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Question

Time Series III


QUESTION 1

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(a) Derive the forecasting formula for ARMA(1,1) model.


(b) Explain the situations in which :

(i) an AR and (ii) an MA process is applicable?


(c) Describe the important characteristics of the partial autocorrelation function (PACF) for the following model: ARIMA(2,1,2).

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