hw6 - AMS316 HW6(Due 1 Consider the AR(1 process Xt = Xt-1...

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
AMS316 HW6 (Due Dec 12, 2011) 1. Consider the AR(1) process, X t = μ + αX t - 1 + Z t , where Z t are i.i.d. standard normal random variables. Derive the least square estimates for μ and α by minimizing S ( μ,α ) = n X t =1 ( X t - μ - αX t - 1 ) 2 . 2. For the MA(1) model given by X t = Z t + θZ t - 1 and observations X 1 ,...,X N , show that the 1-step ahead forecast b X N (1) = θZ N and that the h -step ahead forecast b X N ( h ) = 0 for h = 2 , 3 ,... . 3. For the AR(1) model given by
Background image of page 1
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

Ask a homework question - tutors are online