Method for Determining Covariance Functions of Time Series

FU Hui-min

Chinese

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Method for Determining Covariance Functions of Time Series

更新时间：2026-07-07

- Method for Determining Covariance Functions of Time Series
- Vol. 20, Issue 6, (2005)
- 作者机构：
  
  北京航空航天大学小样本技术研究中心,北京,100083
- 作者简介：
- 基金信息：
- DOI：
  CLC：
- Published：2005
- 稿件说明：
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FU Hui-min. Method for Determining Covariance Functions of Time Series[J]. 2005, 20(6).
DOI：

FU Hui-min. Method for Determining Covariance Functions of Time Series[J]. 2005, 20(6). DOI：

摘要

提出一种确定时间序列协方差函数的方法

它首先根据(多元)时间序列构造其互协方差函数随机序列、互相关函数随机序列或自协方差函数随机序列、自相关函数随机序列

然后采用谱分析和多点平均方法对互协方差函数随机序列、互相关函数随机序列或自协方差函数随机序列、自相关函数随机序列的趋势项进行分离

分别求得其周期项和非周期项的函数表达式

再综合给出整个趋势项函数。从而得到原时间序列的互协方差函数、互相关函数或自协方差函数、自相关函数的函数形式

并通过最小二乘方法确定其中的待定参数。该方法可用于时间序列协方差函数的建模、分析和预测

并且计算简单易行、精度高

便于实际应用。

Abstract

A method for determining covariance functions of time series is presented.First

it can construct a series of cross covariance

cross correlation

auto-covariance or auto-correlation function according to the time series.Then

it can determine the trend term of the cross covariance

the cross correlation

the auto-covariance or the auto-correlation function series

which obtains not only the periodic function of the trend term by the spectral analysis but also the nonperiodic function by multiple-point averaging

and synthesizes the integral function of the trend term.The functional form of the cross covariance

the cross correlation

the auto-covariance or the auto-correlation function can be derived from the trend function.Besides

its parameters are estimated by the least squares method.The presented method is credible and easily available for modeling

analysis and forecast of the covariance and the correlation function of time series.

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Related Author

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Related Institution

Beijing University of Aeronautics and Astronautics

哈尔滨工业大学机电工程学院

哈尔滨工业大学（威海)船舶与海洋工程学院

河南科技大学机电工程学院

Jiangsu Province Key Laboratory of Aerospace Power System, College of Energy and Power Engineering, Nanjing University of Aeronautics and Astronautics

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