Consider the following MA (2) process:Yt = 2 + 0.5t-1 - 0.25€t-2 + Et,Et ~N (0,1),Specify the margin of error for the 95% confidence interval around the optimal TWO-step ahead forecast.You may use the fact that for Z, a standard Normal random variable, P(|Z|>1.96)=0.95.

Answered: Consider the following MA(2) process:…

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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Consider the following MA(2) process: Yt = 2 + 0.5t-1 -0.25t-2 + Et, Et ~ N (0, 1), Specify the margin of error for the 95% confidence interval around the optimal TWO-step ahead forecast. You may use the fact that for Z, a standard Normal random variable, P(|Z|>1.96)=0.95.