i. Simulate the following AR(1) process yt = a + byt–1 +Et, Et ~ N(0, o²), and plot it. Assume a = 10, 6 = 0.95 and o? = 0.01. ii. Now assume a = 10 and b = -0.95. How does the simulation differ from %3D part (i)? iii. Now assume a = 0 and b= 1 and simulate a new series. This is known as a "random walk" and is used to model stock data such as the S&P 500. iv. Now assume a = 10 and b = 1. This type of series is known as a "random walk with drift."
i. Simulate the following AR(1) process yt = a + byt–1 +Et, Et ~ N(0, o²), and plot it. Assume a = 10, 6 = 0.95 and o? = 0.01. ii. Now assume a = 10 and b = -0.95. How does the simulation differ from %3D part (i)? iii. Now assume a = 0 and b= 1 and simulate a new series. This is known as a "random walk" and is used to model stock data such as the S&P 500. iv. Now assume a = 10 and b = 1. This type of series is known as a "random walk with drift."
C++ for Engineers and Scientists
4th Edition
ISBN:9781133187844
Author:Bronson, Gary J.
Publisher:Bronson, Gary J.
Chapter11: Introduction To Classes
Section11.5: A Closer Look: Uml Class And Object Diagrams
Problem 5E
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