摘要
相关系数平稳序列是从非平稳序列中分离出来的一类工程实际中常见且便于研究的随机序列 ,文中首先给出相关系数AR(p)、MA(q)和ARMA(p ,q)序列可直接测得情况下的预测公式 ,然后在测量噪声独立和相关两种情况下分别讨论相关系数平稳序列不可直接测得时的滤波、预测和平滑问题。文中方法能够对均值和方差都随时间变化的相关系数平稳序列或信号进行高精度的分析和处理 ,可广泛应用于通信、自动控制、结构响应分析和故障诊断等领域。
The correlation coefficient stationary series that is one kind of non-stationary series is familiar in engineering. The prediction formulas of correlation coefficient AR(p), MA(q) and ARMA(p, q) series are given while these series can be directly measured. Under the condition that correlation coefficient series is intermixed with noise, the filtering, prediction and smoothing methods for correlation coefficient AR(p), MA(q) and ARMA(p, q) series are discussed in two parts: one is the independent noise, the other is the coherent noise . The presented methods can analyze the correlation coefficient stationary series accurately in which the mean and variance vary with time, and can be widely used in communication, automatic control, structure response analysis and fault diagnosis et al.
出处
《机械强度》
CAS
CSCD
北大核心
2003年第5期531-536,共6页
Journal of Mechanical Strength
基金
国防科技预研项目 (41 32 80 2 0 3)资助~~
关键词
相关系数平稳序列
随机序列
滤波
预测
平滑
信号处理
Filtering
Prediction
Smoothing
Correlation coefficient AR(p) series
Correlation coefficient MA(q) series
Correlation coefficient ARMA(p, q) series
