向量ARFIMA模型基于独立成分分析的协整研究(英文)  

Cointegration Research of a General Vector ARFIMA Model Based on Independent Components Analysis

作　　者：李松臣[1] 张世英[2] 

机构地区：[1]深圳大学数学与计算机科学学院 [2]天津大学系统工程研究所,天津300072

出　　处：《南开大学学报（自然科学版）》2007年第5期40-45,共6页Acta Scientiarum Naturalium Universitatis Nankaiensis

基　　金：Supported by NNSF of China(70471050)

摘　　要：定义了向量 ARFRIM(VARFIMA)模型的一般形式及这种定义上协整的概念并给出了 VARFIMA的线性组合具有 ARMA 表达式的一个充分必要条件.接着基于独立成分分析的方法讨论了协整的存在性,给出了 VARFIMA 模型存在协整的充分必要条件,并考虑了几种特殊情形.最后讨论了协整向量及协整向量空间的结构.A general form of vector ARFIMA model （VARFIMA model） is proposed in this paper, then the concept of cointegration and the condition for the linear combination of VARFIMA process having ARMA expression is given. Next the existence of cointegration is discussed by using independent components analysis method, a sufficient and necessary condition for VARFIMA process being cointegrated is given, and some special cases are considered. Finally the contegrating vector and the structure of cointegrating vector space are discussed.

关 键 词：向量ARFIMA模型 协整 独立成分分析 协整向量 

分 类 号：O212[理学—概率论与数理统计]