Question: If a simple N-span moving average is applied to a time series that has a linear trend, say, y, = Bo + Bit +

If a simple N-span moving average is applied to a time series that has a linear trend, say, y, = Bo + Bit + E,1 will lag behind the observations. Assume that the observations are uncorrelated and have constant variance. Show that at time T the expected value of the moving average is N-1 E(M) =B + BT - N=. - 2

Step by Step Solution

★★★★★

3.44 Rating (147 Votes )

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock

To show that the expected value of the moving average at time t is EM B BT A we can use the followin... View full answer

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Algorithms Questions!

In Exercises match the equation with the correct graph. Assume that a and C are positive real numbers. [The graphs are labeled (a), (b), (c), and (d).] (a) (b) (c) (d) -2 -1 2 1 -1, y 1 2

Freight and other handling charges on goods out on consignment are part of the cost of goods consigned. What is its appropriate account title in the income statement prepared by the consignor?...

Compute the mass fractions of ferrite and cementite in pearlite.

How should the firm go about identifying hazardous conditions that should be rectified? Use data and checklists such as in Figure 11.5 and the HR in Practice feature on pages 320 and 323, to list at...

If the treatment consisted of more than one component, did the researcher attempt to dismantle the joint effects? How would dismantling the joint effects affect the integrity of the intervention?

Cost data for T. Clark Manufacturing Company for the month ending April 30, 2008, are as follows: Inventories April 1 April 30 1.Prepare a cost of goods manufactured statement for April...

You work for Mooneys Consulting. They have assigned you to an engagement with Anavrin a healthfood caf based in Los Angeles. The company currently only produces and sells organic sandwiches,...

Problem 9 (50 Points) An air-cooled aluminum heat sink is used to keep electronics cool (see image and diagram). The cooling requirements are being significantly increased. To increase the rate of...

Staley Inc. reported the following data: Net income $464,100 Depreciation expense 62,400 Loss on disposal of equipment 32,600 Increase in accounts receivable 14,700 Increase in accounts payable...

Julio is a teller at the bank. He will be given the opportunity to work with new customers at the business development desk every Friday. Which job enrichment approach is Julio involved in? Job...

coefficients A variable n(t) is described by a first-order linear differential equation with constant dn(t) T +n(t) = n dt where 7 and no are constants. Let n(0) = no. a) Fort > 0, determine an...

Mortgage Payoff: You take out a 30-year fixed rate mortgage for a house. The amount borrowed is $300,000. The interest rate is 4% per year compounded monthly. You decide to sell the house immediately...

A community hospital system realized that approximately 2,000 patients were leaving its emergency department (ED) each year without receiving medical attention. This hospital system realized that...

Describe what a quality control activity might look like at a t-shirt manufacturing factory. (LO3.3)

Adventure Fishing provides guided fishing tours. The company charges $140 per person but offers a 20% discount to parties of four or more. Consider the following transactions during the month of May....

Imagine that your best friend knows you are taking a psychology course and wonders what psychology is all about. How would you define psychology for your friend? Write an essay on the discipline of...

Regression analysis can be used to test whether the market efficiently uses information in valuing stocks. For concreteness, let return be the total return from holding a firm's stock over the...

Use the data in HPRICE1 .RAW to estimate the model Price = (0 + (1 sqrft + (2 bdrms + u, where price is the house price measured in thousands of dollars. (i) Write out the results in equation form....

Use the data in RECID.RAW to estimate the model from Example 17.4 by OLS, using only the 552 uncensored durations. Comment generally on how these estimates compare with those in Table 17.4.

8.5. Based on current estimates of how well mammograms detect breast cancer. Table 8.20 shows what to expect for 100,000 adult women over the age of 40 in terms of whether a woman has breast cancer...

8.6. Data posted at the FBI Web site (www.fbi.gov) indicated that of all blacks slain in 2005, 91% were slain by blacks, and of all whites slain in 2005,83%

7.62. A 99% confidence interval for the difference 772 - T between the proportions of men and women in California who are alcoholics equals (0.02, 0.09). (a) We are 99% confident that the proportion...