1. Consider the following autocorrelation plot: 1.00 Autocorrelations -0.50 10 20 Lag Bartlett's formula for MA(q) 95% confidence bands 0 Autocorrelations 30 40 (a) Approximately, what is the estimated 20th order autocorrelation? Is it statistically significantly different from 0? (b) An AR(1) model is proposed to fit this data. Again approximately, what would be the estimated coefficient on the lagged value of y? (c) What kind of autocorrelation function must an AR(1) model produce?
1. Consider the following autocorrelation plot: 1.00 Autocorrelations -0.50 10 20 Lag Bartlett's formula for MA(q) 95% confidence bands 0 Autocorrelations 30 40 (a) Approximately, what is the estimated 20th order autocorrelation? Is it statistically significantly different from 0? (b) An AR(1) model is proposed to fit this data. Again approximately, what would be the estimated coefficient on the lagged value of y? (c) What kind of autocorrelation function must an AR(1) model produce?
Calculus For The Life Sciences
2nd Edition
ISBN:9780321964038
Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Chapter2: Exponential, Logarithmic, And Trigonometric Functions
Section2.CR: Chapter 2 Review
Problem 111CR: Respiratory Rate Researchers have found that the 95 th percentile the value at which 95% of the data...
Related questions
Question
Expert Solution
This question has been solved!
Explore an expertly crafted, step-by-step solution for a thorough understanding of key concepts.
Step 1: Determine the given information
VIEWStep 2: Determine the 20th order autocorrelation and if it is statistically significantly different from 0
VIEWStep 3: Calculate the estimated coefficient on the lagged value of y
VIEWStep 4: Determine the kind of autocorrelation function AR(1) model must produce
VIEWSolution
VIEWStep by step
Solved in 5 steps with 22 images
Recommended textbooks for you
Calculus For The Life Sciences
Calculus
ISBN:
9780321964038
Author:
GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:
Pearson Addison Wesley,
Glencoe Algebra 1, Student Edition, 9780079039897…
Algebra
ISBN:
9780079039897
Author:
Carter
Publisher:
McGraw Hill
Calculus For The Life Sciences
Calculus
ISBN:
9780321964038
Author:
GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:
Pearson Addison Wesley,
Glencoe Algebra 1, Student Edition, 9780079039897…
Algebra
ISBN:
9780079039897
Author:
Carter
Publisher:
McGraw Hill