Question: (Theoretical/Practical Question) In this question we develop Yule-Walker estimators in AR(1) and ARMA (1, 1) models and study their numerical performance. Recall from lectures that

(Theoretical/Practical Question) In this question we develop Yule-Walker estimators in AR(1) and ARMA (1, 1) models and study their numerical performance. Recall from lectures that in AR(1) model X, = oXz-1 + Z, the Yule-Walker estimator is - Wx (1) 7x (0 ) = px (1) , 62 = 7x (0) - ofx (1) = 7x (0) - px (1) 7x (0). (a) Numerical experiment for AR(1): - Load into R the file Data-AR.txt. (Just type Data=scan () and then copy and paste). This is data set generated from AR(1 ) model with o = 0.8. - Type var (Data) to obtain 7x (0). - Type ACF

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