隅角法定阶的递推算法(英文)

A Recursive Algorithm of the Corner Method for Order Determination

给出了ARMA(自回归滑动平均)模型定阶的递推算法,该算法极大地减少了在隅角法定阶中所必须求取的阵列的计算量。递推方程是由基於矩阵分解公式的交叉等式导出的。利用这种算法使得隅角法定阶在实际应用中更加可行。

A recursive algorithm for order determination of ARMA models are presented . The algorithm drastically reduces the computational costs in calculating the array which is necessary in utilizing the corner method . The recursive equation is derived from a cross - identity basal on a formula of matrix analysis . The algorithm makes the corner method much more feasible in practical use .