Archie · 2022年05月03日

y0 等于0

1. FRM I
2. Quantitative

* 问题详情，请 查看题干

NO.PZ202001110100001301

问题如下：

a. Calculate the time series for the following AR(1) model, taking $y_0 = 0, \delta = 0.5, and \phi = 0.75$.

解释：

$Y_t = \delta + \phi_{Y_{t - 1} + \epsilon_t}$

Each value is generated via the formula:

y1 = 0.5 + 0.75 * 0 - 0.58 = -0.08

y2 = 0.5 + 0.75 * (-0.08) + 1.62 = 2.12

and so forth.

我不理解的是，他有0.5这一项了，y取啥他都不能变成0啊