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Suppose that we have 100 observations in a time series that we believe can be model by the following ARIMA model: Y = 0.9Y-4 +e-0.5e-1 (a) If the last 5 observations were 24, 17, 18, 20, and 25 with corresponding residuals 0, 1, 0, -1, and 1, compute the forecasts for the next 5 observations. (b) If o. = 1, calculate the variance of each of the forecasts made in (a). (c) Calculate 95% prediction intervals for each of your forecasts.

Suppose that we have 100 observations in a time series that we believe can be model by the following ARIMA model: Y = 0.9Y-4 +e-0.5e-1 (a) If the last 5 observations were 24, 17, 18, 20, and 25 with corresponding residuals 0, 1, 0, -1, and 1, compute the forecasts for the next 5 observations. (b) If o. = 1, calculate the variance of each of the forecasts made in (a). (c) Calculate 95% prediction intervals for each of your forecasts.

Calculus For The Life Sciences
Calculus For The Life Sciences
2nd Edition
ISBN:9780321964038
Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Chapter1: Functions
Section1.2: The Least Square Line
Problem 1E
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Suppose that we have 100 observations in a time series that we believe can be model by the following ARIMA model: Y = 0.9Y-4 +e-0.5e-1 (a) If the last 5 observations were 24, 17, 18, 20, and 25 with corresponding residuals 0, 1, 0, -1, and 1, compute the forecasts for the next 5 observations. (b) If o. = 1, calculate the variance of each of the forecasts made in (a). (c) Calculate 95% prediction intervals for each of your forecasts.
Transcribed Image Text:Suppose that we have 100 observations in a time series that we believe can be model by the following ARIMA model: Y = 0.9Y-4 +e-0.5e-1 (a) If the last 5 observations were 24, 17, 18, 20, and 25 with corresponding residuals 0, 1, 0, -1, and 1, compute the forecasts for the next 5 observations. (b) If o. = 1, calculate the variance of each of the forecasts made in (a). (c) Calculate 95% prediction intervals for each of your forecasts.
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