| 基于图方法的MA和ARMA模型系数检验 |
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| 引用本文： | 蔡风景,李元.基于图方法的MA和ARMA模型系数检验[J].统计与信息论坛,2010,25(7):3-6. |
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| 作者姓名： | 蔡风景 李元 |
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| 作者单位： | 1. 温州大学,数学与信息科学学院,浙江,温州,325035;河海大学,商学院,江苏,南京,210098
2. 广州大学,数学与信息科学学院,广东,广州,510006 |
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| 基金项目： | 国家自然科学基金项目，浙江省教育厅科研项目 |
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| 摘 要： | 应用图模型方法来讨论传统的MA和ARMA模型,证明了MA和ARMA模型的系数为去掉其他时间序列分量线性效应的条件下的偏相关系数,且利用图模型推断算法提出了一种新的参数估计和检验方法。
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| 关 键 词： | 图方法 MA模型 ARMA模型 |
Testing Coefficients of MA and ARMA Time Series Models by Graphical Approach |
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| CAI Feng-jing,LI Yuan.Testing Coefficients of MA and ARMA Time Series Models by Graphical Approach[J].Statistics & Information Tribune,2010,25(7):3-6. |
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| Authors: | CAI Feng-jing LI Yuan |
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| Institution: | CAI Feng-jing1,2,LI Yuan3(1.School of Mathematics & Information Science,Wenzhou University,Wenzhou 325035,China,2.Business School of Hehai University,Nanjing 210098,3.School of Mathematics & Information Science,Guangzhou University,Guangzhou 510006,China) |
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| Abstract: | Graphical model is applied to discuss the MA and ARMA models,which show the coeffcients of MA and ARMA models are the conditional correlation coeffcient conditioned on the other components of the time series,then a new procedure is proposed to test and estimate for parameters with the common graphical modeling methods. |
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| Keywords: | graphical model MA model ARMA model |
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