双重时序AR-MA模型的高价平稳性

On Higher-Order Stationarity of Doubly Stochastic Time Series AR-MA Models

  • 摘要: 本文讨论双重时序AR-MA模型的高价(4阶,8阶及一般2m阶)平稳解存在的充分条件,这些结论对建立模型参数的矩估计及讨论估计量的渐近性质都是必不可少的。

     

    Abstract: In the paper, we discuss the necessary and sufficient conditions for the existence of the higher-order (4th-order, 8th-order and general 2in-th order) stationary solutions to the doubly stochastic time series AR(1)-MA(q) models, which are essential for discussing the moment estimation of the model parameters and the asymptotic properties of the sample moment estimators.

     

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