广义时变ARMA序列预测方法  

Prediction Method for Generalized Time-Varying ARMA Series

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：《航空动力学报》2005年第5期713-717,共5页Journal of Aerospace Power

基　　金：北京市重点学科工程力学项目(XK100060418)

摘　　要：提出一种广义时变ARMA序列预测方法,给出时变序列和广义时变序列的预测公式及其均方误差。该方法能够对均值、方差、自回归系数和滑动平均系数都随时间变化的广义时变序列(或信号)进行分析和预测,可广泛应用于气象、通信、自动控制、结构响应分析和故障诊断等领域。大量计算表明,本文方法与传统方法相比,具有更高的预测精度。A method for predicting generalized time-varying ARMA series is proposed. The prediction formulas of time-varying and generalized time-varying series and their mean squared errors are presented. The method can analyze the generalized time-varying series （or signal） whose mean, variance,autoregressive and moving average coefficients vary with time. It can be used in meteorology, communication, automatic control, structure response analysis, fault diagnosis and other fields. The precision of the presented method is higher than the traditional method in predicting generalized time-varying ARMA series.

关 键 词：序列 时变序列 时变参数 非平稳序列 预测 

分 类 号：TB301[一般工业技术—材料科学与工程] O211[理学—概率论与数理统计]