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2024-11-03 21:27easonality is included in an ARMA model by multiplying the short-run lag polynomial by a seasonal lag polynomial.什么意思?。?/h3>
所屬:FRM Part I > Foundations of Risk Management
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黃石助教
2024-11-06 14:48
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同學(xué)你好。這個(gè)知識(shí)點(diǎn)的話涉及得比較深了。Seasonality如果細(xì)分可以分為deterministic seasonality和stochastic seasonality,其中deterministic seasonality不平穩(wěn),是用啞變量方法進(jìn)行建模,stochastic seasonality有時(shí)是平穩(wěn)的,此時(shí)可以用ARMA模型進(jìn)行建模。從考試的角度來(lái)說(shuō)稍微了解一下就可以。
