(a) Shows Yule–Walker AR(4) SDF estimates based on the realization of the AR(4) process The four estimates shown in the figure make use of the first 16 values of the time series, the first 64 values,...

(a) Shows Yule–Walker AR(4) SDF estimates based on the realization of the AR(4) process The four estimates shown in the figure make use of the first 16 values of the time series, the first 64 values, the first 256 values and, finally, the entire series of 1024 values. Figure 469 shows corresponding Burg AR(4) SDF estimates. Create similar figures of Yule–Walker and Burg estimates for the time series shown in (g) and (h), which are downloadable from the website for this book.

(b) Repeat part (a), but now using the four AR(2) time series.