Unformatted text preview: ARIMA (0 , , 1) × (1 , , 0) 12 model with Φ = 0 . 8 and θ = 0 . 5. 4. (1 point each) Calculate and plot the impulse weights for the following transfer functions. (a) ν ( B ) = B/ (1 ± . 8 B ) (b) ν ( B ) = (3 + 2 B ) / (1 + 0 . 6 B ) 5. (2 points) Consider the following ARMA(1,1) process: (1 ± . 4 B ) x t = (1 + 0 . 8 B ) w t , where w t is a white noise series with zero mean and constatnt variance 1. Calculate the cross correlation function between x t and w t ....
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 Spring '08
 MACKGALLOWAY
 Autocorrelation, ARIMA model xt, tq + xt

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