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Two hundred observations from AR(2) yields the following sample statistics: xˉ=3.82,γX(0)=1.15,ρX(1)=0.427,ρ2=0.47
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Two hundred observations from AR(2) yields the following sample statistics: xˉ=3.82,γX(0)=1.15,ρX(1)=0.427,ρ2=0.47
Two hundred observations from AR(2) yields the following sample statistics: xˉ=3.82,γX(0)=1.15,ρX(1)=0.427,ρ2=0.475. - Find the Yule-Walker estimators of ϕ1,ϕ2 and σZ2. - Is the estimated model causal? - If X100=3.84 and X99=3.26, what is the predicted value of X101?
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