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...
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11. Consider the following autocorrelation plot:
(a) Approximately, what
1.00
0.00 0.50
9
20
Lag
Bartlett's formula for MA(q) 95% confidence bands
Autocorrelations
10
significantly different from 0?
30
40
the estimated 20th order autocorrelation? Is it statistically
(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?
Transcribed Image Text:11. Consider the following autocorrelation plot: (a) Approximately, what 1.00 0.00 0.50 9 20 Lag Bartlett's formula for MA(q) 95% confidence bands Autocorrelations 10 significantly different from 0? 30 40 the estimated 20th order autocorrelation? Is it statistically (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?
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