[1]曹忻,盛昭瀚,徐南荣.非平稳时间序列的线性预测[J].东南大学学报(自然科学版),1989,19(6):86-92.[doi:10.3969/j.issn.1001-0505.1989.06.012]
　Cao Xin Sheng Zhaohan Xu Nanrong(College of Management).Linear Prediction of Nonstationary Time Series[J].Journal of Southeast University (Natural Science Edition),1989,19(6):86-92.[doi:10.3969/j.issn.1001-0505.1989.06.012]
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非平稳时间序列的线性预测()
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《东南大学学报(自然科学版)》[ISSN:1001-0505/CN:32-1178/N]

卷:
19
期数:
1989年第6期
页码:
86-92
栏目:
本刊信息
出版日期:
1989-11-20

文章信息/Info

Title:
Linear Prediction of Nonstationary Time Series
作者:
曹忻; 盛昭瀚; 徐南荣
东南大学管理学院； 东南大学管理学院
Author(s):
Cao Xin Sheng Zhaohan Xu Nanrong(College of Management)
关键词:
时间序列分析;  预报;  系统辨识/非平稳时间序列;  线性预测;  建模
Keywords:
time series analysis;  predictions;  system identification / nonstationary time series;  linear prediction;  modelling
分类号:
+
DOI:
10.3969/j.issn.1001-0505.1989.06.012
摘要:
本文研究非平稳正态时间序列的线性预测问题。导出非平稳正态序列的递推预测-平滑公式。对于讨论同一问题的某些文献的结论进行了分析,指出该文的结论对非平稳序列并不适用。
Abstract:
This paper is devoted to the problem of linear prediction of nonstationary Gaussian time series. A recursive predicting-smooth model is proposed and discussed. With this model, the forecast of the series is obtained through a group of formulae including both backward predictor and forward predictor. In addition, a questionable problem existing in a published literature which dealt with the same topic is pointed out and some comments are made on it.

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更新日期/Last Update: 2013-04-30