线性随机微分方程与其ARMA采样模型参数变换的一般解法

A UNIVERSAL ALGORITHM OF PARAMETER CONVERSION FROM A SAMPLING ARMA MODEL TO THE CORRESPONDING LINEAR STOCHASTIC DIFFERENTIAL EQUATION AND VICE VERSA

摘要: 在[1]结果的基础上,本文给出了线性随机微分方程与其ARMA形式采样模型问题的一般解法。它可以在两者之间用其中一个的参数解出另一个的参数。这个解法是容易由计算机实现的。

Abstract: In [1], is developed a set of non-linear equations with respect to parameter conversion from a sampling ARMA model to the corresponding linear stochastic differential equation and vice versa. In this paper, the properties of the solutions of these equations are discussed and a general solutions, which is easily realized by computer, is developed.