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Cooljas · 2022年07月28日

可以详细解答下解题步骤吗？没太看懂答案...

  1. FRM I
  2. Quantitative

NO.PZ2020011101000020

问题如下：

Suppose an hourly time series has a calendar effect where the hour of the day matters. How would the dummy variable approach be implemented to capture this calendar effect? How could differencing be used instead to remove the seasonality?

选项：

解释：

Let s = 24 represent the hour of the day in military time (e.g. 13 = 1 p.m.). Then Yt=g(t)+γ1I1t+...+γ23I23t+ϵtY_t = g(t) + \gamma_1I_{1t} + ... + \gamma_{23}I_{23t} + \epsilon_t.

Differencing this series can be achieved by looking at observation 24 periods (hours) apart from each other (the following presumes that the error terms are iid and normal):

Yt+24−Yt=g(t+24)−g(t)+ϵt+24−ϵtY_{t + 24} - Y_t = g(t + 24) - g(t) + \epsilon_{t + 24} - \epsilon_t

Once the deterministic time trend is removed the remaining is a covariance-stationary MA(1) process.



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DD仔_品职助教 · 2022年07月29日

嗨，从没放弃的小努力你好：


同学你好，

这道题是老师上课讲过的例题，一模一样的，在讲义的302页，具体是seasonality这个视频1.5倍速17分钟开始。

这里建议同学回去听一下老师的讲解，肯定比我打字解释的清楚。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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