【未解决，若是有好的答案，论坛币照付】200币求助计量问题

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哪位大侠能帮忙解答下一个计量问题：

对于AR（1）模型：X_t = a + b * X_{t-1} + u_t，一般都是假设参数b的绝对值小于1。若是参数b大于1,如何求自相关函数（autocorrelations）？

若是以上问题不好回答，那么推荐一个解决non-stationary process的autocorrelations问题的例子也可。

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关键词：计量问题 论坛币 correlations correlation stationary 200

Hi，I have a question, have u read a paper about how to calculate the ACF of non-stationary process? If you have, please show me one.

Tks.

jigesi 发表于 2012-7-20 06:47
Hi，I have a question, have u read a paper about how to calculate the ACF of non-stationary process? ...

Sorry, I havent.

In fact, I am looking for a paper relative to this problem.

the property of a stationary process  ACF-r(l, m)=r(l+t, m+t), not related to t. if the process is non-stationary, the ACF is at variance with t, different t with different ACF, the function is unbestimmt.

jigesi 发表于 2012-7-20 07:12
the property of a stationary process  ACF-r(l, m)=r(l+t, m+t), not related to t. if the process is n ...

Thanks for your comment. Yes, I see.

I am try to overcome the problems, e.g. the one you stated.

At least, I hope I can derive some properties or something I can say to the ACs

welcome and good luck

jigesi 发表于 2012-7-20 07:33
welcome and good luck

Thanks.