According to the structure characteristics of a time varying time series model, a new recursive parameter estimation algorithm of the time varying ar model is proposed.
根据对一类时变时间序列模型结构特点的研究,提出了一种时变ar模型的递推参数估计算法。
The results showed that the change of time-varying parameters (coefficient) in dynamic AR model has a regularity. Its increments are piled up by some simple period functions.
结果表明,动态自回归模型时变参数(时变系数)的变化是有规律的,其增量大体上是一些简单周期函数的叠加。
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