广义时变ARMA模型参数函数的确定方法  

METHOD FOR DETERMINING PARAMETRIC FUNCTIONS OF GENERALIZED TIME-VARYING ARMA MODEL

作　　者：傅惠民[1] 王治华[1] 

机构地区：[1]北京航空航天大学固体力学研究所,北京100083

出　　处：《机械强度》2004年第6期636-641,共6页Journal of Mechanical Strength

基　　金：国防科技预研项目 (41 32 0 0 2 0 4 )资助。

摘　　要：提出一种确定广义时变ARMA模型参数函数的方法。该方法首先求得时间序列的均值函数和方差函数 ,并将广义时变ARMA模型转化为时变ARMA模型 ,然后通过样本周期图和多点平均方法得到时变参数的函数形式 ,再分别采用最小二乘法和极大似然法确定其中的待定参数。从而将一个复杂的时变问题转变为相对简单的时不变问题进行处理。A method for determining parametric functions of generalized time-varying ARMA model is presented. It firstly determines the mean and variance functions of the time series, and then changes the generalized time-varying ARMA model into time-varying ARMA model. The function forms of time-varying parameters are determined by the sample periodogram and multiple-point average. The parametric functions of time-varying ARMA model are obtained by least squares algorithm and maximum likelihood method respectively. Thus a complicated time-varying problem is changed into a simple time-invariant problem for further processing.

关 键 词：时间序列 非平稳序列 均值函数 方差函数 时变参数 时变ARMA模型 广义时变ARMA模型 

分 类 号：O211.61[理学—概率论与数理统计] TN911.71[理学—数学]