Suppose that {u: t = ...,-2,-1,0,1,2,...} is an independent time series with mean zero, variance σ²= 9.0. Suppose that the time series {x+: t = ...,-2,-1,0,1,2,...} satisfies the equation: 2 X= 1.5 X-1 - .5 X-2 +3.0+u- U-1- 3 a) Identify the time series. b) c) d) i) Determine the autocovariance function and autocorrelation function of the time series X+ - Xt-1- Find the random shock form of the time series. Suppose that the first five observations of the time series are x₁ = 2.5, x2 = 4.0, X3 = 3.7, x4 =1.0 and x5 1.5. = Use these observations to compute prediction intervals for the next 5 observations. (Compute both 95% and 66.7% prediction limits) ii) If the sixth observation turns out to be x6 = 4.3 use this information to re-compute prediction intervals for the next 4 observations. (Compute both 95% and 66.7% prediction limits)
Suppose that {u: t = ...,-2,-1,0,1,2,...} is an independent time series with mean zero, variance σ²= 9.0. Suppose that the time series {x+: t = ...,-2,-1,0,1,2,...} satisfies the equation: 2 X= 1.5 X-1 - .5 X-2 +3.0+u- U-1- 3 a) Identify the time series. b) c) d) i) Determine the autocovariance function and autocorrelation function of the time series X+ - Xt-1- Find the random shock form of the time series. Suppose that the first five observations of the time series are x₁ = 2.5, x2 = 4.0, X3 = 3.7, x4 =1.0 and x5 1.5. = Use these observations to compute prediction intervals for the next 5 observations. (Compute both 95% and 66.7% prediction limits) ii) If the sixth observation turns out to be x6 = 4.3 use this information to re-compute prediction intervals for the next 4 observations. (Compute both 95% and 66.7% prediction limits)
Algebra & Trigonometry with Analytic Geometry
13th Edition
ISBN:9781133382119
Author:Swokowski
Publisher:Swokowski
Chapter10: Sequences, Series, And Probability
Section10.2: Arithmetic Sequences
Problem 67E
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