问题如下:
Tom wants to predict the income of his factory in October 20X9, so he uses income of January 20X6 to September 20X9 as samples to make a AR(1) model and gets the following result: =293.5742+0.9387Xt-1.
If given the income of September 20X9 is $4957.63, based on the mean-reverting level, the predicted income of the factory in October 20X9 is most likely to be:
选项:
A.more than September’s income.
B.equal to September’s income.
C.less than September’s income.
解释:
C is correct.
考点:Covariance-stationary series and mean reversion.
解析:根据题目中给定的AR(1)方程,可以得到b0=293.5742,b1=0.9387,就可以计算均值复归水平 。因为九月的收入为$4957.63大于均值复归水平,所以预计十月的收入会小于九月的收入。选择C选项。
老师请问这个和均值复归有什么关系? 我就是直接带9月的到xt-1, 用式子算出来10月的xt,发现比xt-1大。