Question: Fit the ARIMA ( 2 , 1 , 2 ) model ( 1 - 1 B - 2 B 2 ) ( 1 - B

Fit the ARIMA(2,1,2) model
(1-1B-2B2)(1-B)xt=c+(1+1B+2B2)Zt
to the transport index sample data (xt)t=160 using the Arima function from the
forecast package and write down the fitted equation. Is there any evidence that the Without using specialised R functions such as arima.sim or the like, write code to
simulate a path (hat(x)t)t=160 of the fitted ARIMA model from (c). Generate the noise as
Gaussian RVs (with appropriate variance) using R function rnorm and use initial
values hat(x)1=x1,hat(x)2=x2,hat(x)3=x3 from the sample data. Provide a plot of a simulated
Do question e
use this data xt - c(100,108.4,109.7,111.7,115.9,112.2,112.8,116,112.5,113.8,113.9,111.6,
108.5,108.7,83.4,48.8,58.2,66.8,67.5,63.8,68.5,73.6,83.1,85.5,
74.9,82.1,89.4,90.7,93,89.8,81.8,74.9,77.9,84.4,95.7,94.6,87.5,
107,115.8,111.6,119.9,126.8,127.3,127.9,132.1,135,138.7,129.3,
122.1,132.1,135.4)
 Fit the ARIMA(2,1,2) model (1-1B-2B2)(1-B)xt=c+(1+1B+2B2)Zt to the transport index sample data

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Databases Questions!