- CFA Exams
- CFA Level I Exam
- Study Session 2. Quantitative Methods (1)
- Reading 6. Time-Series Analysis
- Subject 2. Autoregressive (AR) Time-Series Models

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**CFA Practice Question**

An autoregressive process:

A. has a limited memory

B. remembers where it was

C. remembers its changes

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**User Contributed Comments**
3

User |
Comment |
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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. |