第四章时间序列模型新的性质.ppt

第四章 时间序列模型的性质;第一节 自回归过程的性质;一、一阶自回归过程AR(1)的性质;1、平稳性和可逆性;Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.;2.ar(1)过程的自相关函数;Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.;Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.;Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.;通过上述推导可看出，当过程平稳即 时，AR(1)过程的自相关函数（ACF）呈指数衰减