Time Series Analysis and Its Applications by Robert H. Shumway & David S. Stoffer

Author:Robert H. Shumway & David S. Stoffer
Language: eng
Format: epub
Publisher: Springer International Publishing, Cham

Problems

Section 5.1

5.1 The data set arf is 1000 simulated observations from an ARFIMA(1, 1, 0) model with ϕ = . 75 and d = . 4. (a)Plot the data and comment.

(b)Plot the ACF and PACF of the data and comment.

(c)Estimate the parameters and test for the significance of the estimates and .

(d)Explain why, using the results of parts (a) and (b), it would seem reasonable to difference the data prior to the analysis. That is, if x t represents the data, explain why we might choose to fit an ARMA model to ∇x t .

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