题目6043 · 随机过程
Autocorrelation of a Stationary OU Process at a Lag
A stationary OU process has mean-reversion speed kappa = 0.7. What is the autocorrelation between X_t and X_{t+2}?
打开 →找到 12 个结果
中文题目题目2672 · 机器学习
Autocorrelation-Corrected Sample Size
A monthly feature is observed for 60 months and behaves roughly like an AR(1) series with lag-1 autocorrelation $\rho=0.6$. Using the heuristic $n_\text{eff}\approx n(1-\rho)/(1+\rho)$, what is the effective sample size?
打开 →题目6038 · 统计
Sign and Size of Lag-1 Autocorrelation
A stationary spread obeys X_(t+1) = -0.4 X_t + epsilon_(t+1) with iid zero-mean shocks. What is the lag-1 autocorrelation of X_t, and what does its sign say about period-to-period dynamics?
打开 →题目1931 · 统计
Effective Sample Under Serial Dependence 1
A return series has 240 observations and lag-1 autocorrelation 1/5. Using the heuristic n_eff = n * (1-rho)/(1+rho), what is the effective sample size?
打开 →题目1826 · 统计
MA(1) Lag-1 Correlation 1
A microstructure noise model uses Y_t = e_t + 0.5 e_(t-1). What is its lag-1 autocorrelation rho(1)?
打开 →题目1828 · 统计
MA(1) Lag-1 Correlation 3
A microstructure noise model uses Y_t = e_t + -0.4 e_(t-1). What is its lag-1 autocorrelation rho(1)?
打开 →题目1829 · 统计
MA(1) Lag-1 Correlation 4
A microstructure noise model uses Y_t = e_t + 1 e_(t-1). What is its lag-1 autocorrelation rho(1)?
打开 →题目1811 · 统计
Validity or Stationarity Check 1
Consider the proposal rho(h)=0.8^|h|. Is it valid from a stationarity / autocorrelation perspective?
打开 →题目1812 · 统计
Validity or Stationarity Check 2
Consider the proposal rho(1)=1.2. Is it valid from a stationarity / autocorrelation perspective?
打开 →题目1813 · 统计
Validity or Stationarity Check 3
Consider the proposal An AR(1) with phi = 1.03. Is it valid from a stationarity / autocorrelation perspective?
打开 →题目1814 · 统计
Validity or Stationarity Check 4
Consider the proposal An AR(1) with phi = -0.6. Is it valid from a stationarity / autocorrelation perspective?
打开 →题目1815 · 统计
Validity or Stationarity Check 5
Consider the proposal An MA(1) claiming rho(1)=0.7. Is it valid from a stationarity / autocorrelation perspective?
打开 →