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沃尔德与离散平稳时间序列 被引量：2

Wold and Discrete Stationary Time Series
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摘要 细致分析了沃尔德对于离散平稳时间序列的综合研究,指出沃尔德对以辛钦为首的概率理论研究和以尤尔为首的线性回归模式实证研究进行了有机结合,阐述了沃尔德分解定理和ARMA模型的创建思路与重大意义。 The paper analyses in detail Wold’s comprehensive study about discrete stationary time series.It points Wold’s combining the probability theory represented by Khinchin with the empirical investigation represented by Yule’s linear regression model.It also analyses the thinking and meaning of Wold decomposition and auto regressive moving average model.
作者 聂淑媛
机构地区 西北大学数学与科学史研究中心
出处 《咸阳师范学院学报》 2012年第2期72-75,共4页 Journal of Xianyang Normal University
基金 国家自然科学基金资助项目(11001217)
关键词 离散平稳时间序列 分解 ARMA模型 沃尔德 discrete stationary time series decomposition Wold H.auto regressive moving average model
分类号 N09 [自然科学总论—科学技术哲学]
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参考文献10

  • 1Wold H. A study in the analysis of stationary time series[M].Stockholm:Almqvist and Wiksell,1938.
  • 2Schuster A. On the periodicities of sunspots[J].Philosophical Transactions of the Royal Society of London Series A Mathematical and Physical Sciences,1906.69-100.
  • 3Yule G U. On the time-correlation problem with especial reference to the variate- difference correlation method[J].Journal of the Royal Statistical,1921,(04):497-537.
  • 4Yule G U. Why do we sometimes get nonsense-correlations between time-series-a study in sampling and the nature of time-series[J].Journal of the Royal Statistical,1926,(01):1-63.
  • 5Slutzky E E. The summation of random causes as the source of cyclic processes[J].Econometrica,1937,(02):105-146.
  • 6Yule G U. On a method of investigating periodicities in disturbed series with special reference to wolfer's sunspot numbers[J].Philosophical Transactions of the Royal Society of London Series A Mathematical and Physical Sciences,1927.267-298.
  • 7Klein J L. Statistical visions in time:a history of time series analysis,1662-1938[M].Cambridge:Cambridge University Press,1997.
  • 8Persons W M. Correlati0n of time series in handbook of mathematical statisticas[M].Boston:houghton Mifflin Company,1924.
  • 9Anderson O. On the logic of the decomposition of statistical series into separate components[J].Journal of the Royal Statistical Society,1927,(03):548-569.
  • 10王燕.应用时间序列分析[M]北京:中国人民大学出版社,2008.

同被引文献31

引证文献2

二级引证文献9

咸阳师范学院学报
2012年 第2期

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