CAS Exam MAS-I Spring 2019, Question 45
Study guide: Exam MAS-II
A time series, \{x_t\} is modeled as an AR(3) process given by:
x_t = 4 + 0.45x_{t-1} + 0.25x_{t-2} + 0.05x_{t-3} + w_twhere w_t is white noise, with:
E(w_t) = 0\operatorname{Var}(w_t) = \sigma^2
The most recent three observed values in this series are:
| t | x_t |
|---|---|
| 2016 | 30 |
| 2017 | 23 |
| 2018 | 21 |
Calculate the ten-step-ahead forecast value, x_{2028}.
- A) Less than 12
- B) At least 12, but less than 16
- C) At least 16, but less than 20
- D) At least 20, but less than 24
- E) At least 24
Answer this question and see the worked solution