| m维AR(p)模型的统计诊断 |
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| 引用本文： | 任晓龙,郭鹏江,吕敏红.m维AR(p)模型的统计诊断[J].纯粹数学与应用数学,2010,26(1):158-163. |
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| 作者姓名： | 任晓龙 郭鹏江 吕敏红 |
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| 作者单位： | 西北大学数学系,陕西,西安,710127;西北大学数学系,陕西,西安,710127;西北大学数学系,陕西,西安,710127 |
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| 基金项目： | 国家自然科学基金(50846021) |
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| 摘 要： | 统计诊断就是探查对统计推断（如估计或预测等）有较大影响的数据从而对全过程数据进行诊断．本文应用基于数据删除模型得到二维AR（1）模型的参数估计诊断公式，给出了Cook统计量的计算公式，进而推广到m维AR（p）模型的情形．
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| 关 键 词： | AR(p)模型 数据删除 广义Cook距离 最小二乘 |
The diagnostic of the m dimensional AR(p)models |
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| REN Xiao-long,GUO Peng-jiang,L Min-hong.The diagnostic of the m dimensional AR(p)models[J].Pure and Applied Mathematics,2010,26(1):158-163. |
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| Authors: | REN Xiao-long GUO Peng-jiang L Min-hong |
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| Institution: | U|¨;Department of Mathematics;Northwest University;Xi'an 710127;China |
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| Abstract: | Diagnostic is the exploratory on the statistical inference(as estimates or forecasts,etc) has a greater impact on the data of the whole process of diagnosis data,thus complete the whole diagnostic.In this paper, the concise diagnostic expression based on case deletion model of the two dimensional AR(1) models,then the cook test is derived.At last,the generalized cook test of the m dimensional AR(p) models is obtained. |
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| Keywords: | AR(p) models case deletion generalized Cook distance least squares |
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