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Week 5 Quiz - ARMA Processes
Week 5 Quiz - ARMA Processes
1/1
points
1.
Recall our framework:
Θ(B)Zt = Φ(B)Xt
Θ(B)
Ψ(B) = Φ(B)
Θ(B)
Xt = Z
Φ(B) t
= Ψ(B)Zt
Xt = 0.5Xt−1 + Zt + 0.2Zt−1 .
Correct
Yes, that's terri c! We use
1+.2B
Ψ(B) = 1−.5B
1
1−.5B
= 1 + (.5B) + (.5B)2 + (.5B)3 + …
1/1
points
2.
https://www.coursera.org/learn/practical-time-series-analysis/exam/Sj5fq/arma-processes 1/3
8/5/2018 Practical Time Series Analysis - Home | Coursera
Now multiply
ARMA Processes
Ψ(B) = (1 + .2B)(1 + .5B + .25B 2 + .125B 3 + ⋯) 3/3 points (100.00%)
Quiz, 3 questions
and obtain an expression for Xt :
Correct
Good work. We multiply just as we regularly do for nite order polynomials.
1/1
points
3.
Finally, which ACF looks to be consistent with this process?
ACF1:
https://www.coursera.org/learn/practical-time-series-analysis/exam/Sj5fq/arma-processes 2/3
8/5/2018 Practical Time Series Analysis - Home | Coursera
ARMA Processes
ACF2: 3/3 points (100.00%)
Quiz, 3 questions
Correct
Good! The coe cients on the polynomial should decay rather quickly.
https://www.coursera.org/learn/practical-time-series-analysis/exam/Sj5fq/arma-processes 3/3