CFA Practice Question

There are 208 practice questions for this study session.

CFA Practice Question

An autoregressive process:
A. has a limited memory
B. remembers where it was
C. remembers its changes

User Contributed Comments 3

User Comment
jpducros anyone understand this question ?
maratlom in autoregression process value at t is based on t-1,...,t-n, thus value at t has a "memory" of what was before for n periods. the tricky moment that this memory is limited by n (e.g. for AR(1) the process remember only previous value)
truss88 The basic autoregressive model is AR(1) where X_t = a + bX_t-1 + e_t. So at time t the process "remembers" where it was at time t-1. The alternative would be X_t = a + e_t, which is white noise, which has no memory since X_t just depends on the random noise at time t.
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