Can you forecast an independent white noise series? At any time white nose is uncorrelated with...
Can you forecast an independent white noise series? At any time white nose is uncorrelated with anything in the past. What happens if the future is uncorrelated with anything in the present or past?
Homework Answers
If it is an independent white noise, it can not be predicted.
Since it is independent in nature, it can not be predicted based on dependent variables.
Now, since it is a white noise, the future has no correlation with the past, thus there is no meaning of using past data to predict the future.
Thus, by definition, an independent white noise can not be predicted.
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Can you forecast an independent white noise series? At any time
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sequences, also independent of each other, with
P(Wt = 0) = P(Wt = 1) = 1/2 and P(Zt = −1) = P(Zt = 1) = 1/2.
Define the time series Xt by Xt =
. Show that {Xt} is white but not i.i.d.
w (1 – W-1) ZŁ
4. Calculate the variance of the time series rt (i.e. Var(rt)) for the following ARMA(1,1) model: where the variance of the white noise series is 0.09.
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