A Solution Manual for: Statistics and Data Analysis for Financial Engineering by David Ruppert by Weatherwax John

A Solution Manual for: Statistics and Data Analysis for Financial Engineering by David Ruppert by Weatherwax John

Author:Weatherwax, John [Weatherwax, John]
Language: eng
Format: epub
Published: 2015-02-26T16:00:00+00:00


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Exercise 10.6

Part (a): For this time series each of the differenced autocorrelation function does not look uniformly “flat”. This makes modeling this time series difficult since it does not seem to fit nicely into a particular case. Rather than puzzle over the ACF functions in an attempt to figure out what model fits best we will use a data driven approach and let the auto.arima function in the forecast package give us an estimated model. Running this command on the unemp data gives

> auto.arima(unemp,ic="aic")



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