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Quiz 3 Name: Kainat Iftikhar Reg# 2021630007 1. List Three Examples of Time Series Data. Time Series Data

This document contains a student's answers to a quiz on time series analysis. It defines time series data as quantities measured over time intervals, and lists examples like economic indicators and weather records. It identifies the four components of time series as trend, cyclic, seasonal, and random fluctuations. It explains MA(1) and higher-order MA(q) processes as weighted sums of recent error terms. It also defines AR(1) and higher-order AR(p) processes as regressing current values on previous values from the same time series.

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277 views2 pages

Quiz 3 Name: Kainat Iftikhar Reg# 2021630007 1. List Three Examples of Time Series Data. Time Series Data

This document contains a student's answers to a quiz on time series analysis. It defines time series data as quantities measured over time intervals, and lists examples like economic indicators and weather records. It identifies the four components of time series as trend, cyclic, seasonal, and random fluctuations. It explains MA(1) and higher-order MA(q) processes as weighted sums of recent error terms. It also defines AR(1) and higher-order AR(p) processes as regressing current values on previous values from the same time series.

Uploaded by

raja ahmed
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Quiz 3

Name: Kainat Iftikhar


Reg# 2021630007
1. List three examples of time series data.
Time Series data:
Time series data is a collection of quantities that are measured or assembled over even
intervals in time. Essentially, Time Series is a sequence of numerical data obtained at
regular time intervals.

For Example:
 Weather records
 Economic indicators
 Patient health evolution metrics

1. GDP of Pakistan
2. Heart beat rate of patient
3. Temperature in hilly area hourly.
4. Stock prices end of the day.

2. What are the four components of time series?


Following are the major components of time series analysis:
1. Trend (the long-term patterns or movements in the data.)
2. Cyclic (Cyclical variations are similar to seasonal variations. Cycles are often
irregular both in height of peak and duration.)
3. Seasonal (Regular periodic fluctuations that occur within year.)
4. Random (Unpredictable, random, “residual” fluctuations which are due to
random variations of nature, accidents or unusual events

3. Specify MA(1) and higher order MA(q) process.


Moving Average Process:
Moving averages are a simple and common type of smoothing used in time series
analysis and time series forecasting. Calculating a moving average involves creating a
new series where the values are comprised of the average of raw observations in the
original time series
Yt is constructed from a weighted sum of the two most recent values of 
MA(1): First Order MA process
Yt     t   t 1
MA(q): qth order moving average process:
Yt     t  1 t 1   2 t  2     q t  q
4. Specify AR(1) and higher order AR(p) process.
Autoregressive method:
An autoregressive (AR) model predicts future behavior based on past behavior. It's
used for forecasting when there is some correlation. An autoregressive model is
carried out when a value from a time series is regressed on previous values from that
same time series. for example, on y t − 1 : y t = β 0 + β 1 y t − 1 + ϵ t
An AR(1) process, with a constant (μ) is given by:
yt    1 yt 1  ut  AR (1)

E ( yt ) 
1  1

pth order autoregression given as: AR(p)


Yt  c  1Yt 1  2Yt  2     pYt  p   t

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THANK YOU!

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