2. a) Simulate time series of length 100 from an AR(1) model with a equal to -0.9, -0.5, 0.5, and 0.9. Estimate the parameter of each model and make predictions for 1 to 10 steps ahead. b) Simulate time series of length 100 from an AR(1) model with a equal to 1.01, 1.02, and 1.05. Estimate the parameters of these models.
2. a) Simulate time series of length 100 from an AR(1) model with a equal to -0.9, -0.5, 0.5, and 0.9. Estimate the parameter of each model and make predictions for 1 to 10 steps ahead. b) Simulate time series of length 100 from an AR(1) model with a equal to 1.01, 1.02, and 1.05. Estimate the parameters of these models.
Algebra & Trigonometry with Analytic Geometry
13th Edition
ISBN:9781133382119
Author:Swokowski
Publisher:Swokowski
Chapter5: Inverse, Exponential, And Logarithmic Functions
Section: Chapter Questions
Problem 9T
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Transcribed Image Text:2. a) Simulate time series of length 100 from an AR(1) model with a equal
to -0.9, -0.5, 0.5, and 0.9. Estimate the parameter of each model and
make predictions for 1 to 10 steps ahead.
b) Simulate time series of length 100 from an AR(1) model with a equal
to 1.01, 1.02, and 1.05. Estimate the parameters of these models.
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