[1]余勇,万德钧.一类双线性时间序列模型基于累积量的辨识[J].东南大学学报(自然科学版),1999,29(3):139-143.[doi:10.3969/j.issn.1001-0505.1999.03.027]
 Yu Yong,Wan Dejun.Identification of a Kind of Bilinear Time Series Model Based on Cumulants[J].Journal of Southeast University (Natural Science Edition),1999,29(3):139-143.[doi:10.3969/j.issn.1001-0505.1999.03.027]
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一类双线性时间序列模型基于累积量的辨识()
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《东南大学学报(自然科学版)》[ISSN:1001-0505/CN:32-1178/N]

卷:
29
期数:
1999年第3期
页码:
139-143
栏目:
数学、物理学、力学
出版日期:
1999-05-20

文章信息/Info

Title:
Identification of a Kind of Bilinear Time Series Model Based on Cumulants
作者:
余勇 万德钧
东南大学仪器科学与工程系, 南京 210096
Author(s):
Yu Yong Wan Dejun 
Department of Instrument Science and Engineering, Southeast University, Nanjing 210096
关键词:
双线性模型 高阶累积量 Yule-Walker方程 辨识
Keywords:
bilinear models higher-order cumulants Yule-Walker equations identification
分类号:
O211.61
DOI:
10.3969/j.issn.1001-0505.1999.03.027
摘要:
获得了一类双线性时间序列模型的二、三和四阶累积量所满足的差分方程,它们与线性平稳ARMA模型著名的Yule-Walker方程相似,可看作是标准Yule-Walker方程的推广.因此它们可用于双线性时间序列模型的辨识,并以一个数值仿真例子表明该方法是可行的.
Abstract:
Difference equations of the second, third and fourth-order cumulants for a kind of bilinear time series model are obtained, and they are similar to the well-known Yule-Walker equations for the linear and stationary ARMA models. Therefore these equations can be considered as extensions of the standard Yule-Walker equations. Thus they can be used for the identification of bilinear models, and a numerical simulation example shows that the method is feasible. 

参考文献/References:

[1] Subba R T.On the theory of bilinear time series models .J R Statist Soc ,1981,43(2) :244~255
[2] Subba R T,Gabr M M.An introduction to bispectral analysis and bilinear time series models .New York:Springer-Verlag,1984.32~64
[3] Sesay S A O,Subba R T.Yule-Walker type difference equations for higher-order moments and cumulants for bilinear time series models.Journal of Time Series Analysis,1988,9(4):385~401
[4] Sesay S A O,Subba R T.Difference equations for higher-order moments and cumulants for the bilinear time series model BL(p,0,p,1).Journal of Time Series Analysis,1991,12 (2):159~177
[5] Sesay S A O.Frequency-domain methods of estimation and higher-order moments analysis for the bilinear model BL(p,0,p,1):[Ph.D.Thesis].Manchester:University of Manchester Institute of Science and Technology,1985
[6] 余勇.USDBL(1,0,1)的高阶矩和累积量的尤尔-沃克型差分方程及其双谱分析:[学位论文].南京:东南大学,1997

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备注/Memo

备注/Memo:
基金项目: 中国船舶工业总公司科研基金资助项目.
第一作者:男,1972年生,博士.
更新日期/Last Update: 1999-05-20