Autoregressive processes

被引：4

作者：

Brockwell P.J. ^{[1
]}

机构：

[1] Department of Statistics, Colorado State University, Fort Collins, CO

来源：

Wiley Interdisciplinary Reviews: Computational Statistics | 2011年 / 3卷 / 04期

关键词：

Regression analysis - Gaussian noise (electronic) - Random processes;

D O I：

10.1002/wics.163

中图分类号：

学科分类号：

摘要：

In this article, the definition, properties, and applications of linear autoregressive processes (or autoregressions) are reviewed. These form an important subset of the class of autoregressive moving-average (ARMA) processes which are widely used as stationary models for time series data. Particular attention is paid to the problem of selecting and estimating appropriate autoregressions to describe empirically observed time series. © 2011 John Wiley & Sons, Inc.

引用

页码：316 / 331

页数：15

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