Question: Statistics and Probability Consider the following models: (i) yt = 0.8yt2 + t + 0.2t1 (ii) yt = 0.8yt2 + t + 0.7t3 (iii) yt

Statistics and Probability

Consider the following models:

(i) yt = 0.8yt2 + t + 0.2t1

(ii) yt = 0.8yt2 + t + 0.7t3

(iii) yt = t

(a) Identify each of the three models as ARIMA(p, d, q) by specifying the corresponding orders p, d and q.

(b) For the model (i) derive the corresponding MA() representation and AR() representation.

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