| 隅角法定阶的递推算法(英文) |
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| 引用本文： | 杨位钦,王墉. 隅角法定阶的递推算法(英文)[J]. 北京理工大学学报, 1990, 0(Z1) |
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| 作者姓名： | 杨位钦 王墉 |
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| 作者单位： | 北京理工大学自动控制系(杨位钦)，北京理工大学自动控制系(王墉) |
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| 摘 要： | 给出了ARMA(自回归滑动平均)模型定阶的递推算法,该算法极大地减少了在隅角法定阶中所必须求取的阵列的计算量。递推方程是由基於矩阵分解公式的交叉等式导出的。利用这种算法使得隅角法定阶在实际应用中更加可行。
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| 关 键 词： | 时间序列分析 ARMA模型 自相关函数 偏相关函数/隅角法 |
A Recursive Algorithm of the Corner Method for Order Determination |
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| Yang Weiqin Wang Yong. A Recursive Algorithm of the Corner Method for Order Determination[J]. Journal of Beijing Institute of Technology(Natural Science Edition), 1990, 0(Z1) |
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| Authors: | Yang Weiqin Wang Yong |
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| Affiliation: | Department of Automatic Control |
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| Abstract: | A recursive algorithm for order determination of ARMA models are presented . The algorithm drastically reduces the computational costs in calculating the array which is necessary in utilizing the corner method . The recursive equation is derived from a cross - identity basal on a formula of matrix analysis . The algorithm makes the corner method much more feasible in practical use . |
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| Keywords: | time series analysis ARM A models autocorrelation function partial autocorrelation function/ corner method . |
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