摘要
本文导出了系数为MA(q)的双重随机序列模型解的平稳性条件.该条件比较简单.容易验证.同时还讨论了双重随机序列模型的一阶矩存在条件及模型存在条件,给出了系数为AR(P)时双重随机序列模型的参数估计.
Doubly stochastic time series models are the special case of nonlinear time series models. The general stationarity condition of the models were given by someone but it is difficult to be verified. This paper gives a simple stationarity condition of the models with MA(q) coefficients which can be verified easily. The existence condition of the model with MA(q) coefficients is also given. The parameter estimation of double stochastic time series models with AR(P) coefficients is proposed by means of state-space representation and kalman filteration.
出处
《石油大学学报（自然科学版）》
CSCD
1993年第4期120-127,共8页
Journal of the University of Petroleum,China(Edition of Natural Science)
关键词
数学模型
白噪声
双重随机序列
Mathematical models: White noise: Doubly stochastic time series: Stationary solution
