Consider the Autoregressive (AR(3)) process of order 3 satisfying the equation: x=B₁xt-1 + 0.25x1-2 - 0.10x1-3+ ₂+ 8 + where var(u) 6². Suppose that the autocorrelation function, p(h), at lag h 1 takes on the values p(1) = 0.50. In addition var(x,) = 10 and E[x₂] = µ= 25 U t = a) Determine the values of B₁, dand o². b) Compute and plot a graph of o(h), the auotocovariance function of the process at lag h, for h = 0, 1, 2, 3, 4. c) Find the values of $11, P22, Þ33 and Þ44 the values of the partial autocorrelation function (PAFC) at lags 1, 2, 3 and 4 respectively.
Consider the Autoregressive (AR(3)) process of order 3 satisfying the equation: x=B₁xt-1 + 0.25x1-2 - 0.10x1-3+ ₂+ 8 + where var(u) 6². Suppose that the autocorrelation function, p(h), at lag h 1 takes on the values p(1) = 0.50. In addition var(x,) = 10 and E[x₂] = µ= 25 U t = a) Determine the values of B₁, dand o². b) Compute and plot a graph of o(h), the auotocovariance function of the process at lag h, for h = 0, 1, 2, 3, 4. c) Find the values of $11, P22, Þ33 and Þ44 the values of the partial autocorrelation function (PAFC) at lags 1, 2, 3 and 4 respectively.
MATLAB: An Introduction with Applications
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ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
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Problem 1P
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![Consider the Autoregressive (AR(3)) process of order 3 satisfying the equation:
x₁= B₁xt-1 + 0.25x₁-2 - 0.10x1-3+ 8+u, where var(u) = o².
Suppose that the autocorrelation function, p(h), at lag h = 1 takes on the values
p(1) = 0.50. In addition var(x,) = 10 and E[x₂] = µ=25
a) Determine the values of ₁, and o².
b) Compute and plot a graph of o(h), the auotocovariance function of the process
at lag h, for h = 0, 1, 2, 3, 4.
c) Find the values of Ø11, Þ22, Þ33 and Þ44
the values of the partial
autocorrelation function (PAFC) at lags 1, 2, 3 and 4 respectively.](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Faf4d5614-e5fa-4399-aabc-c345eeef0588%2F2065e618-405a-4ad5-9306-04a7643d3578%2Fk15xz9s_processed.png&w=3840&q=75)
Transcribed Image Text:Consider the Autoregressive (AR(3)) process of order 3 satisfying the equation:
x₁= B₁xt-1 + 0.25x₁-2 - 0.10x1-3+ 8+u, where var(u) = o².
Suppose that the autocorrelation function, p(h), at lag h = 1 takes on the values
p(1) = 0.50. In addition var(x,) = 10 and E[x₂] = µ=25
a) Determine the values of ₁, and o².
b) Compute and plot a graph of o(h), the auotocovariance function of the process
at lag h, for h = 0, 1, 2, 3, 4.
c) Find the values of Ø11, Þ22, Þ33 and Þ44
the values of the partial
autocorrelation function (PAFC) at lags 1, 2, 3 and 4 respectively.
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