差分运算
- 一阶差分: ∇ x t = x t − x t − 1 \nabla{x_t}=x_t - x_{t-1} ∇xt=xt−xt−1
- P阶差分: ∇ p x t = ∇ p − 1 x t − ∇ p − 1 x t − 1 \nabla^p{x_t}=\nabla^{p-1}x_t - \nabla^{p-1}x_{t-1} ∇pxt=∇p−1xt−∇p−1xt−1
- k步差分: ∇ k = x t − x t − k \nabla_k=x_t - x_{t-k} ∇k=xt−xt−k
延迟算子
延迟算子类似于一个时间指针,当前序列诚意一个延迟算子,就相当于把当前序列值的时间向过去拨了一个时刻
记 p 为延迟算子,则有
X
t
−
p
=
B
p
X
t
,
∀
p
≥
1
X_{t-p}=B^pX_t,\forall{p}\geq1
Xt−p=BpXt,∀p≥1 , 则有:
一阶差分:
∇
x
t
=
x
t
−
x
t
−
1
=
(
1
−
B
)
x
t
\nabla{x_t}=x_t - x_{t-1}=(1-B)x_t
∇xt=xt−xt−1=(1−B)xt
二阶差分:
∇
2
x
t
=
∇
x
t
−
∇
x
t
−
1
=
(
x
t
−
x
t
−
1
)
−
(
x
t
−
1
−
x
t
−
2
)
=
x
t
−
2
x
t
−
1
+
x
t
−
2
=
(
1
−
2
B
+
B
2
)
x
t
=
(
1
−
B
)
2
x
t
\nabla^2{x_t}=\nabla x_t - \nabla x_{t-1} = (x_t - x_{t-1}) - (x_{t-1} - x_{t-2}) = x_t - 2x_{t-1} + x_{t-2} = (1-2B + B^2)x_t = (1-B)^2 x_t
∇2xt=∇xt−∇xt−1=(xt−xt−1)−(xt−1−xt−2)=xt−2xt−1+xt−2=(1−2B+B2)xt=(1−B)2xt
p阶差分:
∇
p
x
t
=
∇
p
−
1
x
t
−
∇
p
−
1
x
t
−
1
=
(
1
−
B
)
P
x
t
=
∑
i
=
0
p
(
−
1
)
p
C
p
i
x
(
t
−
i
)
\nabla^p{x_t}=\nabla^{p-1}x_t - \nabla^{p-1}x_{t-1} = (1-B)^Px_t=\sum_{i=0}^{p}{(-1)^p C_{p}^i x_(t-i)}
∇pxt=∇p−1xt−∇p−1xt−1=(1−B)Pxt=∑i=0p(−1)pCpix(t−i)
k步差分:
∇
k
=
x
t
−
x
t
−
k
=
(
1
−
B
k
)
x
t
\nabla_k=x_t - x_{t-k} = (1 - B^k)x_t
∇k=xt−xt−k=(1−Bk)xt
延迟算子的性质
{
B
0
=
1
B
(
c
⋅
x
t
)
=
c
⋅
B
(
x
t
)
=
c
⋅
x
t
−
1
,
c
为
任
意
常
数
B
(
x
t
±
y
t
)
=
x
t
−
1
±
y
t
−
1
B
n
x
t
=
x
t
−
n
(
1
−
B
)
n
=
∑
i
=
0
n
(
−
1
)
n
C
n
i
B
i
,
其
中
C
n
i
=
n
!
i
!
(
n
−
i
)
!
\left\{ \begin{aligned} B^0=1 \\ B(c\cdot x_t) &= c \cdot B(x_t) = c \cdot x_{t-1}, c为任意常数\\ B(x_t \pm y_t) &= x_{t-1} \pm y_{t-1} \\ B^n x_t &= x_{t-n} \\ (1-B)^n &= \sum_{i=0}^{n}{(-1)^n C_{n}^{i} B^i}, 其中 C_{n}^i = \frac{n!}{i!(n-i)!}\\ \end{aligned} \right.
