ARMA模型用于多变量随机过程的数字仿真

本文研究采用ARMA模型对多变量随机过程进行数字仿真问题,导出了将模型的AR和MA参数分开计算的参数确定算法,从而减少了所需求解的联立方程的个数.算例表明,采用由所提出的算法导出的ARMA模型可很好地实现对多变量随机过程的仿真.

ARMA Model for Digital Simulation of Multivariate Random Processes

This paper deals with the digital simulation of multivariate random process with the aid of ARMA models. A procedure for the determination of model parameters is derived, in which the AR and MA parameters are separately determined. The number of the simultanious equations for the parametric determination is then reduced. Example shows,that a good simulation of multivariate random processes can be achieved with the aid of ARMA model derived with the new procedure.