矩阵时间序列的自回归移动平均模型

IF 0.7 Q3 STATISTICS & PROBABILITY Statistical Theory and Related Fields Pub Date : 2023-10-04 DOI:10.1080/24754269.2023.2262360

Shujin Wu, Ping Bi

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摘要

研究了矩阵时间序列的自回归移动平均模型(MARMA)。利用条件最小二乘估计、条件极大似然估计、Hilbert空间投影定理和时间序列分解技术研究了MARMA模型的性质，包括平稳性和可逆性的充分必要条件、模型参数估计、模型检验和模型预测。

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Autoregressive moving average model for matrix time series

In the paper, the autoregressive moving average model for matrix time series (MARMA) is investigated. The properties of the MARMA model are investigated by using the conditional least square estimation, the conditional maximum likelihood estimation, the projection theorem in Hilbert space and the decomposition technique of time series, which include necessary and sufficient conditions for stationarity and invertibility, model parameter estimation, model testing and model forecasting.

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