(A very open-ended problem). Perhaps more a project than an exercise: simulate some periodic data with a varying mean, period, phase, and amplitude, but with a moderate amount of random ARMA(2,2)...

(A very open-ended problem). Perhaps more a project than an exercise: simulate some periodic data with a varying mean, period, phase, and amplitude, but with a moderate amount of random ARMA(2,2) noise. Use the model selection methods of the book and assess how well the method works for prediction.