1. Consider the thresholded AR(1) process J01a1-1 + wi if ai-1 < 0 01xt-1 02x1-1+ wi if x-1 20 where we is WN (0, o2). Show that the best forecast of an+1 based on 21, 2,.. .,n is S0,n if zn < 0 02an if an 20

Linear Algebra: A Modern Introduction
4th Edition
ISBN:9781285463247
Author:David Poole
Publisher:David Poole
Chapter2: Systems Of Linear Equations
Section2.4: Applications
Problem 1EQ: 1. Suppose that, in Example 2.27, 400 units of food A, 600 units of B, and 600 units of C are placed...
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1. Consider the thresholded AR(1) process
01x1-1 + wt if at-1 <0
O2x1-1 + wi if xt-1 20
where wi is WN (0, o²). Show that the best forecast of an+1 based on #1, 22,.. .,an is
a = 01an if an <0
xn+1
02an if an 20
(Hint: Use the arguments for the AR(p) process as done in class)
Transcribed Image Text:1. Consider the thresholded AR(1) process 01x1-1 + wt if at-1 <0 O2x1-1 + wi if xt-1 20 where wi is WN (0, o²). Show that the best forecast of an+1 based on #1, 22,.. .,an is a = 01an if an <0 xn+1 02an if an 20 (Hint: Use the arguments for the AR(p) process as done in class)
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