AR的Wold分解和自相关


3

是否可以使用Wold分解为AR(2)平稳模型检索到一定滞后的自相关(值或任何其他信息)?

例:

Xt=0.32Xt−1+0.51Xt−2+εt

滞后聚形式

(1−0.32L−0.51L2)Xt=εt

字符式

Z2−0.32Z−0.51=0

尔德分解形式:(LJ:−ϕ1ψj−1−ϕ2ψj−2+ψj=0)

L0:ψ0=0

L1:−0.32ψ0−ψ1=0

L2:−0.32ψ1−0.51ψ0+ψ2=0

L3:−0.32ψ2−0.51ψ1+ψ3=0

L4:−0.32ψ3−0.51ψ2+ψ4=0


在此处输入链接描述 ACVF是尾部的函数,ACF是ACVF除以该函数的方差
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