Recursive identification for multidimensional ARMA processes with increasing variances

doi:10.1360/04yf0324

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	Recursive identification for multidimensional ARMA processes with increasing variances
	Chen, HF
	2005-10-01
发表期刊	SCIENCE IN CHINA SERIES F-INFORMATION SCIENCES
ISSN	1009-2757
卷号	48 期号:5 页码:596-614
摘要	In time series analysis, almost all existing results are derived for the case where the driven noise {omega(n)} in the MA part is with bounded variance (or conditional variance). In contrast to this, the paper discusses how to identify coefficients in a multidimensional ARMA process with fixed orders, but in its MA part the conditional moment E(parallel to omega(n)parallel to(beta) vertical bar Fn-1), beta > 2 is possible to grow up at a rate of a power of log n. The well-known stochastic gradient (SG) algorithm is applied to estimating the matrix coefficients of the ARMA process, and the reasonable conditions are given to guarantee the estimate to be strongly consistent.
关键词	multidimensional ARMA increasing variance recursive estimation martingale difference sequence
DOI	10.1360/04yf0324
语种	英语
WOS研究方向	Computer Science
WOS类目	Computer Science, Information Systems
WOS记录号	WOS:000233343800004
出版者	SCIENCE PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/1824
专题	系统科学研究所
通讯作者	Chen, HF
作者单位	Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Chen, HF. Recursive identification for multidimensional ARMA processes with increasing variances[J]. SCIENCE IN CHINA SERIES F-INFORMATION SCIENCES,2005,48(5):596-614.
APA	Chen, HF.(2005).Recursive identification for multidimensional ARMA processes with increasing variances.SCIENCE IN CHINA SERIES F-INFORMATION SCIENCES,48(5),596-614.
MLA	Chen, HF."Recursive identification for multidimensional ARMA processes with increasing variances".SCIENCE IN CHINA SERIES F-INFORMATION SCIENCES 48.5(2005):596-614.