You obtain the first 5 autocorrelations and their p-values for a certain time series dataset:
Order | Autocorrelation | P-value |
1st | 5.03 | 0.001 |
2nd | 4.89 | 0.005 |
3rd | 4.77 | 0.007 |
4th | 0.31 | 0.787 |
5th | 0.27 | 0.803 |
What would be your best guess for the model that fits this data?
An MA(3) model
An MA(2) model
An MA(1) model
An AR(1) model
An ARMA(1,2) model
Since P-value for order 4 and 5 are significantly high, so we can say that order 4 and 5 do not have significant autocorrelation.
Till order 3, it has significant autocorrelation.
So, the best guess for the model that fits this data - An MA(3) model
You obtain the first 5 autocorrelations and their p-values for a certain time series dataset: Order...