[1]华玉弟,杜秀丽,陈浩球.随机AR(1)-MA(1)模型的参数矩估计及其相容性[J].东南大学学报(自然科学版),2000,30(2):148-153.[doi:10.3969/j.issn.1001-0505.2000.02.031]
 Hua Yudi,Du Xiuli,Chen Haoqiu.Moment-Estimator of Parameters on AR(1)-MA(1) Model and Their Properties of Consistency[J].Journal of Southeast University (Natural Science Edition),2000,30(2):148-153.[doi:10.3969/j.issn.1001-0505.2000.02.031]
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随机AR(1)-MA(1)模型的参数矩估计及其相容性()
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《东南大学学报(自然科学版)》[ISSN:1001-0505/CN:32-1178/N]

卷:
30
期数:
2000年第2期
页码:
148-153
栏目:
数学、物理学、力学
出版日期:
2000-03-19

文章信息/Info

Title:
Moment-Estimator of Parameters on AR(1)-MA(1) Model and Their Properties of Consistency
作者:
华玉弟1 杜秀丽2 陈浩球3
1 沙州职业工学院,张家港 215600; 2 南京师范大学数学与计算机科学学院,南京 210097; 3 东南大学应用数学系,南京 210096
Author(s):
Hua Yudi1 Du Xiuli2 Chen Haoqiu3
1)-MA(1) Model and Their Properties of Consistency Hua Yudi1 〓 Du Xiuli2 〓 Chen Haoqiu3 (1 Shazhou Professorial Industrial College, Zhangjiagang 215600
2 Department of Mathematics and Computer S
关键词:
双重时序模型 随机系数AR模型 AR(1)-MA(1)模型
Keywords:
doubly time series model stochastic coefficient AR model AR(1)-MA(1) model
分类号:
O211.61
DOI:
10.3969/j.issn.1001-0505.2000.02.031
摘要:
利用矩估计法,给出了双重时序模型AR(1)-MA(1)的参数矩估计.在第二重模型MA(1)噪声方差已知的条件下,通过对协方差函数渐近性质的研究,证明了该矩估计的相容性.讨论了第二重模型满足对数MA时的参数的矩估计及其相容性、自相关函数及谱密度.
Abstract:
About doubly time series model AR(1)-MA(1), this paper presents moment-estimator on the parameters by using the method of moments. And on the condition that we have known the variance of white noise about the second stochastic process model, we prove the properties of weak consistency by discussing the covariance function. In the end,we also present the correlation function and spectrum density when lnφ2t is of MA(q) series.

参考文献/References:

[1] Tjstheim D.Some doubly stochastic time Series models.J Time Series Anal,1986 (7):51~73
[2] 张所地.AR(1)-MA(2)双重时间序列模型的平稳解及其谱密度.工程数学学报,1991 8(3):141~146
[3] 苗夺谦,常学将.一类双重时序模型AR(1)-MA(0)的参数矩估计及其渐近性质.工程数学学报,1991,8(3):73~81

备注/Memo

备注/Memo:
第一作者:男, 1965年生, 学士, 讲师.
更新日期/Last Update: 2000-03-20