回归与时变自回归模型  

METHOD OF REGRESSION AND TIME-VARYING AUTOREGRESSION

作　　者：王治华[1] 傅惠民[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》2005年第5期612-615,共4页Journal of Mechanical Strength

基　　金：国防科技预研项目(413200204)资助。~~

摘　　要：提出回归—时变自回归(regressionandtime-varyingautoregression,RTVAR)模型和广义回归—时变自回归(gener-alizedregressionandtime-varyingautoregression,GRTVAR)模型,将误差项为平稳序列(均值和方差为常数)的回归—自回归模型推广到误差项为广义时变自回归序列(均值、方差及自回归系数都变化)的情况。文中给出RTVAR模型和GRTVAR模型参数的估计方法,并建立广义回归—时变自回归预测公式。该模型能充分发挥回归和时变自回归各自的特点,通过自回归对回归分析中的误差项进行补偿,同时采用回归分析解释变量的作用,大大提高时间序列的分析与预测精度,可广泛用于自动控制、故障诊断以及经济预测等领域。A regression and time-varying autoregression （RTVAR） model and a generalized regression and time-varying autoregression （GRTVAR） model are presented. They extend the regression and autoregression model with the covariance stationary error series to that with the generalized time-varying error series. The parameter estimation of RTVAR and GRTVAR models and the GRTVAR prediction formulas are also established. By combining regression and time-varying autoregression, the models can enhance the precision of analysis and forecast in automatic control, fault diagnosis, economic forecast and other fields.

关 键 词：回归分析 自回归 时间序列 时变序列 预测 

分 类 号：O241.7[理学—计算数学] TB115[理学—数学]