| 基于AR和TAR模型的变点问题分析 |
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| 引用本文： | 夏强,梁茹冰,刘金山. 基于AR和TAR模型的变点问题分析[J]. 徐州师范大学学报(自然科学版), 2011, 0(3): 49-53 |
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| 作者姓名： | 夏强 梁茹冰 刘金山 |
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| 作者单位： | 华南农业大学理学院; |
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| 基金项目： | 国家自然科学基金资助项目(11171117); 广东省自然科学基金资助项目(S2011010002371); 教育部人文社会科学研究青年基金资助项目(11YJCZH195) |
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| 摘 要： | 在正态分布下,Perreault等刻画了水文时间序列4种情形的变点问题,但没有利用到具体的模型.本文设定自回归(AR)和门限自回归(TAR)模型对应均值的变化,利用贝叶斯推断法,完成这4种情形下变点问题的分析.模拟实验的结果比较理想.
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| 关 键 词： | 贝叶斯推断 AR模型 后验概率估计 TAR模型 |
Analysis of change-point problem with AR and TAR models |
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| Xia Qiang,Liang Rubing,Liu Jinshan. Analysis of change-point problem with AR and TAR models[J]. Journal of Xuzhou Normal University(Natural Science Edition), 2011, 0(3): 49-53 |
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| Authors: | Xia Qiang Liang Rubing Liu Jinshan |
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| Affiliation: | Xia Qiang,Liang Rubing,Liu Jinshan(College of Science,South China Agricultural University,Guangzhou 510642,Guangdong,China) |
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| Abstract: | Under the hypothesis of normal distribution,Perreault et al depicted the change-point problems of hydrometeorological time series in four cases according to mean and variance changing.However,it is simple and has not used any concrete model.Basing upon it,we join the AR and TAR models in the mean-equations to finish the analysis of four types of change-point problems using Bayesian inference method.Simulation experiments indicate that our method can achieve ideal results. |
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| Keywords: | Bayesian inference AR model estimate of posterior probability TAR model |
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