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For each of the process derive its the step ahead density forecasts, assuming t~ N(0,02). That is: (i) find it's E(yT+HNT), eT+h,T and o. (a) MA(1) h-step ahead yt = 0€+-1 + €t (b) AR (1) h-step ahead yt = (c) AR(2) 1-step ahead yt = 13t-1 + O2Yt−2+ €t (d) ARMA(1,1) 1-step ahead yt = 19t-1 +0€t-1 + Et = $1Yt-1 + €t

For each of the process derive its the step ahead density forecasts, assuming t~ N(0,02). That is: (i) find it's E(yT+HNT), eT+h,T and o. (a) MA(1) h-step ahead yt = 0€+-1 + €t (b) AR (1) h-step ahead yt = (c) AR(2) 1-step ahead yt = 13t-1 + O2Yt−2+ €t (d) ARMA(1,1) 1-step ahead yt = 19t-1 +0€t-1 + Et = $1Yt-1 + €t

MATLAB: An Introduction with Applications
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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N(0, o²). That is: For each of the process derive its the step ahead density forecasts, assuming et (i) find it's E(YT+H|NT), €T+h,T and of. O€t-1+ €t (b) AR(1) h-step ahead yt = $1Yt–1+ €t (a) MA(1) h-step ahead y = (c) AR(2) 1-step ahead y = ¢1t–1+ $2Yt–2+€t (d) ARMA(1,1) l-step ahead yYt = $1Yt–1+0€t–1+ €;
Transcribed Image Text:N(0, o²). That is: For each of the process derive its the step ahead density forecasts, assuming et (i) find it's E(YT+H|NT), €T+h,T and of. O€t-1+ €t (b) AR(1) h-step ahead yt = $1Yt–1+ €t (a) MA(1) h-step ahead y = (c) AR(2) 1-step ahead y = ¢1t–1+ $2Yt–2+€t (d) ARMA(1,1) l-step ahead yYt = $1Yt–1+0€t–1+ €;
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