arima function returns conditional variance or unconditional variance?

1 次查看（过去 30 天）

显示更早的评论

Seraphic 2023-6-16

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/1984434-arima-function-returns-conditional-variance-or-unconditional-variance

评论： Seraphic 2023-6-17

采纳的回答： Lakshya

Hi all,

I have a quick question.

I am fitting data to AR(1) process using esitmate and arima functions. By the way, variance returned by arima function (mdl.Variance) is unconditional variance or conditional variance?

0 个评论
显示 -2更早的评论隐藏 -2更早的评论

请先登录，再进行评论。

请先登录，再回答此问题。

采纳的回答

Lakshya 2023-6-17

0
链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/1984434-arima-function-returns-conditional-variance-or-unconditional-variance#answer_1257684

Hi,

The variance returned by the arima function in MATLAB or R corresponds to the conditional variance of the AR(1) process.

Hope this answers your question

1 个评论
显示 -1更早的评论隐藏 -1更早的评论

Seraphic 2023-6-17

Thank you!

请先登录，再进行评论。

类别

Computational Finance Econometrics Toolbox Conditional Mean Models

在 Help Center 和 File Exchange 中查找有关 Conditional Mean Models 的更多信息

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by