c********l
发帖数: 8138 | 1 一条是说：
“For a specific autoregressive(AR) model, a good fit to the data, the
autocorrelations of the error term should be 0 at all lags.”
另一条是说：
“The autocorrelations of most autoregressive time series start large and
decline gradually, whereas the autocorrelations of an MA(q) time series
suddenly drop to 0 after the first q autocorrelations. This helps in
distinguishing between autoregressive and moving-average time series.”
前者说AR的autocorrelation都应该是0，不然就是mis-specified model
后者说AR对于(t, t+h)的autocorrelation在的时候,在h比较小的时候可以明显不为0，
但在h比较大的时候就应该逐渐趋近于0
这难道不是自相矛盾了？ | x***u
发帖数: 1087 | 2 the first one is for the residuals;
the second one is for the original series.
【在 c********l 的大作中提到】
: 一条是说：
: “For a specific autoregressive(AR) model, a good fit to the data, the
: autocorrelations of the error term should be 0 at all lags.”
: 另一条是说：
: “The autocorrelations of most autoregressive time series start large and
: decline gradually, whereas the autocorrelations of an MA(q) time series
: suddenly drop to 0 after the first q autocorrelations. This helps in
: distinguishing between autoregressive and moving-average time series.”
: 前者说AR的autocorrelation都应该是0，不然就是mis-specified model
: 后者说AR对于(t, t+h)的autocorrelation在的时候,在h比较小的时候可以明显不为0，
| c********l
发帖数: 8138 | 3 Thanks!，还是您的回答最精辟！
【在 x***u 的大作中提到】
: the first one is for the residuals;
: the second one is for the original series.
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