对角双线性时间序列的近似三阶矩结构和双谱密度  

The Approximate Third-Order Moments and Bispectral Density of Diagonal Bilinear Model

作　　者：王海斌[1] 韦博成[1] 陈浩球[1] 

机构地区：[1]东南大学应用数学系,南京210096

出　　处：《应用概率统计》2002年第3期300-308,共9页Chinese Journal of Applied Probability and Statistics

基　　金：国家自然科学基金(19631040);和江苏省自然科学基金(BK99002)资助项目

摘　　要：三阶矩结构和双谱是分析和研究非线性时间序列的重要方法.但对于双线性时间序列来说,计算两者的精确值是困难的.因此,寻找比较好的近似值就非常有必要.本文针对一般的对角双线性时间序列,给出了计算近似三阶矩和双谱密度的公式.仿真计算表明,这些公式是有效的.The third-order moments and bispectrum play important roles in analyzing nonlinear time series models. Unfortunately, the explicit expressions for the third-order moments and bispectrum can't be obtained for general bilinear time series models. Therefore, the approximate formulas of them have to be considered in practice. For the diagonal bilinear time series, a useful method is proposed to evalute the third-order moments and bispectral density. Simulation study verifies the validity of our method.

关 键 词：时间序列 双线性 自协方差 三阶矩 谱密度 双谱密度 

分 类 号：O211.61[理学—概率论与数理统计]