7) Suggest an appropriate specification of ARMA model for the data, for which the following results were provided to you by Matlab. Justify your choice - explain it. Write the general form of the ARMA model with the values (orders of the AR and MA part) that you have suggested. Sample Autocorrelation 1 0.8 0.6 0.4 0.2 0 -0.2 -04 0 2 4 Sample Autocorrelation Function 6 8 10 Lag 12 14 16 18 20 Sample Partial Autocorrelations 3.4214 2.9690 2.8886 2.8939 3.0126 2.9112 2.8948 2.8977 2.8597 2.8627 2.8694 2.8762 2.8527 2.8695 2.8731 2.8800 0.8 0.6 0.4 0.2 0 -0.2 -0.4 0 Sample Partial Autocorrelation Function 5 10 Lag 15 20 d the BIC matrix (BIC values for models of orders (0,0) to (3,3)) is the following one: BIC = 1.0e+03 *

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7) Suggest an appropriate specification of ARMA model for the data, for which the
following results were provided to you by Matlab. Justify your choice – explain it. Write
the general form of the ARMA model with the values (orders of the AR and MA part)
that you have suggested.
Sample Autocorrelation Function
Sample Partial Autocorrelation Function
0.8
0.8
0.6
0.6
0.4
0.4
0.2
0.2
-02
-02
-04
-0.4
10
12
14
16
18
20
10
15
20
Lag
Lag
And the BIC matrix (BIC values for models of orders (0,0) to (3,3)) is the following one:
BIC =
1.0е-03 *
3.4214 2.9690 2.8886 2.8939
3.0126 2.9112 2.8948 2.8977
2.8597 2.8627 2.8694 2.8762
2.8527 2.8695
2.8731 2.8800
Sample Autocorrelation
Sample Partial Autocorrelations
Transcribed Image Text:7) Suggest an appropriate specification of ARMA model for the data, for which the following results were provided to you by Matlab. Justify your choice – explain it. Write the general form of the ARMA model with the values (orders of the AR and MA part) that you have suggested. Sample Autocorrelation Function Sample Partial Autocorrelation Function 0.8 0.8 0.6 0.6 0.4 0.4 0.2 0.2 -02 -02 -04 -0.4 10 12 14 16 18 20 10 15 20 Lag Lag And the BIC matrix (BIC values for models of orders (0,0) to (3,3)) is the following one: BIC = 1.0е-03 * 3.4214 2.9690 2.8886 2.8939 3.0126 2.9112 2.8948 2.8977 2.8597 2.8627 2.8694 2.8762 2.8527 2.8695 2.8731 2.8800 Sample Autocorrelation Sample Partial Autocorrelations
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