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比如世界 · 2020年03月27日

问一道题:NO.PZ2019040801000059

问题如下:

The purpose of more than one order lagged moving average process is to:

选项:

A.

invert the moving average process to make the formula more useful.

B.

add exactly two additional lagged variables to the original specification, because 2-nd order moving average estimates most accurately.

C.

add another error term to an MA(1) process.

D.

add as many additional lagged variables as needed to more robustly estimate the data series.

解释:

D is correct.

考点:MA Process and AR rocess

解析:在移动平均过程中用很多自变量的意义是为了获得更好的因变量的估计,多滞后几个数据进行估计有时候会获得更可靠的结果。

加更多的自变量会使得模型变得复杂,这个原理是否和d选项存在冲突呢?谢谢

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小刘_品职助教 · 2020年03月28日

同学你好,

二者并不矛盾。模型变得复杂也使得模型估计的结果更可靠(或者换个角度理解为更接近真实的结果),其实你说的展开一点可以这么理解:模型是根据一系列已知的数据(训练集)推算出来的,模型的复杂程度提高了本身在这个训练集的预测精度(题目中的点),但你可能担心的是这个过复杂的模型在新的环境中(测试集)模拟结果不好,二者论述并不在一个纬度上。

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