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中文摘要：
提出一种广义多元时变AR（autoregression）模型，并建立广义多元时变AR模型参数函数估计方法。该方法首先求得时间序列的均值函数，将广义多元时变AR模型转换为零均值多元时变AR模型，并通过谱分析和多点平均方法得到时变参数的函数形式，再分别采用最小二乘和极大似然法确定其中的待定参数。从而将一个复杂的时变问题转变为相对简单的时不变问题进行处理。该方法可广泛应用于气象、通信、自动控制、结构响应分析、故障诊断、经济分析等领域。
英文摘要：
A generalized multivariate time-varying AR（autoregression） model and a method for determining its parametric functions are presented. First, determine the mean of the time series, and then change the generalized multivariate time-varying AR model into multivariate time-varying AR model. The function forms of time-varying parameters are detemlined by the sample periodogram and multipie-point average. The parametric functions are obtained by least square algorithm and maximum likelihood method. Thus a complicated time-varying problem is changed into a simple time-invariant problem for further processing. The proposed method can be used in meteorology, communication, automatic control, structure response analysis, fault diagnosis, economic analysis and other fields.
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