V. Suppose that {u̟ : t =T}is a time series of independent observations with mean zero and common variance σ2= 4. Suppose further that {x: t =T} is a time series satisfying: a) b) c) d) X+= 0.6 X+-1 + U + 0.1 U-1 - 0.2 Ut-2 +5. Find the mean value, µ = E(x), of the time series. Compute σ(h), the autocovariance function and p(h), the autocorrelation function of the process. Plot their graphs. If X100=10.0 would you expect X102 to be above or below the mean of the process? Find the values of ẞ11, B22 and ẞ33 - the values of the partial autocorrelation function (PAFC) at lags 1, 2 and 3 respectively.
V. Suppose that {u̟ : t =T}is a time series of independent observations with mean zero and common variance σ2= 4. Suppose further that {x: t =T} is a time series satisfying: a) b) c) d) X+= 0.6 X+-1 + U + 0.1 U-1 - 0.2 Ut-2 +5. Find the mean value, µ = E(x), of the time series. Compute σ(h), the autocovariance function and p(h), the autocorrelation function of the process. Plot their graphs. If X100=10.0 would you expect X102 to be above or below the mean of the process? Find the values of ẞ11, B22 and ẞ33 - the values of the partial autocorrelation function (PAFC) at lags 1, 2 and 3 respectively.
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
Related questions
Question
Solve (b), (c) and (d) please.
Please fully solve the questions. (DO NOT just explain what to do in words)
if you are going to use a software, R only (NO other programs)
Thank you.
Transcribed Image Text:V. Suppose that {u̟ : t =T}is a time series of independent observations with mean
zero and common variance σ2= 4. Suppose further that {x: t =T} is a time series
satisfying:
a)
b)
c)
d)
X+= 0.6 X+-1 + U + 0.1 U-1 - 0.2 Ut-2 +5.
Find the mean value, µ = E(x), of the time series.
Compute σ(h), the autocovariance function and p(h), the autocorrelation
function of the process. Plot their graphs.
If X100=10.0 would you expect X102 to be above or below the mean of the
process?
Find the values of ẞ11, B22 and ẞ33 - the values of the partial autocorrelation
function (PAFC) at lags 1, 2 and 3 respectively.
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