MARKOVIAN REPRESENTATION OF STOCHASTIC-PROCESSES AND ITS APPLICATION TO ANALYSIS OF AUTOREGRESSIVE MOVING AVERAGE PROCESSES

被引：299

作者：

AKAIKE, H ^{[1
]}

机构：

[1] INST STATISTICAL MATH,TOKYO,JAPAN

来源：

关键词：

D O I：

10.1007/BF02479833

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

引用

页码：363 / 387

页数：25

共 18 条

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[2] BLOCK TOEPLITZ MATRIX INVERSION
AKAIKE, H
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[3] MAXIMUM LIKELIHOOD IDENTIFICATION OF GAUSSIAN AUTOREGRESSIVE MOVING AVERAGE MODELS
AKAIKE, H
[J]. BIOMETRIKA, 1973, 60 (02) : 255 - 265
[4] AUTOREGRESSIVE MODEL FITTING FOR CONTROL
AKAIKE, H
[J]. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 1971, 23 (02) : 163 - &
[5] AKAIKE H, TO BE PUBLISHED
[6] AKAIKE H, 1972, 5TH P HAW INT C SYST, P249
[7] Anderson TW., 1958, INTRO MULTIVARIATE S
[8] IDENTIFICATION OF VECTOR MIXED AUTOREGRESSIVE-MOVING AVERAGE SYSTEMS
HANNAN, EJ
[J]. BIOMETRIKA, 1969, 56 (01) : 223 - &
[9] KALMAN RE, 1969, TOPICS MATHEMATICAL
[10] ON INFORMATION AND SUFFICIENCY
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LEIBLER, RA
[J]. ANNALS OF MATHEMATICAL STATISTICS, 1951, 22 (01): : 79 - 86