Consider the following AR(3) model where the white noise has a variance o = 1, xt = 0.9xt-1 -0.16xt-2 -0.02xt-3. Write down the first 4 equations in the Yule-Walker equations and solve it to get y(0), y(1), y(2) and y(3). Hint: Use the R function solve to solve linear equations. Use the Yule-Walker equations to get y(4), y(5) and y(6). Use your code to calculate p(h) for h = 1, 2, . . ., 6. Verify your results by running ARMAacf .
Consider the following AR(3) model where the white noise has a variance o = 1, xt = 0.9xt-1 -0.16xt-2 -0.02xt-3. Write down the first 4 equations in the Yule-Walker equations and solve it to get y(0), y(1), y(2) and y(3). Hint: Use the R function solve to solve linear equations. Use the Yule-Walker equations to get y(4), y(5) and y(6). Use your code to calculate p(h) for h = 1, 2, . . ., 6. Verify your results by running ARMAacf .
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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