| 关于双重时序AR-MA模型的相关结构及与ARMA模型的比较 |
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| 引用本文： | 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. |
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| 作者姓名： | 卢祖帝 |
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| 作者单位： | 中国科学院系统科学研究所 |
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| 摘 要： | 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．
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| 关 键 词： | 双重时间序列，AR－MA模型，相关结构，平稳ARMA模型 |
ON THE CORRELATION STRUCTURE OF THE DOUBLY STOCHASTIC TIME SERIES AR-MA MODEL AND SOME COMPARISON WITH THE ARWA MODEL |
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| 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. |
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| Authors: | Lu ZU-DI |
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| Institution: | Deportment of Mathematics, Southeast University, Nanjing 210018 |
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| Abstract: | 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 Hongzhi2] 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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| Keywords: | Doubly stochastic time series AR-MA model correlation structure ARMA model |
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