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
icon
Related questions
Question

Thank you.

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.
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.
Expert Solution
steps

Step by step

Solved in 2 steps

Blurred answer
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