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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Unit root ： ウィキペディア英語版 Unit root A unit root is a feature of processes that evolve through time that can cause problems in statistical inference involving time series models. A linear stochastic process has a unit root if 1 is a root of the process's characteristic equation. Such a process is non-stationary. If the other roots of the characteristic equation lie inside the unit circle—that is, have a modulus (absolute value) less than one—then the first difference of the process will be stationary. ==Definition== Consider a discrete-time stochastic process $\backslash$, and suppose that it can be written as an autoregressive process of order ''p'': :$y\_t=a\_1\; y\_+a\_2\; y\_\; +\; \backslash cdots\; +\; a\_p\; y\_+\backslash varepsilon\_t.$ Here, $\backslash$ is a serially uncorrelated, zero-mean stochastic process with constant variance $\backslash sigma^2$. For convenience, assume $y\_0\; =\; 0$. If $m=1$ is a root of the characteristic equation: :$m^p\; -\; m^a\_1\; -\; m^a\_2\; -\; \backslash cdots\; -\; a\_p\; =\; 0$ then the stochastic process has a unit root or, alternatively, is integrated of order one, denoted $I(1)$. If ''m'' = 1 is a root of multiplicity ''r'', then the stochastic process is integrated of order ''r'', denoted ''I''(''r''). 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Unit root」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.