共查询到16条相似文献,搜索用时 57 毫秒
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下三角双线性时间序列模型,特别是它的一些简单的特殊情况,被许多人研究过。但对于一般形式,目前,只知道其二阶结构(自协方差和谱)与线性ARMA模型相似.而反映该模型特征的三阶结构(三阶矩和双谱),由于既繁琐又复杂而很难获得(文献中尚未见报道)。该文给出一种计算三阶矩和双谱的
近似方法。特别地,对于可分离的下三角双线性时间序列模型,得到了比较简洁实用的计算公式。 相似文献
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双线性时间序列矩估计的渐近性态 总被引:1,自引:0,他引:1
双线性时间序列矩估计的渐近性态范金城,李金玉(西安交通大学应用数学系,西安710049)双线性模型是一种重要的非线性时间序列模型,其一般形式是式中{et,t=0、±1,±2,…}是i.i.d.序列,且c0=1.对时间序列{Xt,t=0,±1,±2,…... 相似文献
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上次对角双线性时间序列模型的广义传递函数系统及平稳性条件 总被引:1,自引:0,他引:1
本文讨论了一类特殊的双线性时间序列模型,即上次对角欢线性时间序列模型,在输入为严格白噪声的假定下,利用多元Wiener-Ito积分,得到了该模型的广义传递函数及平稳性的充分必要条件。 相似文献
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本文研究简单对角BL模型xt=et+bxt-1et-1参数b和σt2的估计问题,其中{et}是白噪声,E(et)=0,e(et)<+∞证明了矩估计b和σt2的渐近正态性. 相似文献
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本推导了多元时序横型的协方差矩阵与模型参数的关系式,并给出了计算多维时序过程自协方差矩阵的递归算法。 相似文献
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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
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对半无界区域上的三阶方程提出了Laguerre-Petrov-Galerkin谱逼近方法,选取了相同的试探空间和检验空间.通过构造该空间上的基函数,离散问题所对应的线性系统的系数矩阵是半稀疏的.数值算例验证了该方法的有效性和高精度. 相似文献
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A connection is established between the fractional moments of the Riemann zeta-function and the number of its zeros on the critical line. 相似文献
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泊松分布高阶原点矩的两种计算方法 总被引:1,自引:0,他引:1
考虑到直接用定义计算泊松分布高阶原点矩的复杂性,将组合数学中的第二类Stirling数和二项式定理应用到泊松分布高阶原点矩的计算中,得到了泊松分布高阶原点矩的简单和式与递推表达式,并利用结论计算了泊松分布的前九阶原点矩. 相似文献
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C Hipp 《Journal of multivariate analysis》1983,13(1):67-108
As is well known, in full rank multivariate exponential families, tests of Neyman structure are uniformly most powerful unbiased for one-sided problems. For the case of lattice distributions, the power of these tests—evaluated at contiguous alternatives—is approximated by asymptotic expansions up to errors of order o(n?1). Surprisingly the tests with Neyman structure are not third-order efficient in the class of all asymptotically similar tests unless the problem is univariate. 相似文献
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In this paper, we compute all the moments of the real Wishart distribution. To do so, we use the Gelfand pair (S2k,H), where H is the hyperoctahedral group, the representation theory of H and some techniques based on graphs. 相似文献
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For a symplectic manifold with quantizing line bundle, a choice of almost complex structure determines a Laplacian acting on tensor powers of the bundle. For high tensor powers Guillemin–Uribe showed that there is a well-defined cluster of low-lying eigenvalues, whose distribution is described by a spectral density function. We give an explicit computation of the spectral density function, by constructing certain quasimodes on the associated principle bundle. 相似文献
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Kamal C. Chanda 《Annals of the Institute of Statistical Mathematics》2003,55(1):69-82
Let {X
t
;t∈ℤ be a strictly stationary nonlinear process of the formX
t
=ε
t
+∑
r=1
∞
W
rt
, whereW
rt
can be written as a functiong
r
(ε
t−1,...ε
t-r-q
), {ε
t
;t∈ℤ is a sequence of independent and identically distributed (i.i.d.) random variables withE|ε1|
g
< ∞ for some γ>0 andq≥0 is fixed integer. Under certain mild regularity conditions ofg
r
and {ε
t
} we then show thatX
1 has a density functionf and that the standard kernel type estimator
baded on a realization {X
1,...,X
n
} from {X
t
} is, asymptotically, normal and converges a.s. tof(x) asn→∞.
The research of this author was partially carried out while he was a research scholar, on a sabbatical leave, at the Department
of Statistics and Probability, Michigan State University. 相似文献