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Study on the parameter matrix of the random component of multivariate time‐series models

 

作者: Gwo‐Fong Lin,   Fong‐Chung Lee,  

 

期刊: Journal of the Chinese Institute of Engineers  (Taylor Available online 1990)
卷期: Volume 13, issue 1  

页码: 35-43

 

ISSN:0253-3839

 

年代: 1990

 

DOI:10.1080/02533839.1990.9677228

 

出版商: Taylor & Francis Group

 

关键词: multivariate time‐series;parameter estimation;random component;Gramian matrix

 

数据来源: Taylor

 

摘要:

Based on the concept of causality, a physically reasonable form of the parameter matrix of the random part of multivariate time‐series models is proposed. This general form can be simplified into the full‐matrix form used by Matalas and the lower triangular form assumed by Young. Application conditions for these two simplified forms are identified. Furthermore, a technique of decomposing the Gramian matrix to obtain the solution for the parameter matrix of the general form is presented. This technique is simple and permits a direct solution for the parameter matrix. This technique can also be used to obtain the direct solution for a parameter matrix of full‐matrix form.

 

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