ARMA Models - Definitions and Stochastic Properties - ARMA Models - AR e.g. AR
5 important questions on ARMA Models - Definitions and Stochastic Properties - ARMA Models - AR e.g. AR
Explain how/why the stable AR(1) process is restrictive, compared to the Wold decomposition
What is the "stability condition"?
For a stable AR(1) model, which moments change over time?
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What is the stationarity lemma, and what is its significance?
Its significance is that it makes deriving the unconditional moments (mean, variance and autocovariance) easier
Assuming the stationarity lemma, derive the simple variance of an AR(1) model
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