| 潜周期模型中频率变点的估计 |
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| 引用本文： | 栾贻会,谢衷洁,李东风.潜周期模型中频率变点的估计[J].应用数学学报,2003,26(2):214-224. |
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| 作者姓名： | 栾贻会 谢衷洁 李东风 |
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| 作者单位： | 北京大学数学科学学院,北京,100871 |
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| 基金项目： | 国家自然科学基金(19971006号)，高等学校博士点基金资助项目 |
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| 摘 要： | 本文用逐段计算周期图的办法研究了带有频率交点的潜周期模型估计问题，给出了交点数目、位置和潜频率的强相合估计．数值模拟表明本文方法对变点个数和潜频率估计很好，但是要准确估计交点位置需要较大样本量，估计对于噪声水平较高情况仍然有效。
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| 关 键 词： | 潜周期模型 频率变点 周期图 时间序列分析 时变频率估计 统计相合性 回归模型 数值模拟 |
FREQUENCY CHANGE POINTS ESTIMATION IN HIDDEN PERIODICITY MODEL |
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| LUAN YIHUI XIE ZHONGJIE LI DONGFENG.FREQUENCY CHANGE POINTS ESTIMATION IN HIDDEN PERIODICITY MODEL[J].Acta Mathematicae Applicatae Sinica,2003,26(2):214-224. |
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| Authors: | LUAN YIHUI XIE ZHONGJIE LI DONGFENG |
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| Abstract: | Using segmented periodograms we studied the model estimation in hidden periodicity model with frequency change points. We gave strongly consistent estimates for the change points and the hidden frequencies. Simulation results show that estimates for the number of change points and the hidden frequencies are accurate enough, but to get good change point estimate we need larger sample size. The estimates are not sensible to noise. |
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| Keywords: | Hidden periodictities frequency points periodograms |
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