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In this question you will consider ergodicity and time series averages. Consider the following MA (2) time series model: Y₁ = €t 0₁€t-1-0₂€t-2 (d) You are told that o² = 1, 0₁ = 0.2 and 0₂ -0.1 is the variance for the time series mean estimator less efficient or more efficient than the T = 20 sample size ensemble average i.i.d. case? Justify your answer with a relevant calculation and explanation using the formula in Equation (1) provided above in part (c) of this question. =

In this question you will consider ergodicity and time series averages. Consider the following MA (2) time series model: Y₁ = €t 0₁€t-1-0₂€t-2 (d) You are told that o² = 1, 0₁ = 0.2 and 0₂ -0.1 is the variance for the time series mean estimator less efficient or more efficient than the T = 20 sample size ensemble average i.i.d. case? Justify your answer with a relevant calculation and explanation using the formula in Equation (1) provided above in part (c) of this question. =

MATLAB: An Introduction with Applications
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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In this question you will consider ergodicity and time series averages. Consider the following MA (2) time series model: Y₁ = t -0₁ €t-1 - 0₂€t-2 (d) You are told that o² = 1, 0₁: = 0.2 and 0₂ -0.1 is the variance for the time series mean estimator less efficient or more efficient than the T 20 sample size ensemble average i.i.d. case? Justify your answer with a relevant calculation and explanation using the formula in Equation (1) provided above in part (c) of this question. = =
Transcribed Image Text:In this question you will consider ergodicity and time series averages. Consider the following MA (2) time series model: Y₁ = t -0₁ €t-1 - 0₂€t-2 (d) You are told that o² = 1, 0₁: = 0.2 and 0₂ -0.1 is the variance for the time series mean estimator less efficient or more efficient than the T 20 sample size ensemble average i.i.d. case? Justify your answer with a relevant calculation and explanation using the formula in Equation (1) provided above in part (c) of this question. = =
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