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多元移动平均模型精确似然函数的计算AI 解读

This paper proposes three methods for computing the exact likelihood function of multivariate moving average models. Each method utilizes the structure of the covariance matrix in a different way. Formulae for operation counts of the three algorithms are given as a guide in selecting the best method for a given problem. Monte Carlo simulations are performed to compare the mean squared errors of parameter estimates obtained by maximizing the exact likelihood function versus…

由离散观测建模连续随机过程：太阳黑子数据应用AI 解读

Discretization of a continuous autoregressive moving average process at an equispaced sampling interval results in a discrete autoregressive moving average process. The relationship between the continuous and the discrete parameters yields a simple method of maximum likelihood estimation of the continuous parameters from a discretely sampled data. A technique is described for modeling of continuous processes from discrete observations and is illustrated with analysis of the…

由离散观测建立连续随机过程模型：太阳黑子数据应用AI 解读

Discretization of a continuous autoregressive moving average process at an equispaced sampling interval results in a discrete autoregressive moving average process. The relationship between the continuous and the discrete parameters yields a simple method of maximum likelihood estimation of the continuous parameters from a discretely sampled data. A technique is described for modeling of continuous processes from discrete observations and is illustrated with analysis of the…