1 Teb. Qhov kev siv ntxov tshaj plaws rau autocorrelation uas kuv tuaj yeem pom muaj feem xyuam rau Udney Yule, tus kws sau keeb kwm Askiv uas ntawm lwm qhov kev ua tiav tseem ceeb tau tsim cov txheej txheem Yule-Walker kom kwv yees qhov Kev Sib Koom Tes Ib Nrab Kev Sib Txuas Siv Siv Auto- Kev sib txheeb Function.
Qhov kev ua haujlwm twg yog siv rau kev sib txuas lus?
Lub luag haujlwm autocorrelation (ACF) txhais cov ntaub ntawv cov ntsiab lus hauv lub sijhawm li cas muaj feem cuam tshuam, qhov nruab nrab, rau cov ntsiab lus ua ntej (Box, Jenkins, & Reinsel, 1994). Hauv lwm lo lus, nws ntsuas qhov sib xws ntawm tus kheej ntawm lub teeb liab hla lub sijhawm ncua sijhawm sib txawv.
Yuav ua li cas yog tus qauv rau autocorrelation?
Definition 1: Lub autocorrelation muaj nuj nqi (ACF) ntawm lag k, denoted ρk, ntawm ib tug nyob ruaj ruaj stochastic txheej txheem yog txhais raws li ρ k=γk/γ0 where γk=cov(y i, yi+k)rau ib qho i. Nco ntsoov tias γ 0 yog qhov sib txawv ntawm cov txheej txheem stochastic. Lub variance ntawm lub sij hawm series yog s0. Ib zaj lus ntawm rk tawm tsam k yog hu ua correlogram.
autocorrelation econometrics yog dab tsi?
Autocorrelation yog tus lej sawv cev ntawm qib zoo sib xws ntawm lub sijhawm muab sijhawm thiab cov qauv lagged ntawm nws tus kheej dhau lub sijhawm ua tiav.
Vim li cas peb suav autocorrelation?
Autocorrelation yog ib txoj hauv kev siv rau lub sijhawmtsom xam. Lub hom phiaj yog ntsuas qhov sib txheeb ntawm ob qhov tseem ceeb hauv tib cov ntaub ntawv teev nyob rau lub sijhawm sib txawv. … Yog hais tias qhov tseem ceeb hauv cov ntaub ntawv teev tsis yog random, ces autocorrelation tuaj yeem pab tus kws tshuaj ntsuam xaiv lub sijhawm tsim nyog series qauv.
