系数为MA(q)的双重随机序列解的存在条件

EXISTENCE CONDITION OF THE SOLUTION FOR DOUBLY STOCHASTIC PROCESSES WITH MA (q) COEFFICIENTS

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.