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(c) Derive the forecasting formula for AR(1) model (d) Consider the AR(1) process given by (Z, -µ) = $₁ (Z₁-1 − μ) + a,
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(c) Derive the forecasting formula for AR(1) model (d) Consider the AR(1) process given by (Z, -µ) = $₁ (Z₁-1 − μ) + a,
(c) Derive the forecasting formula for AR(1) model (d) Consider the AR(1) process given by (Z, -µ) = $₁ (Z₁-1 − μ) + a, (a₁ experiment conducted, n = 100 observations from the model gave the following estimates 100 ΣZ, = 1312, ô? = 87, and p = 0 3 = }=1 (1) Delive equations of the estimates for , and (1) Use the results to find the method of moments estimates for , in terms of the a M (5 marks) N (0, 2)) Suppose in an o, p, and $₁ ₁, and o (6 marks) (6 marks)