VI Suppose that for N = 80 observations on the time series {x: t =T} the following statistics were calculated: x = 10.54 C(0) the sample variance = 4.99 In addition the sample autocorrelation function, I was computed for h = 1, 2, 3, 10 and is tabulated below: h 1 Th 2 3 4 5 6 7 0.60 0.37 0.13 -0.04 -0.08 0.02 0.09 0.07 0.15 0.15 8 9 10 Compute the sample partial autocorrelation function ẞk, for k = 1, 2, 3. i) Suppose that this time series is identified as an ARIMA(1,0,1) time series. Use the method of moments to estimate all the parameters of the model. ii) Suppose that this time series is identified as an AR(3) time series. Use the method of moments to estimate all the parameters of the model.

MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
icon
Related questions
Question

Thank you.

VI
Suppose that for N = 80 observations on the time series {x: t =T} the
following statistics were calculated:
x = 10.54 C(0) the sample variance = 4.99
In addition the sample autocorrelation function, I was computed for h = 1,
2, 3, 10 and is tabulated below:
h
1
Th
2 3 4 5 6 7
0.60 0.37 0.13 -0.04 -0.08 0.02 0.09 0.07 0.15 0.15
8
9
10
Compute the sample partial autocorrelation function ẞk, for k = 1, 2, 3.
i) Suppose that this time series is identified as an ARIMA(1,0,1) time series.
Use the method of moments to estimate all the parameters of the model.
ii) Suppose that this time series is identified as an AR(3) time series.
Use the method of moments to estimate all the parameters of the model.
Transcribed Image Text:VI Suppose that for N = 80 observations on the time series {x: t =T} the following statistics were calculated: x = 10.54 C(0) the sample variance = 4.99 In addition the sample autocorrelation function, I was computed for h = 1, 2, 3, 10 and is tabulated below: h 1 Th 2 3 4 5 6 7 0.60 0.37 0.13 -0.04 -0.08 0.02 0.09 0.07 0.15 0.15 8 9 10 Compute the sample partial autocorrelation function ẞk, for k = 1, 2, 3. i) Suppose that this time series is identified as an ARIMA(1,0,1) time series. Use the method of moments to estimate all the parameters of the model. ii) Suppose that this time series is identified as an AR(3) time series. Use the method of moments to estimate all the parameters of the model.
Expert Solution
steps

Step by step

Solved in 2 steps with 6 images

Blurred answer
Recommended textbooks for you
MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
Statistics
ISBN:
9781119256830
Author:
Amos Gilat
Publisher:
John Wiley & Sons Inc
Probability and Statistics for Engineering and th…
Probability and Statistics for Engineering and th…
Statistics
ISBN:
9781305251809
Author:
Jay L. Devore
Publisher:
Cengage Learning
Statistics for The Behavioral Sciences (MindTap C…
Statistics for The Behavioral Sciences (MindTap C…
Statistics
ISBN:
9781305504912
Author:
Frederick J Gravetter, Larry B. Wallnau
Publisher:
Cengage Learning
Elementary Statistics: Picturing the World (7th E…
Elementary Statistics: Picturing the World (7th E…
Statistics
ISBN:
9780134683416
Author:
Ron Larson, Betsy Farber
Publisher:
PEARSON
The Basic Practice of Statistics
The Basic Practice of Statistics
Statistics
ISBN:
9781319042578
Author:
David S. Moore, William I. Notz, Michael A. Fligner
Publisher:
W. H. Freeman
Introduction to the Practice of Statistics
Introduction to the Practice of Statistics
Statistics
ISBN:
9781319013387
Author:
David S. Moore, George P. McCabe, Bruce A. Craig
Publisher:
W. H. Freeman