Suppose you know that data are coming from a stationary AR(3…
Suppose you know that data are coming from a stationary AR(3) process with mean 0, and you suspect ρ ( 1 ) = 1 / 5 , ρ ( 2 ) = − 1 / 4 , and ρ ( 3 ) = 1 / 10. {“version”:”1.1″,”math”:”\rho(1) = 1/5, \;\; \rho(2)=-1/4,\;\;\;\textrm{and}\;\;\;\rho(3) = 1/10. “}Write/type the P matrix and the ρ{“version”:”1.1″,”math”:”ρ”} vector for the Yule-Walker equations, and use them to estimate the AR parameters ϕ1{“version”:”1.1″,”math”:”ϕ1″}, ϕ2{“version”:”1.1″,”math”:”ϕ2″}, and ϕ3{“version”:”1.1″,”math”:”ϕ3″}.
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