1. Suppose that Y; follows the Moving Average process of order 1 (MA(1)) model Y, = & – 0ɛt-1, where &t is i.i.d. with E(&t) = 0 and Var(ɛ) = o?.a) Compute the mean and variance of Y,b) Compute the first two autocovariances of Yc) Compute the first two autocorrelations of Y,

Answered: 1. Suppose that Y; follows the Moving…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Suppose that Yt follows the Moving Average process of order 1 (MA(1)) model Yt=ϵt−θϵt−1, where ϵt is i.i.d. with E(ϵt)=0 and Var(ϵt)=σϵ2 . a) Compute the mean and variance of Yt b) Compute the first two autocovariances of Yt c) Compute the first two autocorrelations of
1. Suppose that Yt follows the Moving Average process of order 1 (MA(1)) model Yt=ϵt−θϵt−1, where ϵt is i.i.d. with E(ϵt)=0 and Var(ϵt)=σϵ2 . a) Compute the mean and variance of Yt b) Compute the first two autocovariances of Yt c) Compute the first two autocorrelations of Yt
Suppose that Yt follows the stationary AR(1) model Yt = 2.5 + 0.7Yt - 1 + ut,where ut is i.i.d. with E(ut) = 0 and var1ut2 = 9.a. Compute the mean and variance of Yt. b. Compute the first two autocovariances of Yt. c. Compute the first two autocorrelations of Yt.d. Suppose that YT = 102.3. Compute YT+1|T = E(YT+1 |YT, Yt - 1, . . . . ).
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2. Suppose that Yt follows the stationary AR (1) model Yt=2.5+0.7Yt−1+ϵt, where ϵt is i.i.d. with E(ϵt)=0 and Var(ϵt)=9. a) Compute the mean and variance of Yt b) Compute the first two autocovariances of Yt c) Compute the first two autocorrelations of Yt d) Suppose that YT=102.3. Compute Yt+1|t=E(Yt+1|Yt, Yt-1...). Kindly note, sub-parts (a), (b) & (c) are solved alread.
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1. Suppose that Y; follows the Moving Average process of order 1 (MA(1)) model Y, = & – 0ɛt-1, where &t is i.i.d. with E(&t) = 0 and Var(ɛ) = o?. a) Compute the mean and variance of Y, b) Compute the first two autocovariances of Y c) Compute the first two autocorrelations of Y,