缺失数据下AR(p)模型的估计方法

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缺失数据下AR(p)模型的估计方法

田萍¹, 董险峰², 王德辉², 黄晓薇²

1. 吉林大学商学院，长春 130012; 2. 吉林大学数学学院，长春 130012

收稿日期:2002-09-04 修回日期:1900-01-01 出版日期:2003-04-26 发布日期:2003-04-26
通讯作者: 田萍

Estimation Method of AR(p) Model with One Date or Two Continuous Data Missed

TIAN Ping¹, DONG Xianfeng², WANG Dehui², HU ANG Xiaowei²

1. College of Business, Jilin University, Changchun 130012; 2. College of Mathematics, Jilin University, Changchun 130012

Received:2002-09-04 Revised:1900-01-01 Online:2003-04-26 Published:2003-04-26
Contact: TIAN Ping

摘要/Abstract

摘要： 研究在缺失数据条件下，零均值AR(p)模型的估计方法. 应用EM算法，给出了一个数据和连续两个数据缺失时的具体计算步骤.

关键词: 似然函数, EM算法, 条件概率密度

Abstract: The present paper deals with the estimation problem for zero mean value AR(p) model with one date or two continuous data missed. The paper is based on the EM algorithm. By using the iterative method, we have obtained the estimated values of parameters.

Key words: likihood function, EM algorithm, conditional probable density

中图分类号:

O212.1

田萍, 董险峰, 王德辉, 黄晓薇. 缺失数据下AR(p)模型的估计方法[J]. J4, 2003, 41(02): 127-133.

TIAN Ping, DONG Xianfeng, WANG Dehui, HU ANG Xiaowei. Estimation Method of AR(p) Model with One Date or Two Continuous Data Missed[J]. J4, 2003, 41(02): 127-133.

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