标题: Mean Reversion [打印本页]

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作者: parott    时间: 2011-7-13 13:31     标题: Mean Reversion

Does anyone know whether the mean reverting formula B0/1-B1 is used in all AR models or just AR(1). The Schweser video says it is used in AR(1) but its not clear if its just that order.

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作者: xilinx_altera    时间: 2011-7-13 13:31

I think only in AR(1).

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作者: kingstongal    时间: 2011-7-13 13:31

I think so. It is based on Xt=Xt-1

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