Mathematics, 25.02.2020 16:39 heavenwatkins789
Generate AR(1) process {X_t}. Compute the first difference Y_t = X_t - X_(t-1). Draw ACF and PACF of {Y_t}. What can you say about this process? Is it again a AR(1) process? What can you say in general?
For the AR(2) processes with the following parameters, determine if AR(2) processes are stationary. Without drawing the graphs, what can you say about ACFs.
(a) Ο1=1.2, Ο2=β0.2
(b) Ο1=0.6, Ο2=0.3
(c) Ο1=1.2, Ο2=β0.7
(d) Ο1=β0.8, Ο2=β0.7
For the process Xt = ΟXtβ2+Zt, determine the range of Ο for which the process is stationary.
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3Γ __ -2=15 7 2Γ __+1=7 5 7Γ =22 15 5Γ __+10=2 8 Γ __+4=20 6 Γ =10 3 Γ __+2=8 6 Γ __+8=8 9 Γ __+7=20 6
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Generate AR(1) process {X_t}. Compute the first difference Y_t = X_t - X_(t-1). Draw ACF and PACF of...
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