Question
Statistics and Probability Consider the following models: (i) yt = 0.8yt2 + t + 0.2t1 (ii) yt = 0.8yt2 + t + 0.7t3 (iii) yt
Statistics and Probability
Consider the following models:
(i) yt = 0.8yt2 + t + 0.2t1
(ii) yt = 0.8yt2 + t + 0.7t3
(iii) yt = t
(a) Identify each of the three models as ARIMA(p, d, q) by specifying the corresponding orders p, d and q.
(b) For the model (i) derive the corresponding MA() representation and AR() representation.
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Numerical Analysis
Authors: Richard L Burden, J Douglas Faires, Annette M Burden
10th Edition
1305465350, 9781305465350
