| Auto-Regressive Models of Non-Stationary Time Series with Finite Length |
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| 作者姓名： | 费万春 白伦 |
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| 作者单位： | [1]MaterialEngineeringCollege,SoochowUniversity,Suzhou215021,China／／GraduateSchoolofInformationScienceandTechnology,theUniversityofTokyo,Japan [2]MaterialEngineeringCollege,SoochowUniversity,Suzhou215021,China |
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| 基金项目： | Supported by the Natural Science Foundation of Jiangsu Province(No. L0313419913) |
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| 摘 要： | To analyze and simulate non-stationary time series with finite length, the statistical characteristics and auto-regressive (AR) models of non-stationary time series with finite length are discussed and studied. A new AR model called the time varying parameter AR model is proposed for solution of non-stationary time series with finite length. The auto-covariances of time series simulated by means of several AR model sare analyzed. The result shows that the new AR model can be used to simulate and generate a new time series with the auto-covariance same as the original time series. The size curves of cocoon filaments regarded as non-stationary time series with finite length are experimentally simulated. The simulation results are significantly better than those obtained so far, and illustrate the availability of the time varying parameter AR model. The results are useful for analyzing and simulating non-stationary time series with finite length.
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| 关 键 词： | 自回归模式 有限长度 分析方法 结构特征 时间序列分析 协方差 |
Auto-Regressive Models of Non-Stationary Time Series with Finite Length |
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| FEI Wanchun BAI Lun . Material Engineering College,Soochow University,Suzhou ,China, . Graduate School of Information Science and Technology,the University of Tokyo,Japan.Auto-Regressive Models of Non-Stationary Time Series with Finite Length[J].Tsinghua Science and Technology,2005,10(2):162-168. |
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| Authors: | FEI Wanchun BAI Lun Material Engineering College Soochow University Suzhou China Graduate School of Information Science and Technology the University of Tokyo Japan |
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| Institution: | FEI Wanchun BAI Lun 1. Material Engineering College,Soochow University,Suzhou 215021,China, 2. Graduate School of Information Science and Technology,the University of Tokyo,Japan |
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| Abstract: | To analyze and simulate non-stationary time series with finite length, the statistical characteris- tics and auto-regressive (AR) models of non-stationary time series with finite length are discussed and stud- ied. A new AR model called the time varying parameter AR model is proposed for solution of non-stationary time series with finite length. The auto-covariances of time series simulated by means of several AR models are analyzed. The result shows that the new AR model can be used to simulate and generate a new time series with the auto-covariance same as the original time series. The size curves of cocoon filaments re- garded as non-stationary time series with finite length are experimentally simulated. The simulation results are significantly better than those obtained so far, and illustrate the availability of the time varying parameter AR model. The results are useful for analyzing and simulating non-stationary time series with finite length. |
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| Keywords: | time series analysis auto-covariance non-stationary auto-regressive model size curve of cocoon filament |
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