(Q6) I considered a data set of size 200. The data set, called Data, has no trends. I fitted AR(1) model. Below, you fin
Posted: Tue Jul 05, 2022 9:21 am
- Q6 I Considered A Data Set Of Size 200 The Data Set Called Data Has No Trends I Fitted Ar 1 Model Below You Fin 1 (96.31 KiB) Viewed 10 times
(Q6) I considered a data set of size 200. The data set, called Data, has no trends. I fitted AR(1) model. Below, you find output of acf function. 0 1 2 6 7 0.202 0.126 1.000 3 4 0.522 0.400 14 15 5 0.777 0.648 0.298 11 12 13 16 17 -0.047 -0.060 -0.084 -0.137 -0.165 -0.187 -0.161 -0.125 18 8 9 10 0.043 -0.017 -0.023 19 20 21 -0.108 -0.062 -0.052 Also, the sample variance of our time series is 2.57 and x = 0. (a) Find the Yule-Walker estimates of 6 and o. (b) Compute 95% confidence interval for p. Note: 20.025 = 1.96. (c) I typed Data [195:200] and obtained 0.4642967 -0.3179734 -0.0987933 1.1952591 1.3390433 -0.2882120 Predict the 201st value. What is the mean square error of this prediction?