Vim li cas autocorrelation phem?
Vim li cas autocorrelation phem?

Video: Vim li cas autocorrelation phem?

Video: Vim li cas autocorrelation phem?
Video: Machine Learning with Python! Train, Test, Split for Evaluating Models 2024, Kaum ib hlis
Anonim

Hauv cov ntsiab lus no, autocorrelation ntawm cov residuals yog ' phem ', vim nws txhais tau tias koj tsis ua qauv kev sib raug zoo ntawm cov ntaub ntawv txaus txaus. Qhov laj thawj tseem ceeb vim li cas tib neeg tsis sib txawv ntawm cov koob yog vim lawv yeej xav ua qauv txheej txheem raws li nws yog.

Yog li ntawd, vim li cas peb thiaj xav tau autocorrelation?

Autocorrelation tseem hu ua serial correlation, yog kev sib raug zoo ntawm lub teeb liab nrog ib daim ntawv ncua ntawm nws tus kheej raws li kev ua haujlwm ntawm kev ncua. Nws yog feem ntau siv hauv cov teeb liab ua rau kev txheeb xyuas cov haujlwm lossis cov txiaj ntsig, xws li lub sijhawm sau cov cim.

Tsis tas li ntawd, Durbin Watson qhia peb li cas? Hauv kev txheeb cais, cov Durbin – Watson statistic yog ib qho kev xeem statistic uas siv los txheeb xyuas qhov muaj autocorrelation ntawm lag 1 nyob rau hauv cov seem (kev twv ua ntej yuam kev) los ntawm kev soj ntsuam regression.

Ib yam li ib tug yuav nug, dab tsi yog qhov tshwm sim ntawm autocorrelation hauv linear regression?

Cov cuam tshuam ntawm autocorrelation ntawm qhov yuam kev ntawm cov cuab yeej sib xws ntawm OLS tus kwv yees. Hauv ib linear regression qauv txawm tias qhov yuam kev yog autocorrelated thiab tsis yog qhov zoo tib yam qhov tsawg tshaj plaws squares (OLS) kwv yees ntawm regression coefficients () converges nyob rau hauv probability rau β.

Yuav ua li cas yog tias cov ntsiab lus yuam kev sib raug zoo?

Cov ntsiab lus yuam kev tshwm sim thaum tus qauv tsis yog qhov tseeb thiab ua rau muaj qhov sib txawv thaum lub sijhawm siv tiag tiag. Thaum yuam kev cov ntsiab lus los ntawm qhov sib txawv (feem ntau nyob ib sab) lub sij hawm (los yog hla ntu kev soj ntsuam) yog kev sib raug zoo , cov yuam kev term yog serially kev sib raug zoo.

Pom zoo: