6 22 Simulate An Ar 1 Time Series With N 48 With A 0 9 And Calculate The Theoretical Autocorrelations At Lag 1 1 (27.48 KiB) Viewed 65 times
6 22 Simulate An Ar 1 Time Series With N 48 With A 0 9 And Calculate The Theoretical Autocorrelations At Lag 1 2 (25.6 KiB) Viewed 65 times
6 22 Simulate An Ar 1 Time Series With N 48 With A 0 9 And Calculate The Theoretical Autocorrelations At Lag 1 3 (25.6 KiB) Viewed 65 times
6.22 Simulate an AR(1) time series with n = 48, with (a) = 0.9. and calculate the theoretical autocorrelations at lag 1 and lag 5; (b) 0 = 0.6, and calculate the theoretical autocorrelations at lag 1 and lag 5; (c) 0 = 0.3, and calculate the theoretical autocorrelations at lag 1 and lag 5. (d) For each of the series in parts (a), (b), and (c), calculate the sample autocorre- lations at lag 1 and lag 5 and compare the values with their theoretical values. Use Equations (6.1.5) and 6.1.6, page 111, to quantify the comparisons. In general, describe how the precision of the estimate varies with the value of 0.
6.23 Simulate an AR(1) time series with o = 0.6, with (a) n= 24, and estimate pi = 0 = 0.6 with ni: (b) n = 60, and estimate Pi = 0 = 0.6 with : (c) n = 120, and estimate pi = 0 = 0.6 with n. (d) For each of the series in parts (a), (b), and (c), compare the estimated values with the theoretical value. Use Equation (6.1.5) on page 111, to quantify the comparisons. In general, describe how the precision of the estimate varies with the sample size. Las 1.00 d
Join a community of subject matter experts. Register for FREE to view solutions, replies, and use search function. Request answer by replying!