Use R to simulate and plot some data from simple ARIMA models. a. Use the following R code to generate data from an AR(1) model with ϕ 1 = 0.6 and σ 2 = 1. The process starts with y 1 = 0. 1 = 0.6 and...


Use R to simulate and plot some data from simple ARIMA models. a. Use the following R code to generate data from an AR(1) model with ϕ1
= 0.6 and σ
2
= 1. The process starts with y1
= 0.




1
= 0.6 and σ2
= 1. σ 2 = 1 The process starts with y1
= 0.


b. Produce a time plot for the series. How does the plot change as you change

1?


c. Write your own code to generate data from an MA(1) model with θ1
= 0.6 and σ2
= 1.


d. Produce a time plot for the series. How does the plot change as you change θ1
?


e. Generate data from an ARMA(1,1) model with

1
= 0.6, θ1
= 0.6 and σ2
= 1.


f. Generate data from an AR(2) model with

1
= −0.8,

2
= 0.3 and σ2
= 1. (Note that these parameters will give a non-stationary series.) g. Graph the latter two series and compare them.



May 04, 2022
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