arma-eview application. ma process –y[i,1]=1*u[i,1]+1.5*u[i-1,1]; –ma with order of 1 –the...
Post on 20-Dec-2015
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MA Process
• MA Process– Y[i,1]=1*u[i,1]+1.5*u[i-1,1];– MA with order of 1– The Graph of Autocorrelation function– When Acf will dampen?
AR Process
• AR Process– AR with order of 2– Y[i,1]=0.8*Y[i-1,1]+ 0.6*Y[i-2,1]+3*u[i,1]– The Graph of Autocorrelation function– Stationary or Non-stationary? – Acf will damp?
AR Process
• AR Process– Y[i,1]=0.2*Y[i-1,1]+ 0.3*Y[i-2,1]+3*u[i,1]– Stationary or non-stationary?– Acf will decrease? – Autocorrelation versus partial autocorrelation
ARMA Process
• ARMA Process– Y[i,1]=0.6*Y[i-1,1]+u[i,1]+0.4*u[i-1,1]+0.2*u[i-
2,1]– Acf will dampen?