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(b) Compute 95% confidence interval for o. Note: 20.025 = 1.96.

(b) Compute 95% confidence interval for o. Note: 20.025 = 1.96.

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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Q7 for autocorrelation: Autocorrelations of series 'X', by lag We have a AR(1) time series with the following output 0 1.000 6 1 2 3 4 5 0.472 0.368 0.102 -0.044 -0.054 7 8 9 -0.013 0.012 0.011 0.048 10 0.182 Also: n = 100, 7x (0) = 1.34, π = 0.06. (a) Find the Yule-Walker estimates of o and o. (b) Compute 95% confidence interval for p. Note: 20.025 = 1.96. (c) If the last observations is X100 = 0.78, predict X101. What is the mean square error of this prediction?
Transcribed Image Text:Q7 for autocorrelation: Autocorrelations of series 'X', by lag We have a AR(1) time series with the following output 0 1.000 6 1 2 3 4 5 0.472 0.368 0.102 -0.044 -0.054 7 8 9 -0.013 0.012 0.011 0.048 10 0.182 Also: n = 100, 7x (0) = 1.34, π = 0.06. (a) Find the Yule-Walker estimates of o and o. (b) Compute 95% confidence interval for p. Note: 20.025 = 1.96. (c) If the last observations is X100 = 0.78, predict X101. What is the mean square error of this prediction?
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