practice question 2 (forecasting)

practice question 2 (forecasting) - Practice question 2:...

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Practice question 2: Consider the ARIMA(1,1,0) model ) , 0 ( ~ , ) 9 . 0 1 )( 1 ( 2 σ NID a a X B B t t t = + - . The most recent 8 observations for 1989 to 1996 were ) 3 . 6 , 2 . 7 , 9 . 4 , 3 . 4 , 2 . 2 , 5 . 1 , 1 . 0 , 0 ( ) , , ( 96 89 - - - - - - - = X X . (a) Write out the recursive formula for the t X values. (b) Derive the formulas for predictions for 1997 to 1999 in terms of previously observed values. (These may be expressed in terms of other predictions, as long as you describe how to calculate each term before you use it another formula.) (c) Let
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This note was uploaded on 09/27/2009 for the course STA STA457 taught by Professor Lin during the Winter '08 term at University of Toronto- Toronto.

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