Question: This question is related to advanced Stochastic Processes Question 3 Based on quarterly data, a seasonal model of the form X , = X 1

This question is related to advanced Stochastic Processes

Question 3 Based on quarterly data, a seasonal model of the form X , = X 1 4 + W, - 0,@1 1 -0201-2 has been fitted to a certain time series. (a) Find the first five I weights (GLP representation) for this model analytically. (b) Suppose that 0, = 0.5, 0, = -0.25,0 =1. Find the forecasts for the next four quarters if data for the last four quarters are Quarter II III IV Series 25 20 25 40 Residual 2 2 3 (c) Find the 90% prediction intervals for the forecasts in part (b)

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