| 关于ARMA序列协方差矩阵的逆 |
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| 引用本文： | 吴诚鸥,方兴.关于ARMA序列协方差矩阵的逆[J].高校应用数学学报(A辑),1993(4):403-409. |
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| 作者姓名： | 吴诚鸥 方兴 |
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| 作者单位： | 南京气象学院
(吴诚鸥，王卫群，张荣庆)，南京建筑工程学校(方兴) |
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| 摘 要： | 本文用矩阵方法导出ＡＲＭＡ（ｐ，ｑ）序列协方差阵的逆的一种表达式，由它可以较快计算平方和函数及其偏导数，还可以求得初值为零的条件平方和函数的误差。
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| 关 键 词： | 时间序列 ARMA序列 协方差矩阵 逆 |
ON THE INVERSE OF THE COVARIANCE MATRIX OF ARMA SERIES |
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| Wu Chengou Wang Weiqun Zhang Rongqing.ON THE INVERSE OF THE COVARIANCE MATRIX OF ARMA SERIES[J].Applied Mathematics A Journal of Chinese Universities,1993(4):403-409. |
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| Authors: | Wu Chengou Wang Weiqun Zhang Rongqing |
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| Institution: | Wu Chengou Wang Weiqun Zhang Rongqing (Nanjing Iustitute of Meteorology)Fang Xing (Nanjing Institute of Architecture and Engineering) |
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| Abstract: | In this paper. we derive an expression for the inverse of the covariance matrix of ARMA seriesby the matrix method. Using this expression, the function of sum of squares and its partialderivatives can be calculated quickly, and the error of the function of sum of squares under thecondition of the zero initial value can be obtained. |
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| Keywords: | Time Series ARMA Series Covariance Matrix |
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