乘积型季节性模型自相关函数的结构

AUTOCORRELATION STRUCTURE OF PRODUCT SEASONAL MODELS

本文以自协方差发生函数为工具,讨论了乘积型季节性模型。Φ(B)Φ(B^8)x_t=θ(B)■(B^8)a_t自相关函数的结构,证明了当p=0时,模型是参数可分离的。本文的结果为乘积型季节性模型的识别和参数估计提供了一定的理论依据。

This paper deals with the autocorrrelation structure of product seasonal modelsΦ(B)Φ(B^8)x_t=θ(B)■(B^8)a_t by use of autocovariance generating functions,and finds out that for p=o,the model is parametersepar able.The results in this paper are useful to model identification and model estimation for productseasonal models.