ECMT 2130
Tutorial 09
Admin
• Assignment 09 due by Nov 07
• What to expect
This week
• Autoregressive Moving Average Models (ARMA)
• ARMA(P,Q) Properties
• ARMA Estimation
• Testing in ARMA
• Tutorial Questions
Mathematical concepts
• The lag operator, L
• Autocorrelation
Moving average
Autoregressive (AR) processes
Mixed processes ARMA(P;Q)
Properties of ARMA Models
• 1) Invertibility
Properties of ARMA Models
• 1) Invertibility
• 2) Stationarity
• 3) Causality
Partial autocorrelation function
Summary
• ACF plot for MA model! (Cut off abruptly after order Q)
• PACF for AR model!(Cut off abruptly after order P)
• Invertibility uses MA coefficients
• Stationarity and causality uses AR coefficients