| 关于GAR(p)模型平稳性的注记 |
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| 引用本文： | 常兆光,李元.关于GAR(p)模型平稳性的注记[J].中国石油大学学报(自然科学版),1991(4). |
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| 作者姓名： | 常兆光 李元 |
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| 作者单位： | 石油大学数理系
(常兆光)，石油大学数理系(李元) |
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| 摘 要： | GAR模型为应用非常广泛的一类非线性时间序列模型,对系数为滑动平均时GAR(2)模型的平稳性问题已有研究,但所用方法不易推广到一般的GAR(p)模型。本文采用矩阵的Kronecker积及拉直运算,获得了系数为滑动平均时,GAR(p)模型的一般平稳性条件,所用的方法具有普遍性。
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| 关 键 词： | 数学模型 白噪声 矩阵 计算方法 [平稳性] |
A NOTE ON STATIONARITY OF GAR(P) MODELS |
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| Chang Zhaoguang Li Yuan.A NOTE ON STATIONARITY OF GAR(P) MODELS[J].Journal of China University of Petroleum,1991(4). |
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| Authors: | Chang Zhaoguang Li Yuan |
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| Institution: | Dept. of Mathematics and Physics |
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| Abstract: | GAR model is one of the widely used nonlinear time series models.The stationarity of GAR(2) models of moving average coefficients was studied before.However,the study method is difficult to be applied to GAR (P) models.This paper presents a stationary condition of GAR(P) with Kronecker products and straightening operation.This method can be generalized to normal GAR (P) models. |
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| Keywords: | Mathemadical models Stationarity White noise Calculation methed |
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