| 季节协整系统的贝叶斯推断 |
| |
| 引用本文： | 张世英,朱辉.季节协整系统的贝叶斯推断[J].系统工程学报,1998,13(4):30-37. |
| |
| 作者姓名： | 张世英 朱辉 |
| |
| 作者单位： | 天津大学管理学院 |
| |
| 摘 要： | 讨论季节协整系统的检验问题．提出了一种基于季节协整系统误差校正模型的贝叶斯季节协整检测方法，并通过模拟实验说明贝叶斯方法的有效性．
|
| 关 键 词： | 季节性协整，误差校正模型，协整检验，贝叶斯分析 |
BAYESIAN INFERENCE FOR SEASONAL COINTEGRATED SYSTEMS |
| |
| Zhang Shiying,Zhu Hui.BAYESIAN INFERENCE FOR SEASONAL COINTEGRATED SYSTEMS[J].Journal of Systems Engineering,1998,13(4):30-37. |
| |
| Authors: | Zhang Shiying Zhu Hui |
| |
| Abstract: | In this paper,the problem of testing of seasonal cointegrated systems is discussed. A Bayesian seasonal cointegration test based on error correction representation of seasonal cointegrated systems is proposed.The efficiency of the Bayesian method is shown by Monto Carlo experiments. |
| |
| Keywords: | seasonal cointegration error correction model cointegration test Bayesian analysis |
| 本文献已被 CNKI 维普 等数据库收录！ |
