Time Series Analysis And Its Application

被引：3

作者：

Yi, Ding ^{[1
]}

机构：

[1] China Univ Min & Technol, Dept Math, Beijing 100083, Peoples R China

来源：

2008 CHINESE CONTROL AND DECISION CONFERENCE, VOLS 1-11 | 2008年

关键词：

Bayes smoothing estimation; Kalman filter; state pace model;

D O I：

10.1109/CCDC.2008.4598191

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper studies the smoothness of time series with trends, seasonality and stationary term The equality of constraint smoothing estimate, priors-Bayes smoothing estimate and some type of Kalman smoothing estimate is proved theoretically. And the state space expression described by prior-Bayes is obtained for the smoothness of time series. It's the theoretical base for using Kalman filter algorithm and estimating order and parameters of constraint smoothing.

引用

页码：4552 / 4556

页数：5

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