Identifying ARIMA Models. What you need to know. Autoregressive of the second order. X(t) = b 1 x(t-1) + b 2 x(t-2) + wn(t) b 2 is the partial regression coefficient measuring the effect of x(t-2) on x(t) holding x(t-1) constant
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What you need to know
X(t-1) = wn(t-1) + a1wn(t-2) + a2wn(t-3) + a3wn(t-4), γx,x (1) = [a1 + a1 a2 + a2 a3 ] σ2
X(t-2) = wn(t-2) + a1wn(t-3) + a2wn(t-4) + a3wn(t-5), γx,x (2) = [a2 + a1 a3 ] σ2
X(t-3) = wn(t-3) + a1wn(t-4) + a2wn(t-5) + a3wn(t-6), γx,x (3) = [a3 ] σ2
Gen dmcumfn =mcumfn – mcumfn(-1)
Dmcumfn c ar(1) ar(2)