| 非平稳时间序列的线性预测 |
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| 引用本文： | 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(6). |
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| 作者姓名： | 曹忻 盛昭瀚 徐南荣 |
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| 作者单位： | 东南大学管理学院，东南大学管理学院，东南大学管理学院 |
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| 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。
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| 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 |
Linear Prediction of Nonstationary Time Series |
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| Cao Xin Sheng Zhaohan Xu Nanrong.Linear Prediction of Nonstationary Time Series[J].Journal of Southeast University(Natural Science Edition),1989(6). |
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| Authors: | Cao Xin Sheng Zhaohan Xu Nanrong |
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| Institution: | College of Management |
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| 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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| Keywords: | time series analysis predictions system identification / nonstationary time series linear prediction modelling |
| 本文献已被 CNKI 等数据库收录！ |
