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HW5_sol - ME576#5 Solution 1.Bollinger3.16 Cn = 4(1(1 0.5B...

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ME 576 #5 Solution 1. Bollinger 3.16. ( )( ) ( )( ) ( ) ( ) ( )( ) ( )( ) ( ) ( ) ( ) n n 1 n n n n n n 2 2 4 1 1 0.5B B C S 1 B 1 B 2 1 B 1 0.5B where =e m 1 0.5B 1 B a. r =2S 2 1 1 0.5B B C r 1 B 1 B 2 1 B 1 0.5B 1.264B 1 0.5B 1.264B 0.632B 1 0.104B 0.264B e δ δ δ δ δ δ δ = + = = + = = 2 2 3 4 n 2 1 0.104B 0.264B b. 2.518B(1 0.5B) C 2.518B B 0.561B 0.206B .... 1 0.104B 0.264B = = + + -4 -3 -2 -1 0 1 2 3 4 0 1 2 3 4 5 6 Time Series1
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