Time Series Lecture 3 - Time Series Models for B i Business TSMB Lecture 3 1 3 Nonstationary y Models and Regression In this chapter we will examine the

Time Series Lecture 3 - Time Series Models for B i Business...

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Time Series Models for B i Business TSMB Lecture 3 1
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3 . Nonstationary Models and Regression In this chapter we will examine the problem of finding the problem of finding an appropriate model for data that does not seem to be that does not seem to be generated by t ti ti i a stationary time series. 2
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Nonstationary Data If the data (i) hibit t d i ti f t ti it (i) exhibit no apparent deviation from stationarity, a nd, (ii) have a rapidly decreasing ACVF, then, we attempt to fit an ARMA model to the mean-corrected data using the techniques of Chapter 2 using the techniques of Chapter 2. If (i) and/or (ii) are not satisfied, then then, differencing often achieves this, leading us to consider the class of ARIMA models. 3
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