沃尔德与离散平稳时间序列

摘要

细致分析了沃尔德对于离散平稳时间序列的综合研究,指出沃尔德对以辛钦为首的概率理论研究和以尤尔为首的线性回归模式实证研究进行了有机结合,阐述了沃尔德分解定理和ARMA模型的创建思路与重大意义。%The paper analyses in detail Wold’s comprehensive study about discrete stationary time series.It points Wold’s combining the probability theory represented by Khinchin with the empirical investigation represented by Yule’s linear regression model.It also analyses the thinking and meaning of Wold decomposition and auto regressive moving average model.