| ESTIMATION OF THE MIXED AR AND HIDDEN PERIODIC MODEL |
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| 引用本文： | 何书元. ESTIMATION OF THE MIXED AR AND HIDDEN PERIODIC MODEL[J]. 应用数学学报(英文版), 1997, 13(2): 196-208. DOI: 10.1007/BF02015141 |
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| 作者姓名： | 何书元 |
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| 作者单位： | Department of Probability and Statistics，Peking University，Beijing 100871，China |
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| 摘 要： | ThisresearchissupportedbytheNationalNaturalScienceFoundationofChina.1.IntroductionGeneralizedhiddenperiodicmodelhasthefollowingformwhereacisthesetofallpositiveintegers,('~{((t);tEac}isastationarysequencewithzeromeanandcontinuousspectraldensity,i=n,qisanonnegativeinteger,'f=0,X=(Al,Az,',A,)isarealvectorwith--T
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| 收稿时间： | 1993-11-30 |
Estimation of the mixed AR and hidden periodic model |
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| Shuyuan He. Estimation of the mixed AR and hidden periodic model[J]. Acta Mathematicae Applicatae Sinica, 1997, 13(2): 196-208. DOI: 10.1007/BF02015141 |
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| Authors: | Shuyuan He |
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| Affiliation: | (1) Department of Probability and Statistics, Peking University, 100871 Beijing, China |
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| Abstract: | Mired AR and hidden periodic model describes more time series than that of simple stationary AR or hidden periodic model and can be used in a variety of practical field., The current statistical analysis methods for stationary AR model and hidden periodic model are used to get strong consistent parameter estimation for the mixed AR and hidden periodic model. The law of iterated logarithm convergence rate is given for the estimator of autoregressive coefficients, for that of hidden frequencies and for that of amplitudes of vibration. |
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| Keywords: | Frequency estimation AR process Yule-Walker estimate Strongly consistency |
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