TS Module 11: simulated and actual time series HW

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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.