An AR(3) model has been fit to a time series. The estimates are 1 = 0.4, 2

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An AR(3) model has been fit to a time series. The estimates are 1 = 0.4, 2 = 0.25, and 3 = 0.1. The last four observations were Yn-3 = 105, Yn-2 = 102, Yn-1 = 103, and Yn = 99. Forecast Yn+1 and Yn+2 using these data and estimates.

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Statistics And Data Analysis For Financial Engineering

ISBN: 9781461427490

1st Edition

Authors: David Ruppert

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Question Posted: Jun 24, 2016 06:28 AM

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An AR(3) model has been fit to a time series. The estimates are 1 = 0.4, 2

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à = 104

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An AR3 model takes the form Y t 1Y t1 2 Y t2 3 Y t3 t 5 To prediction the value of Y t1 we incr...View the full answer

Statistics And Data Analysis For Financial Engineering

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