| 突变参数过程最小均方误差预报的外插演算 |
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| 引用本文： | 陈家鑫.突变参数过程最小均方误差预报的外插演算[J].汕头大学学报(自然科学版),1995,10(2):1-8. |
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| 作者姓名： | 陈家鑫 |
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| 作者单位： | 汕头大学数学系 |
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| 摘 要： | 本文研究一类突变参数过程｛Ｘ，｝其中｛ｅｔ，｝是ｉ．ｉ．ｄ．白噪声序列，Ｚ是整数集．得到计算最小均方误差预报Ｘｔ（ｌ）的外插公式，并导出预报误差的条件方差的递推演算公式．
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| 关 键 词： | 预报误差 条件方差 特征向量 谱矩阵 Markov链 平稳分布 外插演算 |
Extropolative calculus for minimum mean square error forecasts of suddenly changing parametric process |
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| Chen Jiaxin.Extropolative calculus for minimum mean square error forecasts of suddenly changing parametric process[J].Journal of Shantou University(Natural Science Edition),1995,10(2):1-8. |
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| Authors: | Chen Jiaxin |
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| Abstract: | In this paper is investigated a suddenly changing parametric process where {et} is i.i.d. white noise series E (et)=0,Var(et)=σ> 0 and Z is an integral set. An extrapolative formula for calculation of minimum mean square error forecast Xt(l) is obtained and a recursive formula for computation of the conditional variance for forecasting error Xt+l-Xt(l) is derived. |
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| Keywords: | forecasting error conditional variance eigenvector spectral matrix Markov chain stationary distribution extrapolative calculus |
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