时间序列模型的遍历性分析  

The Ergodicity of a Time Series

作　　者：唐明田[1] 王允艳[1] 吴玉森[2] 

机构地区：[1]江西理工大学理学院,江西赣州341000 [2]中南大学数学科学与计算技术学院,长沙410075

出　　处：《江西理工大学学报》2008年第2期36-38,共3页Journal of Jiangxi University of Science and Technology

摘　　要：提出了一个带随机延滞的非线性时间序列模型,应用马氏链的随机稳定性理论,研究了由其决定的迭代序列的几何遍历性,给出了其以几何速率收敛的充分条件.In this paper a non-linear time series model with time delay is proposed.The geometric ergodicity of the iterative sequence defined by this model is discussed with the theory of stochastic stability on Markov chains.A sufficient condition for convergence with geometric rate of the model is given.

关 键 词：马氏链 随机延滞 极限行为 几何遍历 

分 类 号：O211.61[理学—概率论与数理统计]