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Time Series Analysis Dec 2020

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14 views3 pages

Time Series Analysis Dec 2020

Uploaded by

hardikbhansalistat22
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Unique Paper Code : 32377905

Name of the Paper : Time Series Analysis (DSE-1(i))

Name of the Course : B.Sc. (Hons.) Statistics under CBCS

Semester : V

Duration : 3 hours

Maximum Marks : 75 Marks

Instruction for Candidates

Attempt any four questions. All questions carry equal marks. Use of a calculator is allowed.

1. State the conditions under which the Moving Average method can be recommended
for trend analysis? How will you determine the period of the moving average?
Calculate the 4-yearly moving average of the following data relating to sales in a
departmental store:

Year 2000 2001 2002 2003 2004 2005 2006 2007


Sales (in
crores of 960 976 974 996 1024 1040 1688 1128
Rs.)

Year 2008 2009 2010 2011 2012 2013 2014 2015


Sales (in
crores of 1144 1120 1140 1168 1196 1212 1200 1180
Rs.)

Further show that centered moving average values of period 4 are same as the
weighted moving average value of period 5 with weights 1,2,2,2,1.

2. Explain what is meant by seasonal fluctuations of a time series. A company manufactures


bicycles. Given the quarterly production figures of the company for the last 4 years, explain
the procedure to compute seasonal indices by the ‘link relatives’ method. Use link- relatives
method to compute seasonal indices from the recorded production figures given below:

YEAR Q1 Q2 Q3 Q4
2016 420 414 502 365
2017 491 456 516 337
2018 463 365 478 310
2019 502 487 536 404

3. Describe the method for the estimation of the variance of the random component of a
time series. For large samples, how will you check for the homogeneity of two
successive estimates of variances? If is a random series, show that the correlation

between successive items of for long series is and hence tends to -1 as k

increases.

4. Explain what is meant by a weakly (or second-order) stationary process and define
the autocorrelation function, for such a process. Show that the ac.f of the
stationary second order AR process

is given by

( ) ( )

Under what conditions is a second order MA process stationary?

5. Explain clearly the steps involved in Box-Jenkins approach to forecasting. For the
model ( )( ) ( ) classify the model as an
( ) process. Determine whether the process is stationary and
invertible. Evaluate the first three weights of the model when expressed as an
( ) model. For the given ARIMA model, find the forecasts for one- and two-
steps-ahead and show that a recursive expression for forecasts three or more steps
ahead is given by
̂ ( ) ̂ ( ) ̂ ( )

6. When is Simple Exponential Smoothing procedure an optimal method to use?


What values can the smoothing constant take on? What is the impact of various
values of the smoothing constant on the smoothed time series? The table below
shows the temperature (degrees C), at 11 p.m., over the last ten days:

Day 1 2 3 4 5 6 7 8 9 10

Temperature 1.5 2.3 3.7 3.0 1.4 -1.3 -2.4 -3.7 -0.5 1.3

Calculate a three-day moving average forecast for the temperature at 11 p.m. on


day 11? Apply exponential smoothing with a smoothing constant of 0.8 to derive a
forecast for the temperature at 11 p.m. Which of the two forecasts for the
temperature at 11 p.m. on day 11 do you prefer and why?

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