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**Unformatted text preview: **θ . (b) Find an estimate of the noise variance σ 2 a . (Hint: Iterative meth-ods are not needed in this simple case.) 5. Consider the dataset is in ‘dataset3.xls’ Suppose the AR(2,2) model W t = φ 1 W t-1 + φ 2 W t-2 + a t , W t = ∇ 2 Z t do ﬁt the data. Find the estimates of φ 1 and φ 2 by (a) the method of moments; (b) conditional least squares; (c) using the ARIMA command. NOTE: The data set “dataset3.xls” can be downloaded from http://www.sta.cuhk.edu.hk/khwu/courses/sta4005/ under the subsection Time Series Data used for Assignments....

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