Transcription of Lesson 15: Building ARMA models. Examples
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Lesson 15: Building ARMA models. Examples
Lesson 15: Building ARMA models. Examples Umberto Triacca Dipartimento di Ingegneria e Scienze dell'Informazione e Matematica Universita dell'Aquila, Umberto Triacca Lesson 15: Building ARMA models. Examples Examples In this Lesson , in order to illustrate the time series modelling methodology we have presented so far, we analyze some time series. Umberto Triacca Lesson 15: Building ARMA models. Examples example 1. By using a computer program we have generated a time series graph of the series is presented in the following figure Figure : A simulated time series Umberto Triacca Lesson 15: Building ARMA models.
foreign exchange rate Lira per US Dollar. Figure :SACF and SPACF for the logarithmic change in the foreign exchange rate Lira per US Dollar. Examination of the two graphs suggests that an AR(1) model can be appropriate. In particular, the SPACF is such that ˚ 11 = 0:3607 and cuts o to -0.0022 abrutly (i.e. ˚ 22 = 0:0022. Thus the SPACF is ...
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