孙同学2018-10-18 23:02:49

2、对于AR(P)的模型，记得周琪老师的视频是说，从Xt-1、Xt-2一直试到Xt-p，看到底从滞后多少期P开始r（Xt-p，Y）=0，就用到AR(P)；但是比如原本书后题目第4题B答案：we should first estimate an AR(1) model and test to see whether the residuals from this model have significant serial correlation. If the residuals do not display significant serial correlation, we should use the AR(1) model. If the residuals do display significant serial correlation, we should try an AR(2) model and test for serial correlation of the residuals of the AR(2) model. We should continue this procedure until the errors from the final AR(p) model are serially uncorrelated. 说的又是看残差从哪一期开始没有自相关，如果没有就用到AR（P），这个AR（P）到底是啥意思？