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Exercise

Auto-regression with a smoother time series

Now, let's re-run the same procedure using a smoother signal. You'll use the same percent change algorithm as before, but this time use a much larger window (40 instead of 20). As the window grows, the difference between neighboring timepoints gets smaller, resulting in a smoother signal. What do you think this will do to the auto-regressive model?

prices_perc_shifted and model (updated to use a window of 40) are available in your workspace.

Instructions

100 XP

Using the function (visualize_coefficients()) you created in the last exercise, generate a plot with coefficients of model and column names of prices_perc_shifted.