| 非高斯AR序列参数的加权最小二乘估计 |
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| 引用本文： | 王平波,蔡志明,姜可宇. 非高斯AR序列参数的加权最小二乘估计[J]. 武汉理工大学学报(交通科学与工程版), 2008, 32(6) |
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| 作者姓名： | 王平波 蔡志明 姜可宇 |
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| 作者单位： | 海军工程大学电子工程学院,武汉,430033 |
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| 基金项目： | 国家973基金项目资助 |
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| 摘 要： | 加权最小二乘估计是一种兼具精度与速度的非高斯自回归序列参数估计的优秀算法.使用混合高斯自回归模型描述估计问题之后,又从最大似然估计非线性方程组出发导出了与之近似的加权最小二乘估计线性方程组,并分析了加权函数的性质,给出了具体的两步实现算法.探讨了加权函数获得与激励方差估计2个细节问题,给出了一组实例.
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| 关 键 词： | 非高斯 自回归模型 最小二乘估计 最大似然估计 |
Weighted Least Squares Estimation of Parameters for Non-Gaussian Autoregressive Processes |
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| Wang Pingbo,Cai Zhiming,Jiang Keyu. Weighted Least Squares Estimation of Parameters for Non-Gaussian Autoregressive Processes[J]. journal of wuhan university of technology(transportation science&engineering), 2008, 32(6) |
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| Authors: | Wang Pingbo Cai Zhiming Jiang Keyu |
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| Affiliation: | Electronic Engineering College;Naval University of Engineering;Wuhan 430033 |
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| Abstract: | Having both high speed and high accuracy,the weighted least squares estimation is an excellent lgorithm for parameters estimation of non-Gaussian autoregressive processes.After the estimation problem being described with Gaussian mixture autoregressive model,the linearset of equations for weighted least squares estima-tion is deduced approximately from the nonlinear set of equations for maximum likelihood estimation.Properties of the weighted function are analyzed.Implementary algorithm with two steps is gi... |
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| Keywords: | non-Gaussian autoregressive model least squares estimation maximum likelihood estimation |
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