关于AR-MA双重时序模型平稳解的存在性

ON THE EXISTENCE OF THE STATIONARY SOLUTION TO THE AR-MA DOUBLY STOCHASTIC TIME SERIES MODEL

本文在参考文献[1]、[2]的基础上讨论了AR-MA双重时序模型存在平稳解的条件,获得了AR(1)-MA(1)和AR(1)-MA(2)存在平稳解的充要条件(不必假定白噪声序列为正态)。本文的方法完全适用于讨论一般的AR(1)-MA(q)模型的平稳解的存在性,而且对讨论AR-AR模型也有所启发。

On the basis of [1]、[2], wc discuss the condition for the existence of stationary solution to the AR-MA doubly stochastic time scries model in this paper. Wc obtain necessary and sufficient condition on the AR (1)-MA(1) and AR (1)-MA(2) models, and don't need to suppose that the white noise process is Gaussian as in [1]、[2], Our method has been completely suitable for discussing this problem even to the general AR(1)-MA(q) model, and has been helpful to discuss the same problem of the AR-AR models.