[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] 点击复制 一类双线性时间序列模型基于累积量的辨识() 分享到： var jiathis_config = { data_track_clickback: true };

29

1999年第3期

139-143

1999-05-20

文章信息/Info

Title:
Identification of a Kind of Bilinear Time Series Model Based on Cumulants

Author(s):
Department of Instrument Science and Engineering, Southeast University, Nanjing 210096

Keywords:

O211.61
DOI:
10.3969/j.issn.1001-0505.1999.03.027

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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