ANALYSIS METHOD OF CORRELATION COEFFICIENT MA(q) SERIES
Xiaobing Ma · Jixie qiangdu · 2003
The analysis method of correlation coefficient MA(q) series is presented in this paper. It can describe the time series in engineering better than traditional MA(q) series, for its mean and variance can vary with time. The conditional maximum likelihood estimation (MLE) and the exact MLE of correlation coefficient MA(q) series are established. The conditional MLE can reach high precision and be conveniently applied in engineering when the sample is large enough. The exact MLE is still high precision when the sample is small. Both the conditional MLE and the exact MLE can make full use of the information contained in data. The mean function, variance function and correlation coefficient function of correlation coefficient MA(q) series can be obtained by the present method. It has been applied to signal processing.