CAS Exam MAS-I Spring 2019, Question 43

Study guide: Exam MAS-II

You are given an autoregressive time series of order 1:

x_t = \alpha_1 x_{t-1} + w_t

and the following time series graphs:

Determine the most likely coefficient \alpha_1 for each graph, s1-s4.

• A) s1 = 0.90, s2 = 0.50, s3 = 0.99, s4 = 0.99
• B) s1 = 0.99, s2 = -0.50, s3 = 0.90, s4 = -0.99
• C) s1 = -0.90, s2 = 0.50, s3 = -0.99, s4 = 0.99
• D) s1 = -0.99, s2 = 0.50, s3 = -0.90, s4 = 0.99
• E) s1 = -0.90, s2 = 0.99, s3 = -0.99, s4 = 0.50

Answer this question and see the worked solution

Concepts tested

• Autoregressive Model
• Random Walk
• Stationarity

More questions from this set

• CAS Exam MAS-I Spring 2019, Question 42
• CAS Exam MAS-I Spring 2019, Question 44