis of the seismic response of a building during the 1994 Northridge earthquake shows that UKF based method can be potentially a useful tool for structural damage detection and health monitoring. Lastly, it is found that the theoretical frequency resolving power of ARMA models usually neglected in some studies has considerable effect on time varying spectrum and it is one of the key factors for ARMA modeling of earthquake ground motion.  相似文献
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In this paper, we quantify the impact of the bullwhip effect – the phenomenon in which information on demand is distorted as moving up a supply chain – for a simple two-stage supply chain with one supplier and one retailer. Assuming that the retailer employs a base stock inventory policy, and that the demand forecast is performed via a mixed autoregressive-moving average model, ARMA(1, 1), we investigate the effects of the autoregressive coefficient, the moving average parameter, and the lead time on the bullwhip effect.  相似文献
5.
为了研究工矿商贸就业人员10万人生产安全事故死亡率时间序列变化特征,基于我国行业生产安全事故死亡人数及第二、三产业就业人员数量等2方面年度统计数据,通过研究事故死亡率时间序列的自回归移动平均过程,论文构建了事故死亡率时间序列的分阶段自回归移动平均模型.研究表明:工矿商贸行业10万人事故死亡率变化趋势具有明显的分阶段波动特征,事故死亡率序列均为趋势平稳过程;序列当期观测值与滞后1期观测值具有显著的自相关性;各阶段事故率自回归移动平均模型结构不尽相同;特征描述模型为正确把握我国安全生产状况及趋势提供理论依据.  相似文献
6.
研究一类具有相依结构的离散时间风险模型的破产赤字问题.其中,保费和利率过程假设为两个不同的自回归移动平均模型.利用更新递归技巧,首先得到了该模型下破产赤字分布的递推公式.然后,根据该递推公式得到了赤字分布的上下界估计.  相似文献
7.
A stationary sequence of random variables with Birnbaum‐Saunders marginal distribution is constructed using a Gaussian autoregressive moving average sequence. The parameters of the model are then estimated by the maximum likelihood method, and the resulting estimators are shown to be consistent and asymptotically normal. A simulation study is carried out to assess the performance of the estimators. The proposed model is finally used to analyze 2 real data sets.  相似文献
8.
研究两类具有相依结构的离散时间风险模型的破产概率问题。其中,索赔和利率过程假设为2个不同的自回归移动平均模型。利用更新递归技巧,首先得到了该模型下破产概率所满足的递归方程。然后,根据该递归方程得到了破产概率的上界估计。最后对两类风险模型的破产概率的上界进行了比较。  相似文献
9.
考虑一类具有相依结构的离散时间风险过程,其中利率和保费收入过程为两个不同的自回归移动平均模型。利用更新递归方法,得到了破产前盈余与破产后赤字的联合分布和破产持续时间分布的递归计算公式。  相似文献
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