Consider a MA(1) process given by u = 5, theta = 0.6 and sigma = 0.1....

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Question

Consider a MA(1) process given by u = 5, theta = 0.6 and sigma = 0.1....

Consider a MA(1) process given by u = 5, theta = 0.6 and sigma = 0.1.

Suppose a sample realization of n = 5 is given by (starting from 1 ending at 5) 4.16,5.76,5.77, 4.02, 3.67. Find the forecast of the sixth and seventh observations and construct 95% forecast intervals.

math Statistics-And-Probability

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Answer 1

Answer #1

u=5
theta=0.6
sigma=0.1
n=5
x=c(4.16,5.76,5.77,4.02,3.67)
fit=arima.sim(list(0,1,0),ma=0.6,n=5)+u
library(forecast)
p=forecast(fit,h=10)
plot(p)
LL=x-1.96*p$pred
UL=x+1.96*p$pred
## 95% forecast interval
CI=cbind(LL,UL)

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Answer 2

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Consider a MA(1) process given by u = 5, theta = 0.6 and sigma = 0.1....

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Consider a MA(1) process given by u = 5, theta = 0.6 and sigma = 0.1....

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