ARMA模型识别及参数估计的新方法

A New Method on Discernment and Parameters Estimation of the ARMA Model

基于随机模拟的方法,利用可逆跳MCMC算法讨论了ARMA模型的识别和参数估计。

Based on the method of the stochastic simulation,with the use of the reversible jump MCMC algorithms, a new method was discussed on discernment parameters of the ARMA model.