我搜集100个英国富时100指数(FTSE100)的月份LOG收益， 如下

此外，我试验过N次不同的PQ组合发现    Schwarz criterion  总是在5.8左右，不是说这个数值越小越好么，可是总是也小不下去阿。

小弟我现在实在是找不出一个好的ARMA模型的P和Q，我也不会看那个自回归图， 请达人帮忙啊

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-4.70970778715307
1.2988771087967
1.19809739850183
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-4.9215236334578
5.74611096590926
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-8.62327024311336
2.74177144562663
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3.29352612727469
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3.16017087761025
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4.68643678728639
1.27461112423072
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0.751004114355614
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2.36651643457591
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3.35635610550076
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1.97203914093142
3.5432070839999
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4.06808141709946
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3.35267924074718

[此贴子已经被作者于2009-1-4 5:46:19编辑过]