自回归模型AR(p)的整体估计.docVIP

自回归模型AR(p)的整体估计 【摘要】：主要讨论时间序列的自回归模型AR(p)的参数估计问题，列出常用的普通最小二乘估计。但实际的观测值是含有随机误差的，且与自身前一个或前几个时刻的观测值有关或有依赖性，都要考虑其所含的随机误差，所以引入整体最小二乘法的思想进行参数估计，得出相应的公式，最后并以算例加以验证与分析讨论。 关键词：自回归模型；参数估计；整体最小二乘估计； A Total Least Square Estimation of Autoregressive Processes Abstract:It discusses mainly the time series autoregressive model AR (p) of the parameter estimation problem, listing commonly used ordinary least squares estimation. But the actual observation contains random error, and with their own previous or the first few moments of the observations relating to, or dependent,so we must take into account the rand