Kev taug kev tsis ncaj ncees (hauv txhua qhov loj me) yog qhov piv txwv ntawm a martingale. … Cov kab ke no yog li no ib tug martingale. Cia Y =X 2 − n qhov X yog tus twv txiaj muaj txiaj ntsig los ntawm qhov piv txwv dhau los. Tom qab ntawd cov kab ke {Y : n=1, 2, 3, … } yog martingale.
Puas random taug kev nrog Drift a martingale?
1.7. Piv txwv li: A random taug kev yog martingale yog tias nws muaj xoom drift. Ib txoj hauv kev kom tau txais martingale yog pib nrog qhov sib txawv ntawm qhov sib txawv, F(ω), thiab txhais Ft=E[F | Ft].
Koj tuaj yeem qhia tau li cas yog tias nws yog martingale?
Y
In general, if Yt+1-Y t=bt(Xt 1-Xt) qhov twg (Xt , ℱt) yog martingale thiab bt ntsuas tau ℱt, ces Yt kuj yog martingale nrog hwm ℱt
Tus qauv random taug kev yog dab tsi?
1. Ib qho ntawm cov qauv yooj yim tshaj plaws thiab tseem ceeb tshaj plaws nyob rau hauv lub sij hawm series forecasting yog random taug kev qauv. Cov qauv no xav tias nyob rau hauv txhua lub sij hawm qhov sib txawv yuav siv sij hawm random mus deb ntawm nws tus nqi dhau los, thiab cov kauj ruam yog ntawm nws tus kheej thiab sib faib nyob rau hauv loj("i.i.d.").
Puas asymmetric random taug kev martingale?
Asymmetric random taug kev
is a martingale. Qhov tseem ceeb yog lub sij hawm \(n(p-q)) compensates rau drift thiab 'restores fairness'.
