Let a stochastic process (Xt) be given as follows: Xt = 3 + 0:5Xt-1 + t, where (t) is white noise with var ( t) = 1. a) What process is (Xt)? b) Explain briefly why this is a \conditional expectation" model, but not a \conditional variance" model. c) Suppose we observed Xt = 2:5, Xt-1 = 1:7. Compute a forecast for Xt+1. d) Suppose we observed Xt = 2:5, Xt-1 = 1:7. Compute a forecast for the variance of the process at time t + 1, that is, for the variance of Xt+1.
Let a stochastic process (Xt) be given as follows: Xt = 3 + 0:5Xt-1 + t, where (t) is white noise with var ( t) = 1. a) What process is (Xt)? b) Explain briefly why this is a \conditional expectation" model, but not a \conditional variance" model. c) Suppose we observed Xt = 2:5, Xt-1 = 1:7. Compute a forecast for Xt+1. d) Suppose we observed Xt = 2:5, Xt-1 = 1:7. Compute a forecast for the variance of the process at time t + 1, that is, for the variance of Xt+1.
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
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Problem 1P
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Let a stochastic process (Xt) be given as follows: Xt = 3 + 0:5Xt-1 + t, where (t) is white noise with var ( t) = 1.
a) What process is (Xt)?
b) Explain briefly why this is a \conditional expectation" model, but not a \conditional variance" model.
c) Suppose we observed Xt = 2:5, Xt-1 = 1:7. Compute a forecast for Xt+1.
d) Suppose we observed Xt = 2:5, Xt-1 = 1:7. Compute a forecast for the variance of the process at time t + 1, that is, for the variance of Xt+1.
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