STAT 804: 97-3

Assignment 4

Suppose that is an ARMA(1,1) process

1. Suppose we mistakenly fit an AR(1) model (mean 0) to X using the Yule-Walker estimate

   

   In terms of , and what is close to?

2. If we use this AR(1) estimate and calculate residuals using what kind of time series is ? What will plots of the Autocorrelation and Partial Autocorrelation functions of this residual series look like?

DUE: November 28.