随机AR(1)-MA(1)模型的参数矩估计及其相容性  

Moment-Estimator of Parameters on AR(1)-MA(1) Model and Their Properties of Consistency

作　　者：华玉弟 杜秀丽[2] 陈浩球[3] 

机构地区：[1]沙州职业工学院,张家港215600 [2]南京师范大学数学与计算机科学学院,南京210097 [3]东南大学应用数学系,南京210096

出　　处：《东南大学学报（自然科学版）》2000年第2期148-153,共6页Journal of Southeast University：Natural Science Edition

摘　　要：利用矩估计法 ,给出了双重时序模型AR( 1)MA( 1)的参数矩估计 .在第二重模型MA( 1)噪声方差已知的条件下 ,通过对协方差函数渐近性质的研究 ,证明了该矩估计的相容性 .讨论了第二重模型满足对数MA时的参数的矩估计及其相容性。About doubly time series model AR(1) MA(1), this paper presents moment estimator on the parameters by using the method of moments. And on the condition that we have known the variance of white noise about the second stochastic process model, we prove the properties of weak consistency by discussing the covariance function. In the end,we also present the correlation function and spectrum density when ln φ 2 t is of MA (q ) series.

关 键 词：双重时序模型 随机系数AR模型 AR(1)-MA(1)模型 

分 类 号：O211.61[理学—概率论与数理统计]