Prediction method for generalized time-varying ARMA series

Zhi Hua Wang; Hui Min Fu

Prediction method for generalized time-varying ARMA series

Zhi Hua Wang^*
, Hui Min Fu

^*Corresponding author for this work

School of Aeronautic Science and Engineering

Research output: Contribution to journal › Article › peer-review

4 Scopus citations

Abstract

A method for predicting generalized time-varying ARM A series is proposed. The prediction formulas of time-varying and generalized time-varying series and their mean squared errors are presented. The method can analyze the generalized time-varying series (or signal) whose mean, variance, autoregressive and moving average coefficients vary with time. It can be used in meteorology, communication, automatic control, structure response analysis, fault diagnosis and other fields. The precision of the presented method is higher than the traditional method in predicting generalized time-varying ARMA series.

Original language	English
Pages (from-to)	713-717
Number of pages	5
Journal	Hangkong Dongli Xuebao/Journal of Aerospace Power
Volume	20
Issue number	5
State	Published - Oct 2005

Keywords

Non-stationary series
Prediction
Series
Time-varying parameter
Time-varying series

Cite this

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title = "Prediction method for generalized time-varying ARMA series",

abstract = "A method for predicting generalized time-varying ARM A series is proposed. The prediction formulas of time-varying and generalized time-varying series and their mean squared errors are presented. The method can analyze the generalized time-varying series (or signal) whose mean, variance, autoregressive and moving average coefficients vary with time. It can be used in meteorology, communication, automatic control, structure response analysis, fault diagnosis and other fields. The precision of the presented method is higher than the traditional method in predicting generalized time-varying ARMA series.",

keywords = "Non-stationary series, Prediction, Series, Time-varying parameter, Time-varying series",

author = "Wang, \{Zhi Hua\} and Fu, \{Hui Min\}",

year = "2005",

month = oct,

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volume = "20",

pages = "713--717",

journal = "Hangkong Dongli Xuebao/Journal of Aerospace Power",

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TY - JOUR

T1 - Prediction method for generalized time-varying ARMA series

AU - Wang, Zhi Hua

AU - Fu, Hui Min

PY - 2005/10

Y1 - 2005/10

N2 - A method for predicting generalized time-varying ARM A series is proposed. The prediction formulas of time-varying and generalized time-varying series and their mean squared errors are presented. The method can analyze the generalized time-varying series (or signal) whose mean, variance, autoregressive and moving average coefficients vary with time. It can be used in meteorology, communication, automatic control, structure response analysis, fault diagnosis and other fields. The precision of the presented method is higher than the traditional method in predicting generalized time-varying ARMA series.

AB - A method for predicting generalized time-varying ARM A series is proposed. The prediction formulas of time-varying and generalized time-varying series and their mean squared errors are presented. The method can analyze the generalized time-varying series (or signal) whose mean, variance, autoregressive and moving average coefficients vary with time. It can be used in meteorology, communication, automatic control, structure response analysis, fault diagnosis and other fields. The precision of the presented method is higher than the traditional method in predicting generalized time-varying ARMA series.

KW - Non-stationary series

KW - Prediction

KW - Series

KW - Time-varying parameter

KW - Time-varying series

UR - https://www.scopus.com/pages/publications/28244461295

M3 - 文章

AN - SCOPUS:28244461295

SN - 1000-8055

VL - 20

SP - 713

EP - 717

JO - Hangkong Dongli Xuebao/Journal of Aerospace Power

JF - Hangkong Dongli Xuebao/Journal of Aerospace Power

IS - 5

ER -

Prediction method for generalized time-varying ARMA series

Abstract

Keywords

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