[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： var jiathis_config = { data_track_clickback: true };

14

1984年第1期

1-13

1984-03-20

文章信息/Info

Title:
Structure Discrimination of Models For Stationary Time Series

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Author(s):

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DOI:
10.3969/j.issn.1001-0505.1984.01.001

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.

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