Consider the following ARMA model for {y,}: ',=a,+ 2 j=1 +E + 1-j where {e } is the residual. Which of the following assumption(s) on the residuals {ɛ } is needed to enable forecasting with this model in practice? a. e, is normally distributed. b. is mean-independent of y,-1y,-2"** and e 1-1'€1-2'**** C. and e are stochastically independent for all ±s• O d. All of the above. QUESTION 2 How can the validity of the assumption(s) identified in Question 1 be examined in practice? O a. Use the Breusch-Pagan test, where the null hypothesis is that the distribution is normal. D. Use the Ljung-Box test, where the null hypothesis is that the first K autocorrelations are zero. с. Examine the SACF and SPACF of the estimated residuals d. Both (b) and (c).
Consider the following ARMA model for {y,}: ',=a,+ 2 j=1 +E + 1-j where {e } is the residual. Which of the following assumption(s) on the residuals {ɛ } is needed to enable forecasting with this model in practice? a. e, is normally distributed. b. is mean-independent of y,-1y,-2"** and e 1-1'€1-2'**** C. and e are stochastically independent for all ±s• O d. All of the above. QUESTION 2 How can the validity of the assumption(s) identified in Question 1 be examined in practice? O a. Use the Breusch-Pagan test, where the null hypothesis is that the distribution is normal. D. Use the Ljung-Box test, where the null hypothesis is that the first K autocorrelations are zero. с. Examine the SACF and SPACF of the estimated residuals d. Both (b) and (c).
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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Transcribed Image Text:Consider the following ARMA model for
{y,}:
P
Σ
a
+E +
b
j=1
1=1
where {e } is the residual.
Which of the following assumption(s) on the residuals {ɛ } is needed to enable forecasting with this model in practice?
O a. e is normally distributed.
Ob.
e is mean-independent of y,1,-2"*
and e
1-1'
C.
and e
are stochastically independent for all +s:
O d. All of the above.
QUESTION 2
How can the validity of the assumption(s) identified in Question 1 be examined in practice?
O a. Use the Breusch-Pagan test, where the null hypothesis is that the distribution is normal.
b.
Use the Ljung-Box test, where the null hypothesis is that the first K autocorrelations are zero.
Examine the SACF and SPACF of the estimated residuals
d. Both (b) and (c).
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