| 缺失数据下AR(p)模型的估计方法 |
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| 引用本文： | 田萍,董险峰,王德辉,黄晓薇.缺失数据下AR(p)模型的估计方法[J].吉林大学学报(理学版),2003,41(2):127-133. |
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| 作者姓名： | 田萍 董险峰 王德辉 黄晓薇 |
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| 作者单位： | 1. 吉林大学商学院， 长春 130012; 2. 吉林大学数学学院， 长春 130012 |
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| 摘 要： | 研究在缺失数据条件下， 零均值AR(p)模型的估计方法. 应用EM算法， 给出了一个 数据和连续两个数据缺失时的具体计算步骤.
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| 关 键 词： | 似然函数 EM算法 条件概率密度 |
| 文章编号： | 1671-5489(2003)02-0127-07 |
| 收稿时间： | 2002-09-04 |
| 修稿时间： | 2002年9月4日 |
Estimation Method of AR(p) Model with One Date or Two Continuous Data Missed |
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| TIAN Ping,DONG Xian feng,WANG De hui,HU ANG Xiao wei.Estimation Method of AR(p) Model with One Date or Two Continuous Data Missed[J].Journal of Jilin University: Sci Ed,2003,41(2):127-133. |
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| Authors: | TIAN Ping DONG Xian feng WANG De hui HU ANG Xiao wei |
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| Institution: | 1. College of Business, Jilin University, Changchun 130012; 2. College of Mathematics, Jilin University, Changchun 130012 |
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| Abstract: | The present paper deals with the estimation problem for zero mean value AR(p) model with one date or two continuous data missed.
The paper is based on the EM algorithm. By using the iterative method, we have
obtained the estimated values of parameters. |
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| Keywords: | likihood function EM algorithm conditional probable density |
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