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1. Suppose we know X, follows the ARMA process Xị – 0.3Xt-1+ 0.2Xt-2 – 0.1Xt-3 = Zt Z ~ WN(0,1). Given the observation (X1,..., X10) = (0.33, 1.19, 1.93, –0.07, 0.74, –0.11, –0.24, 0.81, 0.9, 0.68). Calculate the one-step predicton X1n-

1. Suppose we know X, follows the ARMA process Xị – 0.3Xt-1+ 0.2Xt-2 – 0.1Xt-3 = Zt Z ~ WN(0,1). Given the observation (X1,..., X10) = (0.33, 1.19, 1.93, –0.07, 0.74, –0.11, –0.24, 0.81, 0.9, 0.68). Calculate the one-step predicton X1n-

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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1. Suppose we know X, follows the ARMA process Xi – 0.3X-1+ 0.2X-2 – 0.1Xt-3 = Zt Zi - WN(0, 1). t-2- Given the observation (X1,..., X10) = (0.33, 1.19, 1.93, –0.07, 0.74, –0.11, –0.24, 0.81, 0.9, 0.68). Calculate the one-step predicton X11.
Transcribed Image Text:1. Suppose we know X, follows the ARMA process Xi – 0.3X-1+ 0.2X-2 – 0.1Xt-3 = Zt Zi - WN(0, 1). t-2- Given the observation (X1,..., X10) = (0.33, 1.19, 1.93, –0.07, 0.74, –0.11, –0.24, 0.81, 0.9, 0.68). Calculate the one-step predicton X11.
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