# A time series { X t } is differenced at lag 12, then at lag 1 to produce a zero-mean series { Y t }…

A time series {*X _{t}*} is differenced at lag 12, then at lag 1 to produce a zero-mean series {

*Y*} with the following sample ACF:

_{t}Don't use plagiarized sources. Get Your Custom Essay on

A time series { X t } is differenced at lag 12, then at lag 1 to produce a zero-mean series { Y t }…

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a. Suggest a SARIMA model for {*X _{t}*} specifying all parameters.

b. For large *n*, express the one- and twelve-step linear predictors *P _{n}X_{n}*

_{+1}and

*P*

_{n}X_{n}_{+12}in terms of

*X*= −12

_{t}, t*,*−11

*, . . . , n*, and

*Yt*−

*Y*ˆ

*t, t*= 1

*, . . . , n*.

c. Find the mean squared errors of the predictors in (b).