A NOTE ON REPARAMETERIZING A VECTOR AUTOREGRESSIVE MOVING AVERAGE MODEL TO ENFORCE STATIONARITY

被引：17

作者：

ANSLEY, CF ^{[1
]}

KOHN, R ^{[1
]}

机构：

[1] UNIV NEW S WALES,AUSTRALIAN GRAD SCH MANAGEMENT,KENSINGTON,NSW 2033,AUSTRALIA

来源：

关键词：

D O I：

10.1080/00949658608810893

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

引用

页码：99 / 106

页数：8

共 12 条

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ANSLEY, C
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[8] SOME NEW ALGORITHMS FOR RECURSIVE ESTIMATION IN CONSTANT, LINEAR, DISCRETE-TIME SYSTEMS
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[J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1974, AC19 (04) : 315 - 323
[9] COVARIANCE CHARACTERIZATION BY PARTIAL AUTOCORRELATION MATRICES
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[J]. ANNALS OF STATISTICS, 1978, 6 (03) : 643 - 648
[10] PEARLMAN JG, 1980, BIOMETRIKA, V67, P232