NO.PZ2024120401000029
问题如下:
Given the following data for a set of innovations:
Calculate the time series for the following ARMA(1,1)
model, taking:
What is the value of the second number of this time series(q3) ?
选项:
A.-0.08
B.1.87
C.0.47
D.1.05
解释:
Each value is generated via the formula:
q1 = 0.5 + 0.375 * 0 + 0.375 * 0 - 0.58 = -0.08
q2 = 0.5 + 0.375 * (-0.08) + 0.375 * (-0.58) + 1.62 = 1.87 and so forth.
为什么这个公式既不是讲义上的MA,也不是讲义上的ARMA?可以进一步解释一下吗?