求助,随机求助,
证明,标准化残差(standardized residual) 是一个白噪声 (white noise)
Zt=Ut/Ht^0.5 , Zt 就是标准化车残差, 证明其为白噪声
Ut 随机扰动项(error term), Ut~ID(0,Ht) ID 是 independently distribution
Ht 是Ut的方差
具体内容是下面那个图,谢谢大家!!!
[此贴子已经被作者于2009-3-7 8:03:40编辑过]
楼主: omega1027
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[求助]证明,标准化残差是个白噪声 |
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回帖推荐Notice that Ht is F(t-1) measurable, thus the conditional expectation of E(Zt|F(t-1))=E(Ut/Ht^0.5|F(t-1))=0,thus a m.d.s, which is a special case. I don't know here what do you mean by "strict white noise". If ut means serial uncorrelated, then m.d.s. has implies serial uncorrelated.
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