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STTN315
Contents
Introduction
AR(1)
For the AR(1) model, recall that
k = k1 , k = 0, 1, 2, . . .
AR(2)
For the AR(2) model, recall that
k
1 + 2 1
k = 1 + k , k = 0, 1, 2, . . .
1 2 2
MA(q)
k + 1 k+1 + 2 k+2 + + qk q
for k = 1, 2, . . . , q
1 + 12 + + q2
k =
0 for k > q
ARMA(1,1)
(1 1 1 )(1 1 ) k1
k = 1 , k = 1, 2, . . .
1 21 1 + 12
1 (1 + 21 )(1 2k
1 ) 2k
Var(rk ) 2k1
n 1 21
1 (1 + 21 )
Var(rk )
n 1 21
H0 : k = 0 vs. HA : k 6= 0
How?
First we need to estimate these variance expressions though.
How would we do that?
Partial Correlation
and
Cov (Yt Ybt )(Ytk Ybtk ) = k 1 k1 k1 1
Therefore
k 1 k1 k1 1
kk =
0 1 1 k1 k1
0
Multiplying by 0 we get
k 1 k1 k1 1
kk =
1 1 1 k1 k1
2 21 21 21
22 = = = 0.
1 21 1 21
This holds for all k > 1 in an AR(1) process.
STTN315 STTN315 Chapter 6
Autocorrelation Function Basic partial correlation (not auto)
Sample Autocorrelation function Partial Autocorrelation Function
Partial Autocorrelation Function Sample Partial Autocorrelation Function
Note that for a MA(1) process, the 2nd lag PACF is given by
1k (1 12 )
kk = 2(k+1)
, k 1.
1 1