Exercise

Estimate the autocorrelation function (ACF) for a moving average

Now that you've simulated some MA data using the arima.sim() command, you may want to estimate the autocorrelation functions (ACF) for your data. As in the previous chapter, you can use the acf() command to generate plots of the autocorrelation in your MA data.

In this exercise, you'll use acf() to estimate the ACF for three simulated MA series, x, y, and z. These series have slope parameters of 0.4, 0.9, and -0.75, respectively, and are shown in the figure on the right.

Instructions

100 XP

Use three calls to acf() to estimate the autocorrelation functions for x, y, and z, respectively.

Take Hint (-30 XP)