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A Study of Wind Statistics Through Auto-Regressive and Moving-Average (ARMA) Modeling 被引量:1
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作者 John Z.YIM(尹彰) +1 位作者 ChunRen CHOU(周宗仁) 《China Ocean Engineering》 SCIE EI 2001年第1期61-72,共12页
Statistical properties of winds near the Taichung Harbour are investigated. The 26 years'incomplete data of wind speeds, measured on an hourly basis, are used as reference. The possibility of imputation using simu... Statistical properties of winds near the Taichung Harbour are investigated. The 26 years'incomplete data of wind speeds, measured on an hourly basis, are used as reference. The possibility of imputation using simulated results of the Auto-Regressive (AR), Moving-Average (MA), and/ or Auto-Regressive and Moving-Average (ARMA) models is studied. Predictions of the 25-year extreme wind speeds based upon the augmented data are compared with the original series. Based upon the results, predictions of the 50- and 100-year extreme wind speeds are then made. 展开更多
关键词 Auto-Regressive and moving-average (ARMA) modeling probability distributions extreme wind speeds
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RATE OF CONVERGENCE FOR MULTIPLE CHANGEPOINTS ESTIMATION OF MOVING-AVERAGE PROCESSES
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作者 Li Yunxia Zhang Lixin 《Applied Mathematics(A Journal of Chinese Universities)》 SCIE CSCD 2005年第4期416-422,共7页
In this paper, the least square estimator in the problem of multiple change points estimation is studied. Here, the moving-average processes of ALNQD sequence in the mean shifts are discussed. When the number of chang... In this paper, the least square estimator in the problem of multiple change points estimation is studied. Here, the moving-average processes of ALNQD sequence in the mean shifts are discussed. When the number of change points is known, the rate of convergence of change-points estimation is derived. The result is also true for p-mixing, φ-mixing, a-mixing, associated and negatively associated sequences under suitable conditions. 展开更多
关键词 mean shift multiple change points moving-average process ALNQD least square.
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Precise Asymptotics in the Law of Large Numbers and the Law of Iterated Logarithm of Moving-Average Process Generated by ALNQD Sequences
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作者 张勇 赵世舜 董志山 《Northeastern Mathematical Journal》 CSCD 2007年第6期549-562,共14页
In this paper, we discuss the precise asymptotics of moving-average process Xt =∞∑j=0 ajEt-j under some suitable conditions, where {εt, t∈ Z} is a sequence j=0 of stationary ALNQD random variables with mean zeros... In this paper, we discuss the precise asymptotics of moving-average process Xt =∞∑j=0 ajEt-j under some suitable conditions, where {εt, t∈ Z} is a sequence j=0 of stationary ALNQD random variables with mean zeros and finite variances. 展开更多
关键词 ALNQD random variable moving-average process precise asymptotic2000 MR subject classification: 60F15
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Precise Asymptotics in the Law of the Iterated Logarithm of Moving-Average Processes 被引量:15
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作者 Yun Xia LI Li Xin ZHANG 《Acta Mathematica Sinica,English Series》 SCIE CSCD 2006年第1期143-156,共14页
In this paper, we discuss the moving-average process Xk = ∑i=-∞ ^∞ ai+kεi, where {εi;-∞ 〈 i 〈 ∞} is a doubly infinite sequence of identically distributed ψ-mixing or negatively associated random variables w... In this paper, we discuss the moving-average process Xk = ∑i=-∞ ^∞ ai+kεi, where {εi;-∞ 〈 i 〈 ∞} is a doubly infinite sequence of identically distributed ψ-mixing or negatively associated random variables with mean zeros and finite variances, {ai;-∞ 〈 i 〈 -∞) is an absolutely solutely summable sequence of real numbers. 展开更多
关键词 moving-average process Ψ-MIXING Negative association The law of the iterated logarithm
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Change-point Estimation of a Mean Shift in Moving-average Processes Under Dependence Assumptions 被引量:4
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作者 Yun-xia Li 《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2006年第4期615-626,共12页
In this paper we discuss the least-square estimator of the unknown change point in a mean shift for moving-average processes of ALNQD sequence. The consistency and the rate of convergence for the estimated change poin... In this paper we discuss the least-square estimator of the unknown change point in a mean shift for moving-average processes of ALNQD sequence. The consistency and the rate of convergence for the estimated change point are established. The asymptotic distribution for the change point estimator is obtained. The results are also true for ρ-mixing, φ-mixing, α-mixing sequences under suitable conditions. These results extend those of Bai, who studied the mean shift point of a linear process of i.i.d, variables, and the condition ∑j=0^∞j|aj| 〈 ∞ in Bai is weakened to ∑j=0^∞|aj|〈∞. 展开更多
