INFERENCE STATISTICS III QUESTION 1 Derive the forecasting formula for ARMA(1,1) model.

INFERENCE STATISTICS III

QUESTION 1

Derive the forecasting formula for ARMA(1,1) model.

Expert Solution

orchestra answered 1 year ago

Simulate 100 observations from an ARMA(1,1) model and another 30 observations from an ARMA(1,1) model both...

Simulate 100 observations from an ARMA(1,1) model and another 30 observations from an ARMA(1,1) model both with = 0.8 and = 0.3. please use Rstudio and provide the codes.

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Using R: 1. Generate AR(1), AR(2), MA(1), MA(2), and ARMA(1,1) processes with different parameter values, and draw ACF and PACF. Discuss the characteristics of ACF snd PACF for these processes. 2. Generate AR(1) process {X_t}. Compute the first difference Y_t = X_t - X_(t-1). Draw ACF and PACF of {Y_t}. What can you say about this process? Is it again a AR(1) process? What can you say in general? 3.For the AR(2) processes with the following parameters, determine if AR(2)...

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