R Notebook

library(fpp3)

── Attaching packages ──────────────────────────────────────────────── fpp3 0.3 ──
✓ lubridate   1.7.9.2     ✓ feasts      0.1.6  
✓ tsibble     0.9.3       ✓ fable       0.2.1  
✓ tsibbledata 0.2.0       
── Conflicts ─────────────────────────────────────────────────── fpp3_conflicts ──
x lubridate::date()   masks base::date()
x dplyr::filter()     masks stats::filter()
x tsibble::interval() masks lubridate::interval()
x dplyr::lag()        masks stats::lag()

White noise

Random normal with mean 0 and variance 1.

Moving average model.

yt = wn + phi * lag(wn)

phi1 <- -0.9
phi2 <-  0.9

y_ma <- y %>% mutate(wn_lag = lag(wn),
                     yt_ma1 = wn + phi1*wn_lag,
                     yt_ma2 = wn + phi2*wn_lag)
y_ma

y_ma %>% autoplot(wn)

y_ma %>% autoplot(yt_ma1)

y_ma %>% autoplot(yt_ma2)

y_ma %>% ACF(wn) %>% autoplot()

y_ma %>% ACF(yt_ma1) %>% autoplot()

y_ma %>% ACF(yt_ma2) %>% autoplot()