Question
Consider two models: A: Y t = 0.9Y t 1 + 0.09Y t 2 + e t and B: Y t = Y t 1
Consider two models: A: Yt = 0.9Yt 1 + 0.09Yt 2 + et and B: Yt = Yt 1 + et 0.1et 1.
(a) Identify each as a specific ARIMA model. That is, what are p, d, and q and what are the values of the parameters, 's and 's?
(b) In what ways are the two models different?
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Real Mathematical Analysis
Authors: Charles C Pugh
2nd Edition
3319177710, 9783319177717
