| 卡尔曼滤波及其在时间序列预测中的应用 |
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| 引用本文： | 张志鹏,王伟平,郑海超. 卡尔曼滤波及其在时间序列预测中的应用[J]. 仪表技术, 2010, 0(7): 37-39 |
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| 作者姓名： | 张志鹏 王伟平 郑海超 |
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| 作者单位： | 1. 空军工程大学工程学院,陕西西安,710038
2. 空军第一飞行学院,黑龙江哈尔滨,150000 |
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| 摘 要： | 根据时间序列预测的特点和要求,分析了传统时间序列预测方法的不足,提出了将卡尔曼滤波应用于时间序列预测。推导了基于卡尔曼滤波的ARMA模型参数实时更新算法,并采用功率谱密度分析方法确定预测模型的形式与阶数。最后,通过对光纤陀螺随机漂移建模进行了实证研究。
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| 关 键 词： | 时间序列 卡尔曼滤波 预测 |
Kalman Filter and Its Application in Time Series Forecasting |
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| ZHANG Zhi-peng,WANG Wei-ping,ZHENG Hai-chao. Kalman Filter and Its Application in Time Series Forecasting[J]. Instrumentation Technology, 2010, 0(7): 37-39 |
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| Authors: | ZHANG Zhi-peng WANG Wei-ping ZHENG Hai-chao |
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| Affiliation: | 1.College of Engineering,Air Force Engineering University,Xi＇an 710038,China;2.No.1 Flight College of Air Force,Harbin 150000,China) |
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| Abstract: | Considering the characteristics and requirements of fault forecasting,the deficiencies of traditional forecast methods were pointed out.The method that applies Kalman Filter in time series forecasting was put forward.The method for estimating parameters of ARMA（autoregressive moving average） based on Kalman Filter was introduced.Components of the model were analyzed with PSD（power spectrum density）.The theory above was demonstrated through the modeling of random drift for FOG（fiber optic gyro）. |
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| Keywords: | time series Kalman filtering forecast |
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