线性平稳序列
有限运动平均
线性平稳序列是由白噪声的线性组合构成的平稳序列。最简单的线性平稳序列是有限运动平均。
设 { ϵ t } \{\epsilon_t\} { ϵt} 是 W N ( 0 , σ 2 ) {\rm WN}(0,\,\sigma^2) WN(0,σ2) ,对于非负整数 q q q 和常数 a 0 , a 1 , . . . , a q a_0,a_1,...,a_q a0,a1,...,aq ,称
X t = ∑ j = 0 q a j ϵ t − j = a 0 ϵ t + a 1 ϵ t − 1 + . . . + a q ϵ t − q , t ∈ Z X_t=\sum_{j=0}^qa_j\epsilon_{t-j}=a_0\epsilon_t+a_1\epsilon_{t-1}+...+a_q\epsilon_{t-q} \ , \ \ \ \ t\in\Z Xt=j=0∑qajϵt−j=a0ϵt+a1ϵt−1+...+aqϵt−q , t∈Z
是白噪声 { ϵ t } \{\epsilon_t\} { ϵt} 的有限运动平均,简称 M A {\rm MA} MA 序列。
验证 M A {\rm MA} MA 序列的平稳性:
E ( X t ) = 0 {\rm E}(X_t)=0 E(Xt)=0
E ( X t + k X t ) = E [ ∑ i = 0 q a i ϵ t + k − i ∑ j = 0 q a j ϵ t − j ] = ∑ j = 0 q ∑ i = 0 q a i a j E ( ϵ t + k − i ϵ t − j ) = σ 2 ∑ j = 0 q ∑ i = 0 q a i a j δ j + k − i = σ 2 ∑ j = 0 q − k a j a j + k \begin{aligned} {\rm E}(X_{t+k}X_t)&={\rm E}\left[\sum_{i=0}^qa_i\epsilon_{t+k-i}\sum_{j=0}^qa_j\epsilon_{t-j}\right] \\ &=\sum_{j=0}^q\sum_{i=0}^qa_ia_j\,{\rm E}(\epsilon_{t+k-i}\epsilon_{t-j}) \\ &=\sigma^2\sum_{j=0}^q\sum_{i=0}^qa_ia_j\delta_{j+k-i} \\ &=\sigma^2\sum_{j=0}^{q-k}a_ja_{j+k} \end{aligned} E(Xt+kXt)=E[i=0∑qaiϵt+k−ij=0∑qajϵt−j]=j=0∑qi=0∑qaiajE(ϵt+k−iϵt−j)=σ2j=0∑qi=0∑qaiajδj+k−i=σ2j=0∑q−kajaj+k
E ( X t 2 ) = σ 2 ∑ j = 0 q a j 2 < ∞ E(X_t^2)=\sigma^2\sum_{j=0}^qa_j^2<\infty E(Xt2)=σ2j=0∑qaj2<∞
由此得证 { X t } \{X_t\} {
Xt} 是平稳序列,自协方差函数可以改写为
γ k = { σ 2 ∑ j = 0 q − k a j a j + k , 0 ≤ k ≤ q , 0 , k > q . \gamma_k=\left\{ \begin{array}{ll} \sigma^2\displaystyle\sum_{j=0}^{q-k}a_ja_{j+k}\ , & 0\leq k\leq q\ ,\\ 0\ , & k>q\ . \end{array} \right. γk=⎩⎪⎨⎪⎧σ2j=0∑q−kajaj+k ,0 ,