引用本文: | 谢新艳.一类多维双重时序 AR(1)-MA(q) 模型的平稳性[J].国防科技大学学报,1999,21(6):119-122.[点击复制] |
Xie Xinyan.The stationanrity of a Dimensional Doubly Stochastic AR(1)-MA(q) Model[J].Journal of National University of Defense Technology,1999,21(6):119-122[点击复制] |
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一类多维双重时序 AR(1)-MA(q) 模型的平稳性 |
谢新艳 |
(国防科技大学 系统工程与数学系 湖南 长沙 410073)
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摘要: |
讨论了一类多维双重时序AR(1)-MA(q)模型的二阶平稳性问题。通过导出一组线性方程组, 给出了这类模型二阶平稳的显式充分条件和必要条件, 为验证模型的二阶平稳性提供了一个可行的途径。 |
关键词: 双重时序模型, AR(1)-MA(q) 模型, 二阶平稳性 |
DOI: |
投稿日期:1999-02-20 |
基金项目: |
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The stationanrity of a Dimensional Doubly Stochastic AR(1)-MA(q) Model |
Xie Xinyan |
(Department of Systems Engineering and Mathematics, NUDT, Changsha, 410073)
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Abstract: |
This article discusses the second order stationarity of a dimensional doubly stochastic AR(1)-MA(q) model. By developing a group of linear equations, the explicit necessary & sufficient conditions of the stationarity for this model have presented. lt is a feasible method to test the second order stationarity of this model. |
Keywords: doubly stochastic time series model, AR(1)-MA(q) model, second order stationarity |
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