关于双重时序AR－MA模型存在平稳解的充要条件  

ON THE NECESSARY AND SUFFICIENT CONDITIONS FOR THE EXISTENCE OF STATIONARY SOLUTIONS TO THE DOUBLY STOCHASTIC TIME SERIES AR-MA MODELS

作　　者：卢祖帝[1] 

机构地区：[1]中国科学院系统科学研究所

出　　处：《应用数学学报》1994年第3期374-387,共14页Acta Mathematicae Applicatae Sinica

摘　　要：关于双重时序ＡＲ－ＭＡ模型存在平稳解的充要条件卢祖帝（中国科学院系统科学研究所，北京１０００８０）ＯＮＴＨＥＮＥＣＥＳＳＡＲＹＡＮＤＳＵＦＦＩＣＩＥＮＴＣＯＮＤＩＴＩＯＮＳＦＯＲＴＨＥＥＸＩＳＴＥＮＣＥＯＦＳＴＡＴＩＯＮＡＲＹＳＯＬＵＴＩＯＮＳＴＯＴ...By modifying the method in [3], we remove the limitation in Theorem 3.1 (in [3]) and obtain the necessary and sufficient conditions for the existence of stationary solutions to the doubly stochastic time series AR(1)-MA(3) and general AR(1)-MA(q) modles. We completely overcome the difficulties pointed out by DjΦstheim in [2] that the case of MA coefficient processes seems to be difficult to deal with, and our method is helpful in discussing the same problem of AR-AR and multivariate AR-MA models.

关 键 词：双重时序模型 AR-MA模型 平稳解 

分 类 号：O211.61[理学—概率论与数理统计]