Let {w t = 0,1,...} be a white noise process with variance σ2 and let | < 1 be a constant. Consider the process x0 = wo, and xt = xt−1 + wt, t = 1, 2, ... We might use this method to simulate an AR(1) process from simulated white noise. (a) [6 points] Show that x₁ = Σ o³ w₁_; for any t = 0,1,…….. (b) [3 points] Find the E(x+). j=0 (c) [6 points] Show that for t = 0, 1, · · · Var(x+) = (1 − ø²(t+1)). (1 (d) [5 points] Show that, for h≥ 0, Cov(xt+h, xt) == Var(x+).

MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
icon
Related questions
Question
Let {w t = 0,1,...} be a white noise process with variance σ2 and let | < 1 be a
constant. Consider the process x0 = wo, and
xt = xt−1 + wt, t = 1, 2, ...
We might use this method to simulate an AR(1) process from simulated white noise.
(a) [6 points] Show that x₁ = Σ o³ w₁_; for any t = 0,1,……..
(b) [3 points] Find the E(x+).
j=0
(c) [6 points] Show that for t = 0, 1, · · ·
Var(x+)
=
(1 − ø²(t+1)).
(1
(d) [5 points] Show that, for h≥ 0,
Cov(xt+h, xt)
==
Var(x+).
Transcribed Image Text:Let {w t = 0,1,...} be a white noise process with variance σ2 and let | < 1 be a constant. Consider the process x0 = wo, and xt = xt−1 + wt, t = 1, 2, ... We might use this method to simulate an AR(1) process from simulated white noise. (a) [6 points] Show that x₁ = Σ o³ w₁_; for any t = 0,1,…….. (b) [3 points] Find the E(x+). j=0 (c) [6 points] Show that for t = 0, 1, · · · Var(x+) = (1 − ø²(t+1)). (1 (d) [5 points] Show that, for h≥ 0, Cov(xt+h, xt) == Var(x+).
Expert Solution
steps

Step by step

Solved in 2 steps with 2 images

Blurred answer
Similar questions
  • SEE MORE QUESTIONS
Recommended textbooks for you
MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
Statistics
ISBN:
9781119256830
Author:
Amos Gilat
Publisher:
John Wiley & Sons Inc
Probability and Statistics for Engineering and th…
Probability and Statistics for Engineering and th…
Statistics
ISBN:
9781305251809
Author:
Jay L. Devore
Publisher:
Cengage Learning
Statistics for The Behavioral Sciences (MindTap C…
Statistics for The Behavioral Sciences (MindTap C…
Statistics
ISBN:
9781305504912
Author:
Frederick J Gravetter, Larry B. Wallnau
Publisher:
Cengage Learning
Elementary Statistics: Picturing the World (7th E…
Elementary Statistics: Picturing the World (7th E…
Statistics
ISBN:
9780134683416
Author:
Ron Larson, Betsy Farber
Publisher:
PEARSON
The Basic Practice of Statistics
The Basic Practice of Statistics
Statistics
ISBN:
9781319042578
Author:
David S. Moore, William I. Notz, Michael A. Fligner
Publisher:
W. H. Freeman
Introduction to the Practice of Statistics
Introduction to the Practice of Statistics
Statistics
ISBN:
9781319013387
Author:
David S. Moore, George P. McCabe, Bruce A. Craig
Publisher:
W. H. Freeman