欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
定义了向量ARFRIM（VARFIMA）模型的一般形式及这种定义上协整的概念并给出了VARFIMA的线性组合具有ARMA表达式的一个充分必要条件．接着基于独立成分分析的方法讨论了协整的存在性，给出了VARFIMA模型存在协整的充分必要条件，并考虑了几种特殊情形．最后讨论了协整向量及协整向量空间的结构．
英文摘要：
A general form of vector ARFIMA model （VARFIMA model） is proposed in this paper, then the concept of cointegration and the condition for the linear combination of VARFIMA process having ARMA expression is given. Next the existence of cointegration is discussed by using independent components analysis method, a sufficient and necessary condition for VARFIMA process being cointegrated is given, and some special cases are considered. Finally the contegrating vector and the structure of cointegrating vector space are discussed.
同期刊论文项目
同项目期刊论文
期刊信息
位置：