CAS Exam MAS-I Fall 2019, Question 45
Study guide: Exam MAS-II
A department store's annual sales, x_t, is modeled as an AR(3) process given by:
x_t = 450 - 0.9x_{t-1} + x_{t-3} + w_twhere w_t is white noise, with:
E(w_t) = 0\text{Var}(w_t) = \sigma^2
You are given the following historical annual sales totals for this store:
| Year | Sales |
|---|---|
| 2013 | 400 |
| 2014 | 375 |
| 2015 | 410 |
| 2016 | 420 |
| 2017 | 410 |
| 2018 | 525 |
Calculate the two-step-ahead forecast value, x_{2020}.
- A) Less than 400
- B) At least 400, but less than 450
- C) At least 450, but less than 500
- D) At least 500, but less than 550
- E) At least 550
Answer this question and see the worked solution