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b) If you are given a sample ACF for an AR(2) with the following values (1)=0.6 and (2)=0.3, use the Yule-Walker relationship derived in (a) above to determine reasonable estimates of , and ₂.

b) If you are given a sample ACF for an AR(2) with the following values (1)=0.6 and (2)=0.3, use the Yule-Walker relationship derived in (a) above to determine reasonable estimates of , and ₂.

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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The Yule-Walker equations for an AR(2) process are given by p(k)=₁p(k-1)+₂p(k − 2). a) Use the Yule-Walker relationship to derive the first 4 terms in the autocorrelation function for an AR(2) process. b) If you are given a sample ACF for an AR(2) with the following values (1)=0.6 and (2)=0.3, use the Yule-Walker relationship derived in (a) above to determine reasonable estimates of and ₂.
Transcribed Image Text:The Yule-Walker equations for an AR(2) process are given by p(k)=₁p(k-1)+₂p(k − 2). a) Use the Yule-Walker relationship to derive the first 4 terms in the autocorrelation function for an AR(2) process. b) If you are given a sample ACF for an AR(2) with the following values (1)=0.6 and (2)=0.3, use the Yule-Walker relationship derived in (a) above to determine reasonable estimates of and ₂.
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