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Ryoooh · 2020年03月01日

问一道题:NO.PZ2020011101000015 [ FRM I ]

问题如下:

Suppose all residual autocorrelations are 1.5/T1.5/ \sqrt T, where T is the sample size. Would these violate the confidence bands in an ACF plot?

解释:

No, the confidence bands are ±1.96/T\pm 1.96/ \sqrt T and so these would not. If many autocorrelations are jointly relatively large, then this series is likely autocorrelated. A Ljung-Box test would likely detect the joint autocorrelation.

回答思路不是很懂,这里为什么要用t test呢?因为题干里提到all residual autocorrelation,为什么不用F test呢?
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品职答疑小助手雍 · 2020年03月01日

同学你好,这题来自原版书(我觉得原版书出的也挺随意的),它的题面里本义写的就是t检验的内容,算是给的条件,所以就不考虑它是不是该用F test的问题了。

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