- 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 O 1 (32.48 KiB) Viewed 41 times
(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 o
-
answerhappygod
- Site Admin
- Posts: 899604
- Joined: Mon Aug 02, 2021 8:13 am
(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 o
(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 φ 's and θ 's? (i) Yt=0.6Yt−1+0.2Yt−2+et. (ii) Yt=Yt−1+et−0.8et−1. (iii) Yt=0.4Yt−1−0.3Yt−2+0.6et−0.5et−1. (iv) (1−B)2Yt=(1−0.6B)et. (v) Yt=15+2Yt−1−1.3Yt−2+0.3Yt−3+et−0.3et−1+0.6et−2 (2 marks each = 10 marks) (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)
Join a community of subject matter experts. Register for FREE to view solutions, replies, and use search function. Request answer by replying!