| A METHOD TO FACTORIZE THE SPECTRAL DENSITY OF MULTIPLE MOVING AVERAGE PROCESSES |
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| 作者姓名： | LI Lei |
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| 作者单位： | Institute of Systems Science，Academia Sinica，Beijing 100080，China |
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| 摘 要： | ＡＭＥＴＨＯＤＴＯＦＡＣＴＯＲＩＺＥＴＨＥＳＰＥＣＴＲＡＬＤＥＮＳＩＴＹＯＦＭＵＬＴＩＰＬＥＭＯＶＩＮＧＡＶＥＲＡＧＥＰＲＯＣＥＳＳＥＳ￥ＬＩＬｅｉ（ＩｎｓｔｉｔｕｔｅｏｆＳｙｓｔｅｍｓＳｃｉｅｎｃｅ，ＡｃａｄｅｍｉａＳｉｎｉｃａ，Ｂｅｉｊｉｎｇ１０...
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A METHOD TO FACTORIZE THE SPECTRAL DENSITY OF MULTIPLE MOVING AVERAGE PROCESSES |
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| LI Lei.A METHOD TO FACTORIZE THE SPECTRAL DENSITY OF MULTIPLE MOVING AVERAGE PROCESSES[J].Journal of Systems Science and Complexity,1994(2). |
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| Authors: | LI Lei |
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| Abstract: | Sometimes we have to compute the parameters of a multiple moving average process from its known autocovariances or spectral density. This paper proposes an iterative method by establishing a state space model for the process. |
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| Keywords: | Multiple MA process spectral factorization state space model |
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