关键词 Mean shift moving-average process change point ALNQD rate of convergence
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Parameter Estimation of Time-Varying ARMA Model 被引量:3
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作者 王文华 韩力 王文星 《Journal of Beijing Institute of Technology》 EI CAS 2004年第2期131-134,共4页
The auto-regressive moving-average (ARMA) model with time-varying parameters is analyzed. The time-varying parameters are assumed to be a linear combination of a set of basis time-varying functions, and the feedbac... The auto-regressive moving-average (ARMA) model with time-varying parameters is analyzed. The time-varying parameters are assumed to be a linear combination of a set of basis time-varying functions, and the feedback linear estimation algorithm is used to estimate the time-varying parameters of the ARMA model. This algorithm includes 2 linear least squares estimations and a linear filter. The influence of the order of basis time-(varying) functions on parameters estimation is analyzed. The method has the advantage of simple, saving computation time and storage space. Theoretical analysis and experimental results show the validity of this method. 展开更多
关键词 auto-regressive moving-average (ARMA) model feedback linear estimation basis time-varying function spectral estimation
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Testing for Changes in the Mean or Variance of Long Memory Processes 被引量:3
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作者 Yun Xia LI Jian Jun XU Li Xin ZHANG 《Acta Mathematica Sinica,English Series》 SCIE CSCD 2010年第12期2443-2460,共18页
In this paper, we study the asymptotic CUSUM tests for detecting changes in the mean or variance of a moving-average process with long memory. When there is no change over [O,T], the asymptotic distribution of the tes... In this paper, we study the asymptotic CUSUM tests for detecting changes in the mean or variance of a moving-average process with long memory. When there is no change over [O,T], the asymptotic distribution of the test statistic is derived, which allows us to find asymptotic critical values. When there is a change, the behavior of the test statistic is discussed. Conditions for the consistency of these tests are also discussed. Based on the asymptotic results, simulation studies of testing for changes in the mean show that the CUSUM test proposed performs well. 展开更多
关键词 CHANGE-POINT moving-average process long memory invariance principle fractionalBrownian motion
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Calibration of the solar radio spectrometer 被引量:2
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作者 TAN ChengMing YAN YiHua +1 位作者 TAN BaoLin XU GuiRong 《Science China(Physics,Mechanics & Astronomy)》 SCIE EI CAS 2009年第11期1760-1764,共5页
This paper shows some improvements and new results of calibration of Chinese solar radio spectrometer by analyzing the daily calibration data recorded in the period of 1997-2007. First, the calibration coefficient is ... This paper shows some improvements and new results of calibration of Chinese solar radio spectrometer by analyzing the daily calibration data recorded in the period of 1997-2007. First, the calibration coefficient is fitted for three bands (1.0-2.0 GHz, 2.6-3.8 GHz, 5.2-7.6 GHz) of the spectrometer by using the moving-average method confined by the property of the daily calibration data. By this calibration coefficient, the standard deviation of the calibration result was less than 10 sfu for 95% frequencies of 2.6-3.8 GHz band in 2003. This result is better than that calibrated with the constant coefficient. Second, the calibration coefficient is found in good correlation with local air temperature for most frequencies of 2.6-3.8 GHz band. Moreover, these results are helpful in the research of the quiet solar radio emission. 展开更多
关键词 SOLAR RADIO SPECTROMETER CALIBRATION COEFFICIENT moving-average air temperature CORRELATION
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Precise Asymptotics of Complete Moment Convergence on Moving Average 被引量:2
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作者 Zheng Yan LIN Hui ZHOU 《Acta Mathematica Sinica,English Series》 SCIE CSCD 2012年第12期2507-2526,共20页
Let {ζ,-co 〈 i 〈 ∞} be a doubly infinite sequence of identically distributed φ-mixing random variables with zero means and finite variances, {ai, -∞〈 i 〈 ∞} be an absolutely summable sequence of real numbers ... Let {ζ,-co 〈 i 〈 ∞} be a doubly infinite sequence of identically distributed φ-mixing random variables with zero means and finite variances, {ai, -∞〈 i 〈 ∞} be an absolutely summable sequence of real numbers and Xk = ∑+∞ i=-∞ ai{ζi+k be a moving average process. Under some proper moment conditions, the precise asymptotics are established for 展开更多
关键词 moving-average process φ-mixing sequence complete convergence precise asymptotics
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