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Practice question 2: Consider the ARIMA(1,1,0) model (1 B )(1 + 0.9 B ) X t = at , a t ~ NID(0, 2 ) . The most recent 8 observations for 1989 to 1996 were ( X 89 , , X 96 ) = (0,0.1,1.5,2.2,4.3,4.9,7.2,6.3) . (a) Write out the recursive formula for the X
Practice question 2: Consider the ARIMA(1,1,0) model (1 B )(1 + 0.9 B ) X t = at , a t ~ NID(0, 2 ) . The most recent 8 observations for 1989 to 1996 were ( X 89 , , X 96 ) = (0,0.1,1.5,2.2,4.3,4.9,7.2,6.3) . (a) Write out the recursive formula for the X
University of Toronto
STA457H1 S/STA2202H S Time Series Analysis Final Exam (April 29, 2008) Exam time: 0700-1000 pm Name Student number Course number
1
Question 1) Define and Explain
a. (10%) I(0), I(1) and I(d) processes (processes of integrated of orde
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Assignment #2 STA457H1S/2202H1S
Due Wednesday February 24, 2016
Instructions: Students in STA457 do problems 1 through 3; those in STA2202 do all 4
problems.
1. Using the arima.sim function in R, simulate 200 observations from the following AR(2)
and MA(2