时间序列稳定协和性的数值分析

作     者：吕纯濂 陈舜华 Lu Chunlian(Dept. of Mathematics of Nanjing University of Information Science & Technology, Nanjing 210044;Nanjing Jinken University, Nanjing 211156)Chen Shunhua(Dept. of Applied Meteorology of Nanjing University of Information Science & Technology,Nanjing 210044)

作者机构：南京信息工程大学数学系 南京信息工程大学应用气象系 

出 版 物：《数值计算与计算机应用》 (Journal on Numerical Methods and Computer Applications)

年 卷 期：2004年第25卷第4期

页      面：269-274页

核心收录：

学科分类：07[理学] 070104[理学-应用数学] 0701[理学-数学] 

主　　题：时间序列 稳定协和性 标准算法 极大似然估计 数理统计 广义特征 

摘      要：Cointegration analysis for time series involves the solution of a generalized eigenproblem involving moment matrices and inverted moment matrices. These formulae are unsuitable for actual computations because the condition numbers of the resulting matrices are unnecessarily increased. The special structure of the cointegration procedure is used to achieve numerically stable computations, based on QR and singular value decompositions.