AR1模型与时间序列分析方法探讨.pdfVIP

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$\operatorname{cl}\left({{x}_{i}+{y}_{j}}\right)=\operatorname{cl}{left({x}_{i}+

{y}_{j}\right)}_{j=1,\cdots{n}_{i}}$

(5.a)

$\therefore{a}_{1}=\frac{1}{2},{a}_{n+1}=\frac{{a}_{n}}{2}-\frac{1}{{a}_{n}}.$

AR(1)“noise”:

(Y…Y)

1n

y  ϕx+η

jjj

(Regression)

2.y  ϕy+y

jj−1j

regrsinofyon15most

(2)→  AR(1)

auto-regression

moregenerally:

y  ϕy+…+ϕy+η

j1j−1p