1. Suppose we know X, follows the ARMA processXi – 0.3X-1+ 0.2X-2 – 0.1Xt-3 = ZtZi - WN(0, 1).t-2-Given the observation (X1,..., X10) = (0.33, 1.19, 1.93, –0.07, 0.74, –0.11, –0.24, 0.81, 0.9, 0.68).Calculate the one-step predicton X11.

Answered: Xị – 0.3X-1+ 0.2X1–2 – 0.1X1-3 = Z Zł ~…

Xị – 0.3X-1+ 0.2X1–2 – 0.1X1-3 = Z Zł ~ WN(0,1). -2- observation (X1,...,X10) = (0.33, 1.19, 1.93, –0.07,0.74, –0.11, –0 the one-step predicton X11. %3D

Algebra & Trigonometry with Analytic Geometry

13th Edition

ISBN:9781133382119

Author:Swokowski

Publisher:Swokowski

Chapter4: Polynomial And Rational Functions

Section: Chapter Questions

Problem 5T

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Question

1. Suppose we know X, follows the ARMA process
Xi – 0.3X-1+ 0.2X-2 – 0.1Xt-3 = Zt
Zi - WN(0, 1).
t-2-
Given the observation (X1,..., X10) = (0.33, 1.19, 1.93, –0.07, 0.74, –0.11, –0.24, 0.81, 0.9, 0.68).
Calculate the one-step predicton X11.

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