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Results tagged with arima
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user 344985
Refers to the AutoRegressive Integrated Moving Average model used in time series modeling both for data description and for forecasting. This model generalizes the ARMA model by including a term for differencing, which is useful for removing trends and handling some types of non-stationarity.
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The prob. limit of the OLS estimator of AR(1) process with AR(1) errors
Given the model:
\begin{aligned}
Y_t &= \delta Y_{t-1}+u_t, \\
u_t &= \rho u_{t-1}+\epsilon_t,
\end{aligned}
where $\epsilon_t\sim i.i.d. (0,\sigma^2)$, $|\delta|,|\rho|<1$. Then how to find the prob. …
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