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Lesson 15: Building ARMA models. Examples

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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