3.8 Verify the calculations for the autocorrelation function of an ARMA(1, 1) process Compare the form with that of the ACF for the ARMA(1,0) and the ARMA(0, 1) series. Plot (or sketch) the ACFs of the three series on the same graph for = .6, 0.9, and comment on the diagnostic capabilities of the ACF in this case.

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3.8 Verify the calculations for the autocorrelation function of an ARMA(1, 1)
Compare the form with that of the ACF for
process
the ARMA(1,0) and the ARMA(0, 1) series. Plot (or sketch) the ACFS of
the three series on the same graph for o = .6, 0 = .9, and comment on the
diagnostic capabilities of the ACF in this case.
Transcribed Image Text:3.8 Verify the calculations for the autocorrelation function of an ARMA(1, 1) Compare the form with that of the ACF for process the ARMA(1,0) and the ARMA(0, 1) series. Plot (or sketch) the ACFS of the three series on the same graph for o = .6, 0 = .9, and comment on the diagnostic capabilities of the ACF in this case.
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