| 基于Durbin-levinson估计的多维AR(p)过程的实证分析 |
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| 引用本文： | 王尚九.基于Durbin-levinson估计的多维AR(p)过程的实证分析[J].韶关学院学报,2011,32(4):5-8. |
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| 作者姓名： | 王尚九 |
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| 作者单位： | 韶关学院数学与信息科学学院,广东韶关,512005 |
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| 摘 要： | 基于Durbin-levinson算法对多维AR(p)过程的系数进行了推断,通过求解多维AR(p)过程的Yule-walker方程,给出了模型系数的矩估计,并介绍了模型定阶过程中的AICC准则,最后,利用ITSM2000程序对实际问题做了相关分析.
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| 关 键 词： | 多维AR(p)过程 Durbin-levinson算法 AICC准则 ITSM2000 |
The application of multivariate AR(p) processes based on Durbin-levinson algorithm |
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| WANG Shang-jiu.The application of multivariate AR(p) processes based on Durbin-levinson algorithm[J].Journal of Shaoguan University(Social Science Edition),2011,32(4):5-8. |
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| Authors: | WANG Shang-jiu |
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| Institution: | WANG Shang-jiu(College of Mathematics and Information Sciences,Shaoguan University,Shaoguan 512005,Guangdong,China) |
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| Abstract: | Based on Drubin-levinson algorithm,we deduced the coefficient for multivariate AR(p) processes,and we got the estimator by soluting the equation of Yule-walker.Then,we introduced the AICC criterion for order of the model.Finally,we made correlation analysis for practical problems using ITSM program. |
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| Keywords: | ITSM2000 |
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