Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
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DOI：
10.1007/978-1-4612-1694-0_17
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发表时间：
1974-12
影响因子：
1
通讯作者：
H. Akaike
中科院分区：
文献类型：
--
作者：
H. Akaike
研究了多元自回归滑动平均过程的可辨识性问题，并利用该过程的马尔可夫表示得到了完全解。最大似然法的马尔可夫表示的拟合进行了讨论。一个实用的程序，找到一个初始的猜测的表示，并证明了其可行性与数值例子。
The problem of identifiability of a multivariate autoregressive moving average process is considered and a complete solution is obtained by using the Markovian representation of the process. The maximum likelihood procedure for the fitting of the Markovian representation is discussed. A practical procedure for finding an initial guess of the representation is introduced and its feasibility is demonstrated with numerical examples.