AR 2 Process Data

One hundred simulations of an autoregressive process were performed and the data recorded. The values are provided in Table 5.4. 

Sample time Value Sample time Value Sample time Value Sample time Value 

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Take the AR(2) process data in Sect. A5.2 and fit an AR(1) process to it. Analyse the residuals and fit. Comment on the results. Repeat, but using an AR(3) model. Compare the two models with the accurate AR(2) model (see Example 5.8 for the model). What happens when a model is over- or underfit ... 

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