ITSM

Published on January 2019 | Categories: Documents | Downloads: 21 | Comments: 0 | Views: 257
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Sample ACF

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Sample Sample PA CF

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======================================== ITSM::(Maximum likelihood estimates) ========================================

Method: Least Squares ARMA Model: X(t) = Z(t) WN Variance = .002115 (Residual SS)/N = .00212944 AICC = -.476190E+03 -2Log(Likelihood) = -.478219E+03

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By doing classical transformation and seasonal component of 1 2 and quadratic trend

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ITSM::(INFO) # of Data Points =

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Sample Mean = -.3395E-13 Sample Variance = .520214E+03 Std.Error(Sample Mean) = 2.124458 (square root of (1/n)SUM{(1-|h|/r)acvf(h)}, |h|<r=[sqrt(n)]) MODEL: ARMA Model: X(t) = Z(t) WN Variance = 1.000000 Garch Model for Z(t): Z(t) = sqrt(h(t)) e(t) h(t) = 1.000000 {e(t)} is IID N(0,1) Series

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