For each of the process derive its the step ahead density forecasts, assuming et ~ N(0,02). That is: (i) find it's E(yT+H NT), eT+h,T and o. (a) MA(1) h-step ahead yt = 0€t-1 + Et (b) AR (1) h-step ahead yt = 1yt-1 + €t (c) AR (2) 1-step ahead yt = (d) ARMA(1,1) 1-step ahead 1Yt-1 + 2Yt-2 + Et yt = $₁Yt-1 +0€t-1 + €t
For each of the process derive its the step ahead density forecasts, assuming et ~ N(0,02). That is: (i) find it's E(yT+H NT), eT+h,T and o. (a) MA(1) h-step ahead yt = 0€t-1 + Et (b) AR (1) h-step ahead yt = 1yt-1 + €t (c) AR (2) 1-step ahead yt = (d) ARMA(1,1) 1-step ahead 1Yt-1 + 2Yt-2 + Et yt = $₁Yt-1 +0€t-1 + €t
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:· N(0,o²). That is:
For each of the process derive its the step ahead density forecasts, assuming et
(i) find it's E(YT+H|NT), €T+h,T and of.
O€t-1+ €t
(b) AR(1) h-step ahead yt = $1Yt–1+ €t
(a) MA(1) h-step ahead y =
(c) AR(2) 1-step ahead yt
$1Yt–1+ $2Yt-2 + €
(d) ARMA(1,1) l-step ahead yYt = $1Yt–1+0€t–1+ €;
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