Mathematics · Time Series Analysis
A process {xt} defined by xt = α1xt-1 + α2xt-2 + ... + αrxt-r + εt (where {εt} is purely random white noise with mean 0 and variance σ2) is called:
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- 1A non-stationary integrated process
- 2An ARIMA(r,1,0) process
- 3An autoregressive process of order r✓
- 4A moving average process of order r
Correct answer
An autoregressive process of order r
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