Question
Time Series III QUESTION 1 (a) Derive the forecasting formula for ARMA(1,1) model. (b) Explain the situations in which : (i) an AR and (ii)
Time Series III
QUESTION 1
(a) Derive the forecasting formula for ARMA(1,1) model.
(b) Explain the situations in which :
(i) an AR and (ii) an MA process is applicable?
(c) Describe the important characteristics of the partial autocorrelation function (PACF) for the following model: ARIMA(2,1,2).
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Statistical Techniques in Business and Economics
Authors: Douglas A. Lind, William G Marchal
17th edition
1259666360, 978-1259666360
