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STAT 4440/8446 Homework Assignment 5
STAT 4440/8446 Homework Assignment 5
Shuvomoy Chowdhury
Due date: March 11, 2019
2. (3 points) Consider the ARMA(1, 2) model
?? = 0.7??−1 + ?? + 0.8??−1 − 0.6??−2
3. Assume that ?? is a white noice process with zero mean and unit variance (??
2 = 1).
Find the numerical values of ?0, ?1 and ?2 by formula. Also find a recursive
relationship between ?? and ??−1 for k > 2.
Answer :
ARMAacf(ar = c(0.7), ma = c(0.8, -0.6), lag.max = 2)
## 0 1 2
## 1.0000000 0.6725806 0.3062903
Comment: Here ?0 = 1, ?1 = 0.672 and ?2 = 0.306
3. (5 points) Consider an AR(1) model with
? = 0.6
(a) Calculate ?1, ?7, ???(?1), ???(?7) by formula.
Answer : For AR(1) model we have given
? = 0.6
We...