ARMA Stationarity, Invertibility, and Causality [Time Series]
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- Опубликовано: 30 сен 2024
- Determining the stationarity, causality, and invertibility of an ARMA(p,q) time series.
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keep on making more videos! love your clear delivery.
dumb question but if you have say xt=5-0.55xt+zt, what happens to the constant ? Does the backshift equation become (-4-0.55b)=zt?
Why does Your Model have 2 Xt values and no Zt-1 or Xt-1 terms.
I think the model you gave is not proper.
However your questions surrounds 5 i.e a constant value which we can Consider as Drift Mew. For such problem our prof have told us to simply take Yt= Xt-5. And then it's easier.
I think you made a mistake in the second example, several resources state that if |θ| < 1 then the process is invertible, which in this case it is less than 1. Same rule applies for causality but with φ.
I wish my tuition went to you instead of my professors
you sound like penny from big bang tv show
Thank you for your kind explanation!
Best video i've ever seen in explaining ARMA, tysm!
Thumps up. This video is dope
Thank you very much for making such a concise video!
you should not use the lettter Z in the two different meanings as here. once it a complex variable, and once a white noise process. why don't you just use B in the first case?
i think you made a mistake in the first example. θ(B) >1 should be for function invertible.
same question, it should be > 1, not >=1
Thanks for the video. Please confirm if the quadratic is right?
looked right to me, did you think something was wrong?
Al parecer utilizaste mal la fórmula cuadrática para encontrar las raíces de los phi
Amazing
can you explain why does the 3 properties apply?
3:12
thanks for this video
i'm confuse because I don't understand why you say that -8 is > - 1 and then lies into the unit circle . Isn't it the contrary?
It's -0.8 not -8 !
@@mathetal ok ! thanks
@@mathetal hi! Isn't -0.8 < -1.0, which means it's in the unit circle. Plus, you drew the dot on the y-axis to show that.
@@zuriatiwenger6480 -0.8 is greater than -1, it is to the right of -1.
Is it easier to understand if said as -0.8 is between -1 and 1, so it is inside the unit circle. And that means it fails the test?