Recursive identification for multidimensional ARMA processes with increasing variances
文献类型：期刊论文
| 作者 | Chen, HF
|
| 刊名 | SCIENCE IN CHINA SERIES F-INFORMATION SCIENCES
 |
| 出版日期 | 2005-10-01 |
| 卷号 | 48期号:5页码:596-614 |
| 关键词 | multidimensional ARMA increasing variance recursive estimation martingale difference sequence |
| ISSN号 | 1009-2757 |
| DOI | 10.1360/04yf0324 |
| 英文摘要 | In time series analysis, almost all existing results are derived for the case where the driven noise {omega(n)} in the MA part is with bounded variance (or conditional variance). In contrast to this, the paper discusses how to identify coefficients in a multidimensional ARMA process with fixed orders, but in its MA part the conditional moment E(parallel to omega(n)parallel to(beta) vertical bar Fn-1), beta > 2 is possible to grow up at a rate of a power of log n. The well-known stochastic gradient (SG) algorithm is applied to estimating the matrix coefficients of the ARMA process, and the reasonable conditions are given to guarantee the estimate to be strongly consistent. |
| 语种 | 英语 |
| WOS记录号 | WOS:000233343800004 |
| 出版者 | SCIENCE PRESS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/1823]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Chen, HF |
| 作者单位 | Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Chen, HF. Recursive identification for multidimensional ARMA processes with increasing variances[J]. SCIENCE IN CHINA SERIES F-INFORMATION SCIENCES,2005,48(5):596-614. |
| APA | Chen, HF.(2005).Recursive identification for multidimensional ARMA processes with increasing variances.SCIENCE IN CHINA SERIES F-INFORMATION SCIENCES,48(5),596-614. |
| MLA | Chen, HF."Recursive identification for multidimensional ARMA processes with increasing variances".SCIENCE IN CHINA SERIES F-INFORMATION SCIENCES 48.5(2005):596-614. |
入库方式： OAI收割
来源：数学与系统科学研究院
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