| 引用本文: | 朱维彰.线性随机微分方程与其ARMA形式的采样模型[J].控制理论与应用,1987,4(2):47~56.[点击复制] |
| Zhu Weizhang.STOCHASTIC DIFFERENTIAL EQUATION AND ITS SAMPLED MODEL IN THE FORM OF ARMA[J].Control Theory and Technology,1987,4(2):47~56.[点击复制] |
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| 线性随机微分方程与其ARMA形式的采样模型 |
| STOCHASTIC DIFFERENTIAL EQUATION AND ITS SAMPLED MODEL IN THE FORM OF ARMA |
| 摘要点击 1606 全文点击 487 投稿时间：1984-12-01 修订日期：1986-02-24 |
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| DOI编号 |
| 1987,4(2):47-56 |
| 中文关键词 |
| 英文关键词 |
| 基金项目 |
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| 中文摘要 |
| 本文基于自协方差函数讨论了ARMA(n, n-1)与线性随机微分方程（LSDE）的关系，证明了ARMA(n, n-1)是LSDE的采样模型的三种不同形式的充要条件（适用于不同情况）。这些充要条件是一组关于ARMA(n, n-1)与LSDE参数变换的方程。当n=1, 2, 3, 4, 5时，这组方程的实际解法及实例计算也被给出。 |
| 英文摘要 |
| It is investigated on the basis of the autocovariance function that ARMA(n, n-1) is a sampled model of a linear stochastic differential equation(LSDE). The sufficient and necessary conditions for that in three forms applying to different cases, which are the expressions of the parameter transform between ARMA(n, n-1) and LSDE, are proven. The practical solutions and some examples with n=1, 2, 3, 4, 5 are given. |
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