Nyob rau hauv lub sij hawm series tsom xam, ib feem autocorrelation muaj nuj nqi muab ib feem correlation ntawm ib tug nyob ruaj khov lub sij hawm series nrog nws tus kheej lagged qhov tseem ceeb, regressed qhov tseem ceeb ntawm lub sij hawm series ntawm tag nrho cov luv luv lags. Nws contrasts nrog autocorrelation muaj nuj nqi, uas tsis tswj rau lwm yam lags.
Qhov txawv ntawm autocorrelation thiab ib nrab autocorrelation yog dab tsi?
Autocorrelation ntawm X thiab Z yuav suav nrog txhua qhov kev hloov pauv hauv X txawm tias los ntawm Z ncaj qha lossis los ntawm Y. Ib nrab autocorrelation tshem tawm qhov cuam tshuam tsis ncaj ntawm Z ntawm X los ntawm Y.
Dab tsi yog ib feem autocorrelation hauv econometrics?
Ib feem autocorrelation yog cov ntsiab lus ntawm kev sib raug zoo ntawm kev soj ntsuam hauv ib lub sijhawm nrog kev soj ntsuam ntawm cov kauj ruam ua ntej nrog kev sib raug zoo ntawm kev cuam tshuam kev soj ntsuam tshem tawm.
Ib feem ntawm autocorrelation plot yog dab tsi?
Ib feem ntawm autocorrelation plots (Box thiab Jenkins, pp. 64-65, 1970) yog ib qho cuab yeej siv feem ntau rau kev txheeb xyuas tus qauv hauv Box-Jenkins qauv. Ib nrab autocorrelation ntawm lag k yog autocorrelation ntawm X_t thiab X_{t-k} uas tsis suav nrog lags 1 txog k-1.
Qhov txawv ntawm ACF thiab PACF yog dab tsi?
A PACF zoo ib yam li ACF tshwj tsis yog tias txhua qhov kev sib raug zoo tswj hwm kev sib raug zoo ntawm kev soj ntsuam ntawm qhov luv luv luv. Yog li, tus nqi rau ACF thiab covPACF ntawm thawj lag yog tib yam vim hais tias ob qho tib si ntsuas qhov sib raug ntawm cov ntaub ntawv cov ntsiab lus ntawm lub sij hawm t nrog cov ntaub ntawv cov ntsiab lus ntawm lub sij hawm t − 1.
