Problem 4Throughout this problem, consider the following setting:rng('default') % Set the random number generator to the default seedA first order autoregressive model (AR(1)) can be defined in the following way.3₁=P-1+1=1,2,....T.where y, denotes the value of y at time . p is a parameter and u, is a random variable that has astandard normal distribution. When p=1, the model is called the random walk model. Assumethat yo0 (when t-0), and T-200. Use a for loop to generate 200 observations according this modelwhen p= 1 and p=0.7. Plot your resulting observations in both cases. Your code snippet should generatethe figure given below. Recall that the normrnd function can be used to generate random numbers from thestandard normal distribution% Solution20151020240Random walk versus AR(1)Пилинмымзаличани60 80 100 120 1401pay0.7hany160 180200

Throughout this problem, consider the following setting: rng('default') % Set the random number generator to the default s A first order autoregressive model (AR(1)) can be defined in the following way. 3₁=PY₁-1+₁=1,2,....T.

Throughout this problem, consider the following setting: rng('default') % Set the random number generator to the default s A first order autoregressive model (AR(1)) can be defined in the following way. 3₁=PY₁-1+₁=1,2,....T.

Database System Concepts

7th Edition

ISBN:9780078022159

Author:Abraham Silberschatz Professor, Henry F. Korth, S. Sudarshan

Publisher:Abraham Silberschatz Professor, Henry F. Korth, S. Sudarshan

Chapter1: Introduction

Section: Chapter Questions

Problem 1PE

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Question

Problem 4
Throughout this problem, consider the following setting:
rng('default') % Set the random number generator to the default seed
A first order autoregressive model (AR(1)) can be defined in the following way.
3₁=P-1+1=1,2,....T.
where y, denotes the value of y at time . p is a parameter and u, is a random variable that has a
standard normal distribution. When p=1, the model is called the random walk model. Assume
that yo0 (when t-0), and T-200. Use a for loop to generate 200 observations according this model
when p= 1 and p=0.7. Plot your resulting observations in both cases. Your code snippet should generate
the figure given below. Recall that the normrnd function can be used to generate random numbers from the
standard normal distribution
% Solution
20
15
10
20
2
40
Random walk versus AR(1)
Пилинмым
заличани
60 80 100 120 140
1
pay
0.7
hany
160 180
200

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