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一类非平稳时间序列的周期性 被引量:1

PERIODICAL PROPERTY OF A CLASS NONSTATIONARY TIME SERIES
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摘要 本文研究了一类非平稳时间序列的稳定性及周期性,得到了它为周期相关序列的充分必要条件,推广了文献[3]的结论. in this paper,a Class nonstationary time sequences xt=xt-1+et are studied and a necessary andsufficient conditions with periodically correlated time sequences are developed. The result given by [3] is generalized.
作者 王国富
出处 《经济数学》 1997年第2期88-91,共4页 Journal of Quantitative Economics
关键词 时间序列 稳定解 周期相关序列 Time sequences,stationary solution,periodically correlated sequences
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同被引文献6

  • 1Peter J.Brockwell,Richard A.Davis.Time series:theory and methods(Second edition)[M].New York:Springer:1991.
  • 2Lund R B,Basawa I V.Modeling and inference for periodically correlated time series[A].Asymptotics,Nonparametrics,and Time Series[C].New York:Marcel Dekker,1999:37-62.
  • 3Vecchia A V,Ballerini R.Testing for periodic autocorrelations in seasonal time series data[J].Biometrika,1991,(78):53-63.
  • 4安鸿志 吴国富.周期自回归模型及其在经济预测中的应用.数理统计与应用概率,1993,8(4):1-13.
  • 5Lund R B,Basawa I V.Recursive prediction and likelihood evaluation for periodic ARMA models[J].J.Time Ser.Anal.2000,(20):75-93.
  • 6Basawa I V,Robert Lund,Oin Shao.First-order seasonal autoregressive processes with periodically varying parameters[J].Statistics Probability Letters 2004,(67):299-306.

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