Matlab
Matlab
6th Edition
ISBN: 9781119299257
Author: Amos Gilat
Publisher: WILEY CONS
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Chapter 3, Problem 33P

Solve the following system of three linear equations:

2 x + 5 y + 7 z = 17 . 5

3 x 6 y + 2 z = 4 0. 6 9 x 3 y + 8 z = 56 . 2

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Consider an MA(6) model with θ1 = 0.5, θ2 = −25, θ3 = 0.125, θ4 = −0.0625, θ5 = 0.03125, and θ6 = −0.015625. Find a much simpler model that has nearly the same ψ-weights.
Let {Yt} be an AR(2) process of the special form Yt = φ2Yt − 2 + et. Use first principles to find the range of values of φ2 for which the process is stationary.
Describe the important characteristics of the autocorrelation function for the following models: (a) MA(1), (b) MA(2), (c) AR(1), (d) AR(2), and (e) ARMA(1,1).

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