Applied Statistics-Periodogram and Correlogram Analyses (ISS Statistics Paper III): Questions 1 - 1 of 1

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Question number: 1

» Applied Statistics » Periodogram and Correlogram Analyses

Appeared in Year: 2012

Essay Question▾

Describe in Detail

Obtain the correlogram for the series Ut+1=aUt+εt+1 a <1 with E(ε)=0 , provided εt+1=bεt+ηt+1 , b <1 , and successive values of η are independent.

Explanation

It is given that Ut+1=aUt+εt+1

And hence Ut+2=aUt+1+εt+2

Substituting the value εt+1=bεt+ηt+1… (408 more words) …

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