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小一一 · 2021年04月19日

请问为什么说shock是unobservable的

  1. FRM I
  2. Quantitative

NO.PZ2019040801000060

问题如下：

The following statements are about the autoregressive moving average process. Which of them is correct?

I. It combines the lagged unobservable random shock of the MA process with the observed lagged time series of the AR process.

II. It involves autocorrelations which decay gradually.

选项：

A.

I only.

B.

II only.

C.

Both I and II.

D.

Neither I nor II.

解释：

C is correct.

考点：Autoregressive Moving Average Process

解析：这两个结论都是正确的，是autoregressive moving average process的性质。

没有明白unobsevable

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1 个答案

小刘_品职助教 · 2021年04月19日

同学你好，

这个是之前原版书上的描述，直接把他理解成随机项就好了~（因为这个随机项是从观测到的值分离出来的，所以之前加了一个unobsevable的修饰）

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