ar1 - Bruce Schmeiser AR(1) time-series models Process...

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Bruce Schmeiser AR(1) time-series models Process Moments E(X) = 6 std(X) = 10 rho_1 = -0.9 std(epsilon) = 4.36 observation # random # z epsilon x 0 0.78 0.77 13.7 1 0.93 1.49 6.48 5.55 2 0.58 0.21 0.9 7.3 3 0.37 -0.34 -1.48 3.34 4 0.61 0.28 1.21 9.6 5 0.17 -0.94 -4.09 -1.33 6 0.28 -0.57 -2.5 10.09 7 0.38 -0.3 -1.32 0.99 8 0.35 -0.38 -1.65 8.85 9 0.44 -0.15 -0.65 2.79 10 0.92 1.4 6.11 15 11 0.99 2.45 10.7 8.6 12 0.59 0.24 1.03 4.69 13 0.75 0.68 2.97 10.15 0 20 40 60 -30 -20 -10 0 10 20 30 40 AR(1) Process Observation Numbe X
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14 0.97 1.89 8.25 10.52 15 0.14 -1.07 -4.65 -2.72 16 0.08 -1.39 -6.04 7.81 17 0.06 -1.54 -6.71 -2.34 18 0.6 0.25 1.1 14.6 19 0.55 0.14 0.6 -1.15 20 0.71 0.55 2.39 14.83 21 0.15 -1.03 -4.48 -6.43 22 0.93 1.47 6.39 23.57 23 0.51 0.03 0.15 -9.67 24 0.76 0.72 3.14 23.24 25 0.91 1.31 5.71 -3.8 26 0.17 -0.94 -4.08 10.74 27 0.58 0.2 0.85 2.59 28 0.97 1.9 8.27 17.34 29 0.48 -0.05 -0.2 -4.41 30 0.1 -1.27 -5.54 9.83 31 0.75 0.68 2.95 5.5 32 0.41 -0.22 -0.95 5.49 33 0.68 0.48 2.08 8.54 34 0.12 -1.19 -5.18 -1.46 35 0.02 -2 -8.71
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ar1 - Bruce Schmeiser AR(1) time-series models Process...

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