Consider the following ARMA model for {y,}: ',=a,+ 2 j=1 +E + 1-j where {e } is the residual. Which of the following assumption(s) on the residuals {ɛ } is needed to enable forecasting with this model in practice? a. e, is normally distributed. b. is mean-independent of y,-1y,-2"** and e 1-1'€1-2'**** C. and e are stochastically independent for all ±s• O d. All of the above. QUESTION 2 How can the validity of the assumption(s) identified in Question 1 be examined in practice? O a. Use the Breusch-Pagan test, where the null hypothesis is that the distribution is normal. D. Use the Ljung-Box test, where the null hypothesis is that the first K autocorrelations are zero. с. Examine the SACF and SPACF of the estimated residuals d. Both (b) and (c).
Consider the following ARMA model for {y,}: ',=a,+ 2 j=1 +E + 1-j where {e } is the residual. Which of the following assumption(s) on the residuals {ɛ } is needed to enable forecasting with this model in practice? a. e, is normally distributed. b. is mean-independent of y,-1y,-2"** and e 1-1'€1-2'**** C. and e are stochastically independent for all ±s• O d. All of the above. QUESTION 2 How can the validity of the assumption(s) identified in Question 1 be examined in practice? O a. Use the Breusch-Pagan test, where the null hypothesis is that the distribution is normal. D. Use the Ljung-Box test, where the null hypothesis is that the first K autocorrelations are zero. с. Examine the SACF and SPACF of the estimated residuals d. Both (b) and (c).
Linear Algebra: A Modern Introduction
4th Edition
ISBN:9781285463247
Author:David Poole
Publisher:David Poole
Chapter7: Distance And Approximation
Section7.3: Least Squares Approximation
Problem 31EQ
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