Estimation and Identification for Correlation Coefficient Stationary Series

LIU Cheng rui; FU Hui min

Chinese

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Estimation and Identification for Correlation Coefficient Stationary Series

更新时间：2026-07-07

- Estimation and Identification for Correlation Coefficient Stationary Series
- Vol. 18, Issue 5, (2003)
- 作者机构：
  
  北京航空航天大学固体力学研究所,北京,100083
- 作者简介：
- 基金信息：
- DOI：
  CLC：
- Published：2003
- 稿件说明：
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LIU Cheng rui, FU Hui min. Estimation and Identification for Correlation Coefficient Stationary Series[J]. 2003, 18(5).
DOI：

LIU Cheng rui, FU Hui min. Estimation and Identification for Correlation Coefficient Stationary Series[J]. 2003, 18(5). DOI：

摘要

本文提出了通过观测序列确定不可直接测得的相关系数平稳序列模型参数的方法

详细讨论了相关系数AR(p)

MA(q)和ARMA(p

q)序列状态方程的参数估计

为非平稳序列的滤波、预测和平滑提供了依据。文中还给出了观测系统参数的识别方法

与传统方法相比

本文方法考虑了测量噪声的均值和方差随时间变化情况

具有更高的识别精度。

Abstract

The estimation method for the parameters of the correlation coefficient stationary series which can not be measured straightly is presented.After the state equations of the correlation coefficient AR(p)

MA(q) and ARMA(p

q)series are established

the filtering

prediction and smoothing for non stationary series can be carried out.In addition

the identification method of the observation system is also given.For the relation between time and the mean

the variance of the noise can be considered

the precision of the present method is higher than that of the traditional methods.

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Related Author

MA Xiao bing

FU Hui min

MA Xiao-bing

ZHAO Yu

PAN Mu-xuan

HUANG Jin-quan

BAO Rui

ZHANG Jian-yu

Related Institution

Institute of Reliability Engineering, Beijing University of Aeronautics and Astronautics

College of Energy and Power Engineering,Nanjing University of Aeronautics and Astronautics

School of Aeronautic Secience and Technology,Beijing University of Aeronautics and Astronautics

南京航空航天大学自动化学院

中国航空工业集团有限公司故障诊断与健康管理技术航空科技重点实验室试验与验证中心

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