逆函式預報法(nverse function forecasting)是平穩序列的一種直接預報方法,其定義基於AMRA(p, q)模型的逆函式,可由模型參數遞推算出。
基本介紹
定義,性質,套用,
定義
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性質
若序列是可逆的,則逆函式
具有負指數收斂性,因此
也是依負指數收斂的,可用有窮和代替無窮和, 得到近似的平穩最小方差預報
其中
是選定的充斷凳犁分大正數。
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套用
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逆函式預報法(nverse function forecasting)是平穩序列的一種直接預報方法,其定義基於AMRA(p, q)模型的逆函式,可由模型參數遞推算出。