Question

Use the dataset below solve the problem 4737 5117 5091 3468 4320 3825 3673 3694 3708 3333 3367 3614 3362 3655 3963 4405 4595 5045 5700 5716 5138 5010 5353 6074 5031 5648 5506 4230 4827 3885 Problem 3 Suppose that the sample is from an ARMA(1,1) process with mean mu (i) Derive the formula for the standard error (the quantity v) of the sample mean, using the theoretical acvf. (ii) Estimate the acvf at lag , the acvf at lag 1 and the parameter phi for the process from the sample acvf at lags , 1 and 2. (iii) Construct a 95% confidence interval for mu

Answer 1

Ans hn 135090 30 * Σ (メイ vor, once 20 3036 케 30 ~ ) 400 126. Stardond dnvariance チ001 267 836-3359) 米Gwen mean-メニ 4584,31 E허

10.05 = 20 '05 . ael( usinq z value table q5y. Confidence in lerval Mowgih .confidece tesel n teival s u, / 4523.932 . using excel-- +634.3) NO RNSINO (0.05%) 836.7357 Sat(30 24、393 ) 4823-724