[1]徐南荣,焦小澄.平稳时间序列模型的结构判定[J].东南大学学报(自然科学版),1984,14(1):1-13.[doi:10.3969/j.issn.1001-0505.1984.01.001]
 Xu Nan rong,and Jiao Xiao-cheng.Structure Discrimination of Models For Stationary Time Series[J].Journal of Southeast University (Natural Science Edition),1984,14(1):1-13.[doi:10.3969/j.issn.1001-0505.1984.01.001]
点击复制

平稳时间序列模型的结构判定()
分享到:

《东南大学学报(自然科学版)》[ISSN:1001-0505/CN:32-1178/N]

卷:
14
期数:
1984年第1期
页码:
1-13
栏目:
本刊信息
出版日期:
1984-03-20

文章信息/Info

Title:
Structure Discrimination of Models For Stationary Time Series
作者:
徐南荣焦小澄
undefined
Author(s):
Xu Nan rong and Jiao Xiao-cheng
关键词:
参数估计量 相关性 模型结构参数 结构判定 时间序列模型 信息矩阵 平稳时间序列 残差序列 模型阶次 参数值
分类号:
+
DOI:
10.3969/j.issn.1001-0505.1984.01.001
摘要:
本文提出一种平稳时间序列模型结构判定的新方法。判定模型结构优良度的依据是残差的相关性以及参数估计的精度。利用信息熵的概念,文中建立了衡量残差相关性的度量函数。为了度量参数的精度,引入费歇尔信息矩阵的纯量函数,并导出了信息矩阵计算的数值方法,最后,列举了一些数字仿真的例子,以说明本文所提出的方法的有效性和实用性。
Abstract:
In this paper, a new method for structure discriminaton of models for stationary time series is proposed. To form a basis for model stractur discrimination, a measure of goodness related to the autocorrelation of residuals and to the accuracy of the parameter estimates is chosen. Using the concept of information entropy, a measure function of the autocorrelation of residuals is established. In order to measure the parameter accuracy, a suitable chosen scalar function of Fisher’s information matrix is introduced. and a numerical method for calculating the information matrix is derived. Finally, several digital simulation examples to illustrate the effectiveness and the practicality of the method proposed are given.

相似文献/References:

[1]王芳,陈飞,倪富健,等.公路平面线形与驾驶员视觉搜索模式相关性分析[J].东南大学学报(自然科学版),2009,39(5):1070.[doi:10.3969/j.issn.1001-0505.2009.05.040]
 Wang Fang,Chen Fei,Ni Fujian,et al.Correlation analysis between highway horizontal alignment and drivers’ visual search behavior[J].Journal of Southeast University (Natural Science Edition),2009,39(1):1070.[doi:10.3969/j.issn.1001-0505.2009.05.040]
[2]白永生,蒋永生,梁书亭.单轴对称的开口薄壁梁弯、剪、扭相关性[J].东南大学学报(自然科学版),2002,32(6):955.[doi:10.3969/j.issn.1001-0505.2002.06.029]
 Bai Yongsheng,Jiang Yongsheng,Liang Shuting.Correlativity of monosymmetric thin-walled beams of open section under combined bending, shear and torsion[J].Journal of Southeast University (Natural Science Edition),2002,32(1):955.[doi:10.3969/j.issn.1001-0505.2002.06.029]
[3]曹玉鹏,邓永锋,洪振舜,等.激光法与比重计法粒径分布相关性试验研究[J].东南大学学报(自然科学版),2012,42(4):755.[doi:10.3969/j.issn.1001-0505.2012.04.034]
 Cao Yupeng,Deng Yongfeng,Hong Zhenshun,et al.Experimental study on correlation of particle size distribution by laser and hydrometer method[J].Journal of Southeast University (Natural Science Edition),2012,42(1):755.[doi:10.3969/j.issn.1001-0505.2012.04.034]
[4]刘应安,韦博成,林金官.误差为ARMA(1,1)的非线性回归模型相关性和异方差的检验[J].东南大学学报(自然科学版),2001,31(6):98.[doi:10.3969/j.issn.1001-0505.2001.06.024]
 Liu Yingan,Wei Bocheng,Lin Jinguan.Tests of Auto-Correlation and Heteroscedasticity of the Nonlinear Regression Models with an ARMA(1,1) Sequence Random Error[J].Journal of Southeast University (Natural Science Edition),2001,31(1):98.[doi:10.3969/j.issn.1001-0505.2001.06.024]
[5]丁幼亮,王超,王景全,等.高速铁路钢桁拱桥吊杆振动长期监测与分析[J].东南大学学报(自然科学版),2016,46(4):848.[doi:10.3969/j.issn.1001-0505.2016.04.029]
 Ding Youliang,Wang Chao,Wang Jingquan,et al.Long-term monitoring and analysis of hanger vibration on high-speed railway steel truss arch bridge[J].Journal of Southeast University (Natural Science Edition),2016,46(1):848.[doi:10.3969/j.issn.1001-0505.2016.04.029]
[6]黄煜,徐青山,刘建坤,等.基于混合高斯模型的相关非高斯输入变量随机潮流计算[J].东南大学学报(自然科学版),2017,47(2):291.[doi:10.3969/j.issn.1001-0505.2017.02.016]
 Huang Yu,Xu Qingshan,Liu Jiankun,et al.Probabilistic load flow with non-Gaussian correlated input variables based on Gaussian mixture model[J].Journal of Southeast University (Natural Science Edition),2017,47(1):291.[doi:10.3969/j.issn.1001-0505.2017.02.016]
[7]王芳,孟丹,韩苗苗,等.采暖通风方式对室内外PM2.5浓度及其相关性的影响[J].东南大学学报(自然科学版),2017,47(5):950.[doi:10.3969/j.issn.1001-0505.2017.05.018]
 Wang Fang,Meng Dan,Han Miaomiao,et al.Effect of heating and ventilating scenarios on indoor and outdoor PM2.5 mass concentrations and correlations[J].Journal of Southeast University (Natural Science Edition),2017,47(1):950.[doi:10.3969/j.issn.1001-0505.2017.05.018]

更新日期/Last Update: 2013-05-01