I. Consider the Autoregressive (AR(3)) process of order 3 satisfying the equation: x=1x-1 +0.25x+-2 - 0.10x+-3+ 8+ш where var(u) = σ². δ Suppose that the autocorrelation function, p(h), at lag h = 1 takes on the values p(1) = 0.50. In addition var(x+) = 10 and E[x] = µ = 25 a) Determine the values of ẞ1, 8 and σ². b) Compute and plot a graph of σ(h), the auotocovariance function of the process at lag h, for h = 0, 1, 2, 3, 4. c) Find the values of 11, 22, 33 and 44 - the values of the partial autocorrelation function (PAFC) at lags 1, 2, 3 and 4 respectively. d) Find the values of 01, 02, 03, 04 where: 00 x=μ+ (with 00 = 1) i=0
I. Consider the Autoregressive (AR(3)) process of order 3 satisfying the equation: x=1x-1 +0.25x+-2 - 0.10x+-3+ 8+ш where var(u) = σ². δ Suppose that the autocorrelation function, p(h), at lag h = 1 takes on the values p(1) = 0.50. In addition var(x+) = 10 and E[x] = µ = 25 a) Determine the values of ẞ1, 8 and σ². b) Compute and plot a graph of σ(h), the auotocovariance function of the process at lag h, for h = 0, 1, 2, 3, 4. c) Find the values of 11, 22, 33 and 44 - the values of the partial autocorrelation function (PAFC) at lags 1, 2, 3 and 4 respectively. d) Find the values of 01, 02, 03, 04 where: 00 x=μ+ (with 00 = 1) i=0
Algebra & Trigonometry with Analytic Geometry
13th Edition
ISBN:9781133382119
Author:Swokowski
Publisher:Swokowski
Chapter7: Analytic Trigonometry
Section7.6: The Inverse Trigonometric Functions
Problem 91E
Related questions
Question
could you please solve all parts of the questions?
please, when solving part a, solve for all β, δ, σ^2
Thank you.
![I. Consider the Autoregressive (AR(3)) process of order 3 satisfying the equation:
x=1x-1 +0.25x+-2 - 0.10x+-3+ 8+ш where var(u) = σ².
δ
Suppose that the autocorrelation function, p(h), at lag h = 1 takes on the values
p(1) = 0.50. In addition var(x+) = 10 and E[x] = µ = 25
a) Determine the values of ẞ1, 8 and σ².
b) Compute and plot a graph of σ(h), the auotocovariance function of the process
at lag h, for h = 0, 1, 2, 3, 4.
c) Find the values of 11, 22, 33 and 44 - the values of the partial
autocorrelation function (PAFC) at lags 1, 2, 3 and 4 respectively.
d) Find the values of 01, 02, 03, 04 where:
00
x=μ+ (with 00 = 1)
i=0](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Faf4d5614-e5fa-4399-aabc-c345eeef0588%2Fed3d2494-6d78-43a4-8ebb-7d7a1d92ed28%2Ffcb6cnd_processed.png&w=3840&q=75)
Transcribed Image Text:I. Consider the Autoregressive (AR(3)) process of order 3 satisfying the equation:
x=1x-1 +0.25x+-2 - 0.10x+-3+ 8+ш where var(u) = σ².
δ
Suppose that the autocorrelation function, p(h), at lag h = 1 takes on the values
p(1) = 0.50. In addition var(x+) = 10 and E[x] = µ = 25
a) Determine the values of ẞ1, 8 and σ².
b) Compute and plot a graph of σ(h), the auotocovariance function of the process
at lag h, for h = 0, 1, 2, 3, 4.
c) Find the values of 11, 22, 33 and 44 - the values of the partial
autocorrelation function (PAFC) at lags 1, 2, 3 and 4 respectively.
d) Find the values of 01, 02, 03, 04 where:
00
x=μ+ (with 00 = 1)
i=0
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