TS Module 7: stationary mixed processes HW


TS Module 7: stationary mixed processes HW

Author
Message
NEAS
Supreme Being
Supreme Being (5.7K reputation)Supreme Being (5.7K reputation)Supreme Being (5.7K reputation)Supreme Being (5.7K reputation)Supreme Being (5.7K reputation)Supreme Being (5.7K reputation)Supreme Being (5.7K reputation)Supreme Being (5.7K reputation)Supreme Being (5.7K reputation)

Group: Administrators
Posts: 4.2K, Visits: 1.2K

TS Module 7: stationary mixed processes HW

 

(The attached PDF file has better formatting.)

 

Homework assignment: mixed autoregressive moving average process

 

An ARMA(1,1) process has ó2 = 1, è1 = 0.4, and ö1 = 0.6.

 


A.     What is the value of ã0?

B.     What is the value of ã1?

C.    What is the value of ñ1?

D.    What is the value of ñ2?


 

 

 


Attachments
Luke Grady
Junior Member
Junior Member (13 reputation)Junior Member (13 reputation)Junior Member (13 reputation)Junior Member (13 reputation)Junior Member (13 reputation)Junior Member (13 reputation)Junior Member (13 reputation)Junior Member (13 reputation)Junior Member (13 reputation)

Group: Forum Members
Posts: 12, Visits: 1
did anyone get 1.0625 for the first question?

this is a crazy amount of algebra if you don't have the formulas for these memorized. are there lots of these on the test? any of these? are formulas given? sheesh.
Jereme
Forum Newbie
Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)

Group: Forum Members
Posts: 1, Visits: 1
I used filter representation and first principles so memorizing formulas was not necessary.
RayDHIII
Forum Member
Forum Member (43 reputation)Forum Member (43 reputation)Forum Member (43 reputation)Forum Member (43 reputation)Forum Member (43 reputation)Forum Member (43 reputation)Forum Member (43 reputation)Forum Member (43 reputation)Forum Member (43 reputation)

Group: Forum Members
Posts: 39, Visits: 138

I'm blanking, what is Filter Representation?

Also, I got the same answer as above for the first problem.  As to the "crazy" amount of algebra, the formulae on page 78 (4.4.3-5) made this assignment take a couple minutes. 

RDH


AJB1011
Forum Newbie
Forum Newbie (4 reputation)Forum Newbie (4 reputation)Forum Newbie (4 reputation)Forum Newbie (4 reputation)Forum Newbie (4 reputation)Forum Newbie (4 reputation)Forum Newbie (4 reputation)Forum Newbie (4 reputation)Forum Newbie (4 reputation)

Group: Forum Members
Posts: 3, Visits: 1

My understanding of filter representations is that it's used to estimate the variance of forecast.  We can convert the φ parameters into an infinite series of θ parameters.  This is helpful because the θ parameter only changes one period in the future.  I'm anticipating that the final might ask, "What is the variance of the one period ahead forecast?  Two?  Three?" 

There's a few practice problems in the Module 7 Stationary mixed processes that might be helpful in understanding the concepts.

[NEAS: Correct; the filter representation converts an autoregressive processes into a moving average model of infinite rank. This simplifies the formulas for the variance of forecasts because all the error terms are independent, whereas the observations are serially correlated.]


minnie53053
Junior Member
Junior Member (13 reputation)Junior Member (13 reputation)Junior Member (13 reputation)Junior Member (13 reputation)Junior Member (13 reputation)Junior Member (13 reputation)Junior Member (13 reputation)Junior Member (13 reputation)Junior Member (13 reputation)

Group: Forum Members
Posts: 11, Visits: 1
yeah, I got that.
and 0.2375,0.2235,0.1341 for rest of three questions respectively.
GO
Merge Selected
Merge into selected topic...



Merge into merge target...



Merge into a specific topic ID...





Reading This Topic


Login
Existing Account
Email Address:


Password:


Social Logins

  • Login with twitter
  • Login with twitter
Select a Forum....











































































































































































































































Neas-Seminars

Search