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Question 4 (a) Identify each of the models below as a specific ARIMA model. That is, what are p, d, and q, and what are
Posted: Mon Jul 11, 2022 11:22 am
by answerhappygod
- Question 4 A Identify Each Of The Models Below As A Specific Arima Model That Is What Are P D And Q And What Are 1 (454.02 KiB) Viewed 27 times
Question 4 (a) Identify each of the models below as a specific ARIMA model. That is, what are p, d, and q, and what are the values of the parameters p's and 0's? (i) Y₂ = 0.6Y-1 +0.2Y₁-2+e₁. (ii) YY₁-1+ e - 0.8e-1. [25 Marks] (iii) Y,= 0.4Y-1 -0.3Y-2 +0.6e, -0.5e-1. (iv) (1 − B)² Y, = (1 - 0.6B)e₁. (v) Y, 15+2Y-1-1.3Y-2 +0.3Y₁-3 + e, -0.3e₁-1 +0.6e-2 - (2 marks each = 10 marks) H (b) Describe the important characteristics of the partial autocorrelation function (PACF) for the following models: (i) MA(2), (ii) IMA(2,1), (iii) AR(2), (iv) ARI(1,2), and (v) ARIMA(1,1,2). (5 marks) (c) Write down the mathematical expression representing each of the models for (i) to (v) in (b) above. (10 marks)