[1]陈茹雯,黄仁,史金飞,等.线性/非线性时间序列模型一般表达式及其工程应用[J].东南大学学报(自然科学版),2008,38(6):1077-1080.[doi:10.3969/j.issn.1001-0505.2008.06.027]
 Chen Ruwen,Huang Ren,Shi Jinfei,et al.General expression for linear and nonlinear time series model and its engineering application[J].Journal of Southeast University (Natural Science Edition),2008,38(6):1077-1080.[doi:10.3969/j.issn.1001-0505.2008.06.027]
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线性/非线性时间序列模型一般表达式及其工程应用()
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《东南大学学报(自然科学版)》[ISSN:1001-0505/CN:32-1178/N]

卷:
38
期数:
2008年第6期
页码:
1077-1080
栏目:
计算机科学与工程
出版日期:
2008-11-20

文章信息/Info

Title:
General expression for linear and nonlinear time series model and its engineering application
作者:
陈茹雯12 黄仁1 史金飞1 张志胜1
1 东南大学机械工程学院,南京 211189; 2 南京工程学院车辆工程系, 南京 211167
Author(s):
Chen Ruwen12 Huang Ren1 Shi Jinfei1 Zhang Zhisheng1
1 School of Mechanical Engineering, Southeast University, Nanjing 211189, China
2 Department of Vehicle Engineering, Nanjing Institute of Technology, Nanjing 211167, China
关键词:
线性/非线性系统 时间序列模型 系统辨识
Keywords:
linear and nonlinear system time series model system identification
分类号:
TP391
DOI:
10.3969/j.issn.1001-0505.2008.06.027
摘要:
提出一种线性/非线性时间序列模型的一般表达式(GNAR),论述其线性和非线性特性.对3种典型的非线性、非平稳时间序列进行试验及应用研究.将样本数据分成训练集和测试集,在训练集上建立GNAR模型,采用最小二乘方法以及结合预测误差的修正AIC准则实现其参数估计和模型定阶.在测试集上进行预测,进而验证模型.结果表明该模型对3组数据跟踪性能良好,预测预报精度优于传统时序模型,因此该模型有良好的适应性和有效性,能应用于工程实际.
Abstract:
A general expression for linear and nonlinear auto-regressive time series models(GNAR)is proposed and its linear and nonlinear characteristics are discussed. The model is verified by three typical data series which are divided into training and test sets. The GNAR model is established on the training set with the least square method to realize the parameter estimation and an information criterion integrated with the prediction error to determine the model order. And the fitting adequacy and the prediction error are checked on the test set. The model simulation and experiments show that the proposed GNAR model can accurately trace the dynamic characteristics of the nonlinear data and its modeling and prediction accuracy is superior to the traditional time series models. Therefore the GNAR model is flexible and effective and can be applied to the engineering.

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相似文献/References:

[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.[doi:10.3969/j.issn.1001-0505.1984.01.001]
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备注/Memo

备注/Memo:
作者简介: 陈茹雯(1974—),女,博士生; 史金飞(联系人),男,博士,教授,博士生导师,shijf@seu.edu.cn.
基金项目: 国家高技术研究发展计划(863计划)资助项目(2006AA040202)、江苏省科技成果转化资助项目(BA2006068).
引文格式: 陈茹雯,黄仁,史金飞,等.线性/非线性时间序列模型一般表达式及其工程应用[J].东南大学学报:自然科学版,2008,38(6):1077-1080.
更新日期/Last Update: 2008-11-20