| 混合自回归条件异方差模型的谱分析 |
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| 引用本文： | 朱文刚,茹正亮. 混合自回归条件异方差模型的谱分析[J]. 南京工程学院学报(自然科学版), 2011, 9(1): 1-4 |
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| 作者姓名： | 朱文刚 茹正亮 |
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| 作者单位： | 南京工程学院基础部,江苏南京,211167 |
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| 基金项目： | 南京工程学院科研基金资助项目(KXJ08092) |
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| 摘 要： | 线性时间序列模型谱密度的计算可以直接由定义获得,而非线性时间序列模型谱密度的计算目前还没有一般的理论.2001年Wong Chun-shan等将混合自回归(MAR)模型推广到混合自回归条件异方差(MAR-ARCH)模型,并且讨论了该模型的参数估计及模型选择问题,本文导出了MAR-ARCH模型自协方差函数的递推关系式及计...
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| 关 键 词： | 混合自回归条件异方差模型 自协方差函数 谱分析 谱密度 |
Spectral Analysis of a Mixture Autoregressive Conditional Heteroscedastic Model |
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| ZHU Wen-gang,RU Zheng-liang. Spectral Analysis of a Mixture Autoregressive Conditional Heteroscedastic Model[J]. Journal of Nanjing Institute of Technology :Natural Science Edition, 2011, 9(1): 1-4 |
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| Authors: | ZHU Wen-gang RU Zheng-liang |
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| Affiliation: | ZHU Wen-gang,RU Zheng-liang (Dept.of Basic Courses,Nanjing Institute of Technology,Nanjing 211167,China) |
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| Abstract: | Spectual density computation of linear time series models can be directly achieved by definition,whereas no general theory about computing of the spectual density of non-linear time series models has been formulated.In 2001, Chun Shan et al,generalized the mixture autoregressive(MAR)model to a mixture autoregressive conditional heteroscedastic(MAR-ARCH)model and discussed parameter estimation and problems of selecting a model.In this paper,the recursive formula of auto-covariance function and thealgorithmof... |
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| Keywords: | mixture autoregressive conditional heteroscedastic model auto-covariance function spectral analysis spectral density |
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