摘要
根据两指标随机过程{X(t_1,t_2),(t_1,t_2)∈z×z}所生成的线性空间H[X]与单位圆柱上关于谱分布平方可积的函数所生成的线性空间L^2[f]的同构关系,把确定两指标AR模型参数问题转化为L^2[f]中的多项式正交化问题。利用L^2[f]中正交多项式递推关系,给出了两指标AR参数估计的迭代算法。
A new algorithm has been derived for the estimates of the parameters of two dimensional AR models, utilizing the ismorphism between the Hilbert space spanned by the stochastic process {X(t), t∈z×z} and the Hilbcrt space spanned by the orthogonal polynomials on the unit polydisc.
关键词
两指标AR模型
正交多项式
参数估计
two-dimetional AR model, ismorphism, orthogonal polynomials
