Question

True/False: Conditional mean prediction and linear prediction yield the same predictions.

True/False: All autoregressive equations have stationary solutions.

Name one time series model that is non-stationary. ________________

Answer 1

a) TRUE

the conditional expectation of Y given X is just a linear function of X, and hence the optimal predictor and the optimal linear predictor are the same.

b) FALSE

Autoregressive process of order p, AR(p) Not always stationary..

c) A stationary (time) series is one whose statistical properties such as the mean, variance and autocorrelation are all constant over time. Hence, a non-stationary series is one whose statistical properties change over time.

stock market price is one of the good example of non -stationary time series.