H10 - H10 Fitting an appropriate ARMA( , ) p q model, 2 1 1...

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Unformatted text preview: H10 Fitting an appropriate ARMA( , ) p q model, 2 1 1 1 1 , { } ~ (0, ) t t p t p t t q t q t X X X Z Z Z Z W N = + + + + + + , to an observed time series data set ( 1 , ... , n x x ) involves determining the order ( , ) p q (model identification), estimating the parameters of the model ( 1 1 , ..., , , ..., , p q and 2 ), diagnostic checking Model Identification Among various methods and criteria for selecting the orders of an ARMA model are those using 1) ACF and PACF 2) AIC or other information criteria. Parameter Estimation The Y ule-Walker method. The Maximum Likelihood Method Let 1 , , n X X be iid random variables with with pdf ; ( ) f x . The likelihood function , 1 2 ( , ) ( , ) ... ( , ) ( ) n n L f x f x f x = , is the joint pdf treated as a function of the parameter ....
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H10 - H10 Fitting an appropriate ARMA( , ) p q model, 2 1 1...

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