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Problem 11 a. Consider the tentative MA(2) model y₁= 8+ a-0₁a₁-1-0₂ at-2 where a, is a random shock, distributed i.i.d. N(0,02). The sample correlation coefficients were calculated as r₁ = 0.3 and r₂ = -0.2. By assuming ² + ² = 0.58, estimate 0₁ and 0₂. b. Consider the tentative AR(2) model y₁= 20 +0.7 yı-1-0.5 yı-2 +a, where a, is a random shock, distributed i.i.d. N(0,0²). Estimate the mean value of the time series, i.e., μ.

Problem 11 a. Consider the tentative MA(2) model y₁= 8+ a-0₁a₁-1-0₂ at-2 where a, is a random shock, distributed i.i.d. N(0,02). The sample correlation coefficients were calculated as r₁ = 0.3 and r₂ = -0.2. By assuming ² + ² = 0.58, estimate 0₁ and 0₂. b. Consider the tentative AR(2) model y₁= 20 +0.7 yı-1-0.5 yı-2 +a, where a, is a random shock, distributed i.i.d. N(0,0²). Estimate the mean value of the time series, i.e., μ.

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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Problem 11 a. Consider the tentative MA(2) model y₁= 8+ a₁ - 0₁ a₁-1-0₂ a₁-2 where a, is a random shock, distributed i.i.d. N(0,0²). The sample correlation coefficients were calculated as r₁ = 0.3 and r₂ = -0.2. By assuming +2 = 0.58, estimate 0₁ and 0₂. b. Consider the tentative AR(2) model yt = 20 +0.7 y₁-1-0.5 y2 +at where a, is a random shock, distributed i.i.d. N(0,0²). Estimate the mean value of the time series, i.e., μ.
Transcribed Image Text:Problem 11 a. Consider the tentative MA(2) model y₁= 8+ a₁ - 0₁ a₁-1-0₂ a₁-2 where a, is a random shock, distributed i.i.d. N(0,0²). The sample correlation coefficients were calculated as r₁ = 0.3 and r₂ = -0.2. By assuming +2 = 0.58, estimate 0₁ and 0₂. b. Consider the tentative AR(2) model yt = 20 +0.7 y₁-1-0.5 y2 +at where a, is a random shock, distributed i.i.d. N(0,0²). Estimate the mean value of the time series, i.e., μ.
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