| 应用MCEM算法估计一阶双重线性时间序列模型中的参数 |
| |
| 引用本文： | 施三支. 应用MCEM算法估计一阶双重线性时间序列模型中的参数[J]. 长春理工大学学报(自然科学版), 2005, 28(1): 47-49 |
| |
| 作者姓名： | 施三支 |
| |
| 作者单位： | 长春理工大学,长春,130022 |
| |
| 摘 要： | 本文利用Monte Carlo EM算法实现了对一阶双重线性时间序列模型的参数的估计.推出了估计模型中两个未知参数m与σ2的迭代步骤,并对模型进行了模拟计算,给出了模拟计算的结果.
|
| 关 键 词： | 一阶双重线性时间序列模型 MCEM算法 Bayes方法 先验分布 后验分布 |
| 文章编号： | 1672-9870(2005)01-0047-03 |
| 修稿时间： | 2004-05-10 |
Using MCEM Algorithm to Estimate the Parameters in the First Order Double Linear Time Series Model |
| |
| SHI Sanzhi. Using MCEM Algorithm to Estimate the Parameters in the First Order Double Linear Time Series Model[J]. Journal of Changchun University of Science and Technology, 2005, 28(1): 47-49 |
| |
| Authors: | SHI Sanzhi |
| |
| Abstract: | In this work,the estimation of the parameters in the first-order double linear time series model is solved. Monte Carlo EM algorithm is used, and the iterative steps of estimation of two unknown parameters are proposed. The performance of the method of MCEM algorithm is assessed by some simulation experiments. |
| |
| Keywords: | the first-order double linear time series model MCEM algorithm Bayes method prior distribution posterior distribution |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
