| 引用本文: | 邓自立.估计MA参数的多维强Gevers-Wouters算法及其在构造ARMA新息模型中的应用[J].控制理论与应用,2001,18(5):737~740.[点击复制] |
| DENG Zi-li.Multidimensional and Strong Gevers-Wouters Algorithm of Estimating Moving Average Parameters and Its Application to the Construction of ARMA Innovation Model[J].Control Theory and Technology,2001,18(5):737~740.[点击复制] |
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| 估计MA参数的多维强Gevers-Wouters算法及其在构造ARMA新息模型中的应用 |
| Multidimensional and Strong Gevers-Wouters Algorithm of Estimating Moving Average Parameters and Its Application to the Construction of ARMA Innovation Model |
| 摘要点击 1580 全文点击 1679 投稿时间：1999-10-14 修订日期：2000-07-18 |
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| DOI编号 10.7641/j.issn.1000-8152.2001.5.020 |
| 2001,18(5):737-740 |
| 中文关键词 多维滑动平均过程 滑动平均参数估计 谱分解 稳定性 ARMA新息模型 |
| 英文关键词 multidimensional moving average process MA parameter estimation spectral factorization stability ARMA innovation model |
| 基金项目 国家自然科学基金(69774019)资助项目. |
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| 中文摘要 |
| 提出了用多维Gevers Wouters(G W)算法得到稳定的滑动平均(MA)过程的一个频域充分条件, 并给出了在构造ARMA新息模型中的应用, 给出了保证ARMA新息模型的MA多项式矩阵稳定的一个时域充分条件. 仿真结果表明, 多维G W算法具有快速收敛的性质. |
| 英文摘要 |
| This paper presents a frequency domain sufficient condition of obtaining the stable moving average(MA)process by using the multidimensional Gevers Wouters algorithm, and gives an application to the construction of the autoregressive moving average(ARMA)innovation model, where a time domain sufficient condition to guarantee its moving average polynomial matrix to be stable is given. The simulation results show that the multidimensional Gevers Wouters algorithm has the fast convergence property. |