Question: 4. Consider the ARMA (2, 3) process, Y = 0.1Y-1+0.12Y-2+Zt+0.3Z-1 -0.04Z-2 -0.012Z1-3, where {Z} is a white noise process with unit variance. It is

4. Consider the ARMA (2, 3) process, Y = 0.1Y-1+0.12Y-2+Zt+0.3Z-1 -0.04Z-2 -0.012Z1-3, where {Z} is a white noise process with unit variance. It is known that the above process is overestimated. (a) Suggest a parsimonious model for the above process. [4 marks] [4 marks] (b) Hence, determine the stationarity and invertibility of the process. (c) Find the first three lags of the autocorrelation function (ACF) for the process. [12 marks] (d) Find the first three lags of the partial autocorrelation coefficients. [5 marks]

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