Simulate an AR(1) process (you pick the parameter value) of length 30. To this simulated series, fit AR models of order 0 through 6. Which model has the smallest AIC?
Repeat the simulation 500 times, how often is the model with the lowest AIC the true model?
Repeat again with a longer time series, do things change?
Repeat with a different parameter value, do things change?
Find and fit an ARIMA model to the deere2
dataset:
library(TSA)
data(deere2)
?deere2
Find and fit an ARIMA model to the robot
dataset:
library(TSA)
data(robot)
?robot
You should include: