| ARMA模型的超定递推辅助变量定阶方法 |
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| 引用本文： | 程炳洵,肖创柏.ARMA模型的超定递推辅助变量定阶方法[J].湘潭大学自然科学学报,1988(4). |
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| 作者姓名： | 程炳洵 肖创柏 |
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| 作者单位： | 西北工业大学，湘潭大学计算机系 |
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| 摘 要： | 本文提出了自回归滑动平均(ARMA)模型的超定递推辅助变量定阶方法.该方法具有好的计算性能和好的统计性质,相对于 AIC 信息准则和递推辅助变量定阶方法是一种更加灵敏的过参数指示器,能够准确明显地确定 ARMA 模型的阶数.方法的可行性用模拟计算和实验数据处理进行了验证,同时,还将该方法与递推辅助变量定阶方法进行了比较.结果表明:超定递推辅助变量定阶方法是一种行之有效的、高性能的定阶方法。
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| 关 键 词： | 自回归滑动平均模型 超定递推辅助变量定阶方法 |
A OVERDETERMINED RECURSIVE INSTRUMENTAL VARIABLE METHOD FOR ARMA MODEL ORDER ESTIMATION |
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| Cheng Bingxun.A OVERDETERMINED RECURSIVE INSTRUMENTAL VARIABLE METHOD FOR ARMA MODEL ORDER ESTIMATION[J].Natural Science Journal of Xiangtan University,1988(4). |
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| Authors: | Cheng Bingxun |
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| Institution: | Cheng Bingxun (Xian Northwest Polytechnical University)Xiao Chuangbai (Department of Computer Sciences) |
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| Abstract: | A computationally efficient method for identifying the structure of autoregressive moving-average(ARMA)models is presented.The method is based upon a new computational technique of parameter estimation, using the overdetermined instrumental variable,that eliminates a number of redundant computations and does not require explicit evaluation of the overdetermined instrumental,This method is a more sensitive indicator of overparameterisation compared to AIC and IV method.The reason- ability using this method was proved by testing data processing and some simulation examples.The order of ARMA model is esimated clearly and accurately by this way. |
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| Keywords: | overdetermined recurive instrumental variable method autoregressive moving-average(ARMA) model |
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