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Unformatted text preview: model. a. (1-0.5L) 2 y t = t b. (1-0.5L) (1+0.5L-0.2L 2 ) (1+0.3L 2 ) 2 yt =(1-0.5L) (1-0.5L+0.2L 2 ) t Soln a) p=1, d=2, 1=0 b) p=4, d=2, q=2 University of Toronto at Mississauga STA457H5F - Fall 2009 Term Test #4 2 4. (4 marks) Classify this SARIMA model. That is, state p, d, q, P, D, Q, and s. -(1-0.5L-0.1L 4 )(1-0.5L 12 )(1-L 6 ) 2 (1-L) y t =(1+0.2L 6 ) t Soln S=6, P = 2, D=2, Q=1, p=4, d=1, q=0 5. (6 marks) For each set of ACF and PACF plots, suggest a model, AR(p), MA(q), or noise If you think it is AR(p), what do you suggest for p? If you think it is MA(q), what do you suggest for q? a. b. 3 Soln a) AR(4) b) MA(1) c) Noise...
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- Spring '09