状态空间模型在双变量时间序列分析中的推广

State space model to promote in the double variable time series analysis

状态空间模型不仅能反映系统内部状态,可以将几个变量时间序列处理为向量时间序列,还能够较好地解决多输入多输出变量少情况下,应用于双变量时间序列建模具有良好的统计性质;将状态空间模型在双变量时间序列模型中进行推广,研究其统计性质及检验方法,通过实证分析验证该方法的优越性。

State space model can not only reflect the system’s internal state, can be several variables time series processing for vector time series, can well solve the multiple input multiple output variable less cases, applied to the double variable time series model has good statistical properties. This paper will state space model in the double variable time series model, studies its statistical properties and test methods.Through the empirical analysis to verify the superiority of the method.