TS Module 11: simulated and actual time series HW

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NEAS	NEAS posted 16 Years Ago #8693 #
Supreme Being Group: Administrators Posts: 4.5K, Visits: 1.6K	TS Module 11: simulated and actual time series HW (The attached PDF file has better formatting) Homework assignment: Partial autocorrelations [Partial autocorrelations are covered in Module 10, along with sample autocorrelations.] A stationary ARMA process has ñ₂ = 0.20. ñ₁ ranges from 0.2 to 0.7 in units of 0.1. A. Graph the partial autocorrelation of lag 2 (ö₂₂) as a function of ñ₁. B. Explain why the partial autocorrelation is positive for low ñ₁ and negative for high ñ₁. Attachments TS Module 11 partial autocorrelations HW.pdf (1.9K views, 36.00 KB) 0
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CalLadyQED	CalLadyQED posted 14 Years Ago #10401 #
Forum Guru Group: Forum Members Posts: 62, Visits: 2	I know it's obvious what's going on with phi_22 from the formula, but I'm having trouble answering in a more conceptual, intuitive way. I guess I'm thinking the question is more like, why should the Corr(Y_t, Y_t-2\|Y_t-1) become negative when Corr(Y_t, Y_t-1) increases? Am I making this more complicated than it is? [NEAS: When the correlation for lag 1 increases, more of the correlation for lag 2 is explained by the correlation for lag 1.] 0
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