| 平稳MA模型阶数的Bayesian估计 |
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| 引用本文： | 陈敏. 平稳MA模型阶数的Bayesian估计[J]. 系统科学与数学, 1998, 18(4): 447-454 |
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| 作者姓名： | 陈敏 |
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| 作者单位： | 中国科学院应用数学研究所!北京，100080，中国科学院应用数学研究所!北京，100080 |
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| 摘 要： | 本文基于Bnyesian估计理论，讨论了MA模型阶的识别，在关于阶和参数的一个一般先验分布下，给出了阶的估计的Bayesian准则，并证明了该估计方法具有强相合性．
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| 关 键 词： | MA模型 阶的估计 Basesian估计 强相合性 |
THE BAYESIAN ESTIMATION OF THE ORDER FOR STATIONARY MA MODEL |
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| Chen Min,Wu Guofu. THE BAYESIAN ESTIMATION OF THE ORDER FOR STATIONARY MA MODEL[J]. Journal of Systems Science and Mathematical Sciences, 1998, 18(4): 447-454 |
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| Authors: | Chen Min Wu Guofu |
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| Affiliation: | (Institute of Applied Mathematics, Academia Sinica, Beijing 100080) |
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| Abstract: | In this paper, we discuss the problem of determining the order of MA(k) model basing on the Bayesian estimation theory. We give a Bayesian criterion of determining the order for a general prior distribation about the order and the parameters. The consistency of the order estimation is also proved. |
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| Keywords: | MA(k) model the order estimation Bayesian estimation consistency. |
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