Consider the following MA (2) process yt = 0.7 2t1 + 1.35 t2 + t t
Question:
yt = 0.7 – 2εt–1 + 1.35 εt–2 + εt
εt is a white noise process, normally distributed with zero mean and unit variance.
a. Obtain the theoretical autocorrelation function up to lag 10.
b. Now, simulate the process for t = 1, 2, . . . ., 100 and compute the sample autocorrelation function up to lag 10. Comment and compare with your results in a.
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a The theoretical autocorrelations up to order 10 are P1 1 2 1 1 2 t 2 2 2 x 135 2 1 2 2 1352 0688 P...View the full answer
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Related Book For
Forecasting for Economics and Business
ISBN: 978-0131474932
1st edition
Authors: Gloria Gonzalez Rivera
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