Question: Write a simulation sampler for a first order AR process for 1 =0.5 (similar to our random walk sampler from Set 3, rwsim.R). Please use

Write a simulation sampler for a first order AR process for 1 =0.5 (similar to our random walk sampler from Set 3, rwsim.R). Please use a seed of 1 for your sampler. Obtain the time series, acf and pacf plots of the simulated series. Estimate an AR(1) model using the simulated series and investigate if the residuals are white noise.

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
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 Mathematics Questions!