Xt is a non-seasonal stationary time series and Ze is white noise.(a) Classify the following models for X, as ARIMA(p, d, q) for suitable values of p, dand q.(1) Xt = 0.2Xt-1 0.1Xt-2 + Zt + 0.15Zt-1.(ii) YtZt - 0.3Zt-1 + 0.1Zt-2, where Yt = Xt - Xt-1.=-=(b) Suppose that X, follows a MA(1) model with XtZt - 0.2Zt-1. Obtain the value ofthe autocorrelation, P₁.

(i) Xt=0.2Xt-1-0.1Xt-2+Zt+0.15Zt-1 This model can be classified as an ARIMA(2, 0, 0) model since…

Answered: Xt is a non-seasonal stationary time…

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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