Question

Give an example of i) ARIMA(1,1,1) process ii) not invertible and not causal ARMA(2,2) process

Give an example of
i) ARIMA(1,1,1) process
ii) not invertible and not causal ARMA(2,2) process
Math   Advanced-Math   
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Answer #1

library(forecast)
forecast(Arima(y,order=c(1,1,1),include.drift=T),h=12)
Point Forecast Lo 80 Hi 80 Lo 95 Hi 95
1001 277.3508 276.0693 278.6324 275.3908 279.3108
1002 277.4945 275.4878 279.5012 274.4255 280.5635
1003 277.6748 275.0224 280.3272 273.6182 281.7313
1004 277.8816 274.6349 281.1283 272.9162 282.8471
1005 278.1077 274.3089 281.9066 272.2979 283.9175
1006 278.3478 274.0336 282.6619 271.7498 284.9457
1007 278.5979 273.8010 283.3948 271.2617 285.9341
1008 278.8554 273.6047 284.1060 270.8252 286.8855
1009 279.1181 273.4395 284.7967 270.4335 287.8028
1010 279.3847 273.3011 285.4684 270.0806 288.6889

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