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| ARMA模型的平方根超定递推辅助变量定阶方法 | |
| 引用本文： | 肖创柏. ARMA模型的平方根超定递推辅助变量定阶方法[J]. 湘潭大学自然科学学报, 1991, 13(4): 131-138 |
| 作者姓名： | 肖创柏 |
| 作者单位： | 湘潭大学计算机科学系 |
| 摘 要： | 提出了自回归滑动平均(ARMA)模型的平方根超定递推辅助变量定价方法.该方法避免了计算逆协方差阵失去正定性的问题,改进了超定递推辅助变量定阶方法的数值稳定性.模拟计算与实验数据处理表明,该方法数值稳定性好,收敛速度快,抗噪能力强.是一种高性能的定阶方法。 |
| 关 键 词： | 自回归滑动平均模型 平方根法/超定递推辅助变量法 平方根超定递推辅助变量法 |
THE SQUARE-ROOT OVERDETERMINED RECURSIVE INSTRUMENTAL VARIABLE ALGORITHM FOR ARMA MODEL ORDER ESTIMATION |
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| Xiao Chuangbai. THE SQUARE-ROOT OVERDETERMINED RECURSIVE INSTRUMENTAL VARIABLE ALGORITHM FOR ARMA MODEL ORDER ESTIMATION[J]. Natural Science Journal of Xiangtan University, 1991, 13(4): 131-138 | |
| Authors: | Xiao Chuangbai |
| Affiliation: | Department of Computer Sciences |
| Abstract: | A square-root overdetermined recursive instrumental vatiablealgorithm for ARMA models order estimation is presented.The methodavoids the problem of loss of positive-definiteness of the inverse covariance matrix and improves the numerical stability of the overdeterminedrecursive instrumental variable method for order estimation.the behaviorof the algorithm is illustrated by extensive numerical examples.Theresults of testing data processing and some simulation examples show thatthe method has good numerical stability, rapid convergence and strongnoise rejection. |
| Keywords: | autoregressive moving average models square root method/overdetermined recursive instrumental variable method square root overdetermined recursive instrumental variable method |
| 本文献已被 CNKI 维普 等数据库收录！ | |