This paper derived the recursive formula of autocovariance function and a three-stage algorithm of computing spectral density of MAR model, thus we solved spectral analysis problem of MAR model. 针对MAR模型导出其自协方差函数的递推关系式及计算谱密度的算法,从而从理论上解决了这一模型的谱分析问题。
Asymptotic properties of moment estimation for a doubly stochastic model: 1. sample autocovariance ( autocorrelation) function 双重时序模型矩估计的渐近性:1.样本自协方差(自相关)函数
In this paper, we give estimated asymptotic covariance of autocovariance function of stationary series with missed value of 0& 1 distribution. The results are formulas ( 9) and ( 10), which are similar to general bartlett's formula. 本文给出按0-1分布规律丢失值的平稳序列自协方差函数估计的渐近协方差,其结界主要是公式(9)及(10),类似于通常的Bartlett公式。