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Model Selection in Autoregressive Moving Average (ARMA) Models

YouTubeMorten Nyboe Tabor

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In the video we discuss the properties of the moving average process with q lags, MA(q). We explain how to derive the unconditional mean, variance, and autocovariances of the process. We derive an expression for the autocorrelation function and show that the process has a memory of exactly q periods.

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