| LSDBL模型的Yule-Walker型差分方程及参数的矩估计方法 |
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| 引用本文： | 潘建康.LSDBL模型的Yule-Walker型差分方程及参数的矩估计方法[J].厦门大学学报(自然科学版),2011,50(6):966-970. |
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| 作者姓名： | 潘建康 |
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| 作者单位： | 厦门大学数学科学学院,福建厦门,361005 |
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| 摘 要： | 时间序列分析中,Yule-Walker差分方程在模型识别和参数估计中起着非常重要的作用.在相当一般的条件下,导出了LSDBL(p,0,r)模型输出序列的二、三阶矩所满足的Yule-Walker型差分方程,这些结果足以用来辨识该模型.在此基础上,提出了该模型参数的矩估计方法.仿真计算验证了该理论和方法的正确性和可行性.利用这些结果,还分析了一个实际数据例子.
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| 关 键 词： | 双线性 自协方差 三阶矩 Yule-Walker方程 矩估计 |
The Yule-Walker Type Difference Equations and Moment Estimation Method for Lower Sub-diagonal Bilinear Models |
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| PAN Jian-kang.The Yule-Walker Type Difference Equations and Moment Estimation Method for Lower Sub-diagonal Bilinear Models[J].Journal of Xiamen University(Natural Science),2011,50(6):966-970. |
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| Authors: | PAN Jian-kang |
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| Institution: | PAN Jian-kang (School of Mathematical Sciences,Xiamen University,Xiamen 361005,China) |
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| Abstract: | Yule-Walker type difference equations play important roles in time series analysis.Under the rather general assumptions,for LSDBL model,the corresponding equations for auto-covariance functions and the third order cumulants are derived,which can be used to identify the model efficiantly.Furthermore,the moment estimation method is provided.The simulation verifies the validity and feasibility of the results and a real data set is analyzed. |
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| Keywords: | bilinear auto-covariance the third-order cumulants Yule-Walker equations moment estimation method |
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