⎩⎪⎪⎪⎪⎪⎪⎪⎪⎪⎨⎪⎪⎪⎪⎪⎪⎪⎪⎪⎧B0=1B(c⋅xt)B(xt±yt)Bnxt(1−B)n=c⋅B(xt)=c⋅xt−1,c为任意常数=xt−1±yt−1=xt−n=i=0∑n(−1)nCniBi,其中Cni=i!(n−i)!n!
线性差分方程
z t + a 1 z t − 1 + a 2 z t − 2 + . . . + a p z t − p = h ( t ) z_t + a_1z_{t-1} + a_2z_{t-2} + ... + a_pz_{t-p} = h(t) zt+a1zt−1+a2zt−2+...+apzt−p=h(t)
齐次线性差分方程
z
t
+
a
1
z
t
−
1
+
a
2
z
t
−
2
+
.
.
.
+
a
p
z
t
−
p
=
0
z_t + a_1z_{t-1} + a_2z_{t-2} + ... + a_pz_{t-p} = 0
zt+a1zt−1+a2zt−2+...+apzt−p=0
齐次线性差分方程的解(利用特征方程求解)
用
λ
p
\lambda^p
λp 替代
z
t
z_t
zt , 得到
λ
p
+
a
1
λ
p
−
1
+
a
2
λ
p
−
2
+
.
.
.
+
a
p
=
0
\lambda^p + a_1\lambda^{p-1} + a_2\lambda^{p-2} + ... + a_p= 0
λp+a1λp−1+a2λp−2+...+ap=0
特征方程的根称为特征根,记作
λ
1
,
λ
2
,
.
.
.
,
λ
p
\lambda_1, \lambda_2,..., \lambda_p
λ1,λ2,...,λp
齐次线性差分方程的通解
- 不相等实数根场合
z t = c 1 λ 1 t + c 2 λ 2 t + . . . + c p λ p t z_t =c_1 \lambda_{1}^{t} + c_2 \lambda_{2}^{t}+ ...+ c_p \lambda_{p}^{t} zt=c1λ1t+c2λ2t+...+cpλpt - 有相等实根场合
z t = ( c 1 + c 2 t + . . . + c d t d − 1 ) λ 1 t + c d + 1 λ d + 1 t + . . . + c p λ p t z_t =(c_1 + c_2 t+ ...+ c_dt^{d-1})\lambda_{1}^{t} + c_{d+1}\lambda^{t}_{d+1} + ...+ c_p\lambda_{p}^t zt=(c1+c2t+...+cdtd−1)λ1t+cd+1λd+1t+...+cpλpt - 复根场合
z t = r t ( c 1 e i t ω + c 2 e − i t ω ) + c 3 λ 3 t + . . . + c p λ p t z_t = r^t(c_1e^{it\omega} + c_2e^{-it\omega}) + c_3\lambda_{3}^t +...+c_p\lambda_{p}^t zt=rt(c1eitω+c2e−itω)+c3λ3t+...+cpλpt
非齐次线性差分方程的特解 z t ′ ′ z_{t}^{''} zt′′ (使得非齐次线性差分方程城里的任意一个解)
z
t
′
′
+
a
1
z
t
−
1
′
′
+
a
2
z
t
−
2
′
′
+
.
.
.
+
a
p
z
t
−
p
′
′
=
h
(
t
)
z_{t}^{''} +a_1z_{t-1}^{''} + a_2z_{t-2}^{''} +...+ a_pz_{t-p}^{''} = h(t)
zt′′+a1zt−1′′+a2zt−2′′+...+apzt−p′′=h(t)
非齐次线性差分方程的通解
z
t
z_t
zt
齐次线性差分方程的通解和非齐次线性差分方程的特解之和
z
t
=
z
t
′
+
z
t
′
′
z_t = z_{t}^{'} + z_{t}^{''}
zt=zt′+zt′′