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Sample_Test_One_Solution

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10 views

Sample_Test_One_Solution

Uploaded by

tylgclash
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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1.

( 20 points)

(a) (8 points) What are the two conditions for stationary time series?

"Xt- l> S-/cvf i<N\o.~ ~j .


0); E¼=IU iri~rh«J ref -t

(2--) ·, (J(}i )-= [6\J (rt1+1i /Yt ) {]fl~ ~nd}, 01\ h .

(b) (12 points) Consider the time series

Xt = WtZt,
where {Wt} and { zt} are two independent white noise processes with variance
a 2 . Check whether Xt is a stationary process.

C2 J crlh )-.:~ Cov ( f'X.t:tt1, 0Ct )


=- t_ ?(w/Xt - f extt-"' E."X-r-
=- t= rx-t+h rx1:
::._ b ( LUi+h (t+-h u\Jt 2-t)
=- t: (GUltti LVL ) t (~t+1, ~-l >
-- 6 t+-1 h=<o
L O/ o+l~rGv~ .
2. (20 points) Consider the MA(l) process

Xt =Wt+ 0Wt-l·

(a) (12 points) Compute the autocovariance function for x 1

1. ./ ()t~ .}__) 62. h


O'lV\)= L () 6", / /hi:=/
0 1 O~:JQ

l.ieQ ~re. note LN2 -1-2_0.nn 0 tcited.r)Jf


Jeto.ifa'
(b) (6 points) Compute the ACF for Xt

lI h~-
()
f+l9:i.. I 1~1
0 1 ot~rwile ,

(c) (2 points) Is x 1 a linear and causal process?

. {P B:J ckJ,,J,<•, L, t lQc,r pro {9(!, _r~ wk} havQ_ 1wi


fvrW\ of !Xt .:c_ IU-+ f:., lfj Wi -j _ 5-«-l't /</JO
0<t co~ {;Q_ cLeor~ wr-dteA Ct'~ uho~ b~ 1eltL:,
IU-=-o ) Lfo ==- I I :: () 1
3. (20 points) Consider the trend stationary model

Xt = f3o + f31t + Wt,


where Wt is a white process.

(a) (10 points) Check whether 'vxt = Xi - x 1_ 1 is stationary.

[ I) k Vf'Kt - b rxt- E?X-t,


-=- fo+~11- ( ~+ f1 ct-1) )
-= @1 /,1c~c&w/ of -t-
( 2-) 'oLh y~ Cu\J ( ,7/Xt+ry I C?tX-t: )
M-
- {_,-
~ ( d / ~llt , j-
-= CJVl tx't+~ - rxt1-,d / rx-f -rxt-,)
::::. C{J\) (_ f,
-t-lVt-H,- ~i-1, Wt-Lvt-1)1,+
-== cw Luvt+h, W+ > - Cov(lvt+ii , (,,Vt-, )-C<JvC(;Vt ,A,,
(b) (10 points) Let B be the back-shift operator. 'Express (1-B)2xi using the time fhi, v \ff;)
series w,,, f3o, f31 and t. fC,SV( LV-Hh-1,
2 6 ).. h=-o lVt-1 )
)
l~I
o/ ot luU'lv~

(J- B) 2
rxt ul- 2g i- /?/-JX,t-
- rxt -2rx-t-, t rx-&-2.
- ..t~ t-t-~\Jt, - 2(fi>t~, {;t~),-t~vt-1)f ?ot~ili-i)-H4-l
1

W+ - lGVt-1 -t Gv t-2. .

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