exercise:B8daa21a1b: Difference between revisions
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Latest revision as of 18:05, 26 May 2023
You are given the following six observed values of the autoregressive model of order one time series
[[math]]
y_t = \beta_0 + \beta_1 y_{t-1} + \epsilon_t
[[/math]]
| t | 1 | 2 | 3 | 4 | 5 | 6 |
|---|---|---|---|---|---|---|
| yt | 31 | 35 | 37 | 41 | 45 | 51 |
with [math]\operatorname{Var}(\epsilon_t) = \sigma^2 [/math].
The approximation to the conditional least squares method is used to estimate [math]β_0[/math] and [math]β_1[/math] .
Calculate the mean squared error [math]s^2[/math] that estimates [math]σ^2.[/math]
- 13
- 21
- 22
- 26
- 35
Copyright 2023. The Society of Actuaries, Schaumburg, Illinois. Reproduced with permission.