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ZF Everyday · 2021年05月03日

B为什么对

  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。

MA不是针对shock的模型么？滞后项是？

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小刘_品职助教 · 2021年05月03日

同学你好，

这道题考察的对象是ARMA 而不是MA。所以statement 2描述的是对的，AR模型里有autocorrelation decay。

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