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Re: AR model

From: estefaniame
Subject: Re: AR model
Date: Mon, 6 Jul 2020 15:46:39 +0200

Thank you José! Nevertheless, it is difficult for me to understand it, as [b2 b1 b0] would be the same for a polynomial with degree 2 and for an AR(p=2) model. As the AR model is often represented by (1-b1*L-b2*L^2)*Yt, why something like [1 - b1 -b2] wold be wrong? 
Thank you beforehand.

El lun., 6 jul. 2020 a las 14:59, José Abílio Matos (<>) escribió:

On Sunday, 5 July 2020 20.39.23 WEST wrote:

> Thank you! I just want to calculate the roots of the associated polynomial

> to an autoregressive model. If I put [b2 b1 b0], wouldn't it be

> b2*x^2+b*x+b0?, as Octave represents polynomials from highest to lowest

> degree.


> Can you help me?


> Best,


> Estefanía




roots([b2 b1 b0])


is what you are looking for.


For those who could be confused with this consider a stationary time series, then Y_t=Y_(t-1) and so on, that is why it is stationary. :-)



José Matos

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