Compare the 1-step and 2-step ahead forecast error variances of the ARMA models of Exercise 1. Data
Question:
Compare the 1-step and 2-step ahead forecast error variances of the ARMA models of Exercise 1.
Data From Exercise 1:
Compute the variance and the ACF (lag-1 to lag-4) of the following ARMA models with \(\operatorname{Var}\left(a_{t}\right)=1\) :
(a) \(z_{t}=0.7 z_{t-1}+a_{t}\);
(b) \(z_{t}=0.4 a_{t-1}+a_{t}\);
(c) \(z_{t}=0.7 z_{t-1}+\) \(0.4 a_{t-1}+a_{t}\).
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Statistical Learning For Big Dependent Data
ISBN: 9781119417385
1st Edition
Authors: Daniel Peña, Ruey S. Tsay
Question Posted: