TRIBHWAN TINIVERSITI Exam.

INSTITUTE OF ENGINEERING
If"gi BE Fdl - Plarks i 80
Examination Cantrol Ilivision Frogramme Bt.ir,
",- -'.'
-'',.. '--.. -.. -.i,

2080 Chairra Veailliart IV/Ii

.$ubject: - 'llime series Analysis {Eiecti,v IIII 1{.E-S5AS)

Canilidal'cs are required to give iheir answers in their ortx w.or<is

as iar a-" practicabie.
Att entpt 4!! q u e,s {i o ns.
i* the margin inclicate Fu-tt btarks-
T'lte.fi,qures
,yecessg!.y tsbles are attachgd hereyith.
A s s ume s uit abl e clal c il- yte c e s s ur
- l&rucE
y*.
T[BRARY
1. lliffbrcltiale bets.een rleterrninistic an,l ra;ii1cm prccess. List 1.lie applications
series mcrdeling in water resources enEin+ering.
of time
12+2)
2" Defi*e fbllo*'ing terms: ,\dodei, \vhire lioise anri i(ealizaricr,.
th'-:
[1+1+1]
i. what cl'r \,'cu rnean by slationary ancl non-stationarl.iin:e series?
Erplain the method for
;issessing
the stalionarity of time series data tiirough rhe split recorcl
tesi.
{1+41
4' Thc annuai peak discharge {lrtrri) oll a rivei' basin far period
a ol 22 r-e ars is given beio.,v:
18.63, 20.91, j./.st), ti.0-i, 17.24, i7 s9. i.s1.
ts.7r, i5 .,r6, t8l
t3.t4, t5 3,t, r i.67. 13.:j
20."44,29"32,20.A8, i6.3J, t4 72, t0 t7,2Z.sS.22.89,
and26.jj
Test the goodness of {it of rormal. distribution to thc
ob-qerled data at s% signiiicance
lev*l bv chi-sq'ared test. utilise a class interr.ar sizc iif'-I
5" state and prove chebyshev's inequality. what are
its apptications? {4121
6' The first d autocorrelation coefficients computed frorn
i2 yearsof annuai flgw record at a
river sire are: a.430, -a.027, -0.4s7, -0.3i0,0.0s2 andb.qzs.
independence at 95% confidence level.
flow avlr
Test the ,vYY series for
i6]
7 ' starting from Yule-walker equatio nfor AR{,m) mo<iel,
obtain the
---- paranieters ur /4i\1r
re^."^.v!vau of lR(.1.1 and
AR(Z) rnodel.
i5l
I' classifr the fcllox'ing model. check rvhether it is stationary
or not. 4]rev' ra*u 1tr'
Atrso, find first five
1 F) .re,.
serial correlation coefficients. (xy - p) :0.5(x; *
U+Z+21
9' Assuming that an.aRi2J modei provides a stationary fit-to
antrual flow of a river whose
mean and srandard deviation are esrimared to be s
""i itirespectiveiy.
M;;, ,"*;i;;ly. The
r 0" Mruj
first and second corelation coefficients are a.352 and, -0"023
Generate the
annuai flow for tliree years using the chain of normal
.urdor' variates ta ae 0.Z5lB, -
4.6224 and -A.ST3B.
L10l
t0' A hydrologic variable is characterized by an AR(m)moder
uith o. : 4.gj.rt : 0.430 and
rs : -0'077' Determine the optimal pararneters of the AR(m)
model using L'w rr
Eeru- the Akaike
Information Criteria.
t6l
11' rnonthry_froys 1m3/s1 af a river arc 14.69, 48.. 6,
fh^e-mean 60.05, 4r.gB, r7.5j, 2.t3.
4"j5, 3.38, 2.89, 2.,78, 2.80, and s.g4. Appry the Fourier
r"ri.*io ,rpr*.?".Jin^'ri*
'rv'! Lrl*r
of the variance and prot a rine spectrum. tr0+2J
12" Generate a chain of 12 unifonaly distributed randam numbers within the
range 0 ta 0.g99
using the mixed congruential generator. multiptier :sro, incremeit : s6732,
modulus :Iff and. seed: 426{5, Also, obtai:r
-Take
-ffi random numbers from the
two nlnnal
sequence of the generated uniforrn random t u*u..*
the central !ura*
limit theorem
r'v'i
method.
[6+4]
'F**
 TRIBHUVAN UNIVERSITY Exam.
INSTITUTE OF ENGINEERNG Level BE Full Marlis 80

Pass Marks 't1

Exarnination Control Division Programme BCE

?078 Chaitra Year / Part IVIII fime 3 hrs,

,Syfiect:- Time Series Analysis (il,lecti1e lll) (cE78s0s)

,/ Caniiiriates ar* required to give their answers in their ou'n words as far as
practicable.
'/ . ttempt Altquestiorts-
t '{irc figures in the ntargirt intlic*te F'utl M{Lr:b
*$$r
d' Asswfie suitable clala ij'necessary).

L llefi,e the terms lnodel, populaticn- ".arnrlle. t'atriicn: variable, reaiization, normalization,
ensetnble alid ergodic. t4l
2. a) Enlist differeilt t,vpes of iryrJroiogicai time series data. 13l

t)) Give the impottance of trelld in tirtlt serie s' t3l

3. Ttre pro|abiiity ciistritrution l:+nction of o *,,11561)11 ston:n is as given below. t6l
fix):kx2for0<x<6h
f{x) = k1i2-x2i fi;r 6 ( x < i2h
f(x):0 elsern'here
Finci the value of k. Also, find the mean and standard deviation'

4. State and prove Chebl"shev's ineciuaiity principte. Erpiain limitations of Chebyshev's

theory. [2+3+1]

5. The first 9 autocorrelation coefficients comptited lrom 1 50 years 0f anmtal flow at a river
site are: A,425.0.005, -0.095, -0.05, -11"042^ -0.01, -0.018, -0.016, -0.055' Test the series
for i,dependence at 5on level o1'significance. Also snggest a suitable model for the series. t8l
6. Discuss general propelties of norntai <iistributlon' t3l
7. Describe the methods for the determinatic-n of parameters of the time seties models. t6l
8. Write the basic ecluation ol\4A, i\4A (2), ARiv{A (1. i )process' t3l
g. Assuniing that an AR (2) rnoclel provides a saiisfactor,v fit to anniul flow of a river whose
mcan and stanclarci deviatioir are estirnateel to be 515 l{mj and 120 Mm3. The first and
sec,ond serial correlalion coefficients are 0,458 and -0.004 respectively. Generate the
annual flovr.s for 3 years using tire chain of tr,trntal random nurnbers as A'2659, -0.8176
and -0.5789. Ugl
trg, Fcrr MA (2) process, following data are givetr: rr = 0.388 and rz
: 0.259. Compute the
paratneters B1 and P2. tsl
1 1. Whar is spectrai analysis? Why is it important in hydrological data analysis? t3l
12.Aprocess is givenbV (Xt - p) = 1.9 ((Xt-r - p)- 0.3(Xr.2 - ir) + e1. Classifythe processas
eR, Ue or ARMA. Is ihis process stationar,v? Determine the variance of Xt given the
variance of el as 1.0. Also obtain first five serial comelation coe.fficients. [2+2+Z*2]
13. Generate a sequence af 12 uniformly distributecl randorn numbers in the range of 0 to
0.999 using the mixed congruential, technique. Take multiplier:351, increment
:56377,
modulus : 105 and seed = 42675. And obtain the sequence of nounal random numbers
using Box * Muller method by using the previous sequence of uniform random numbers. tl21
 TRIBHUVAN I.'NIVERSITY Exam. Itcgular
INSTITUTE OF ENGINEERING Level BE Full Markr 80
Examination Control Division Programme BCE Pasr Marks 32
2077 Chnitra Year / Part MII Tlme 3 hrs.

'/ Candidates are required to give their answers in their owrr words as far as practicable.
/ Attempt All que.stions.
,/ figttres in the nutrgin indicate Full Msrks.
The
/ Assume suitable data if necessory.

1. Explain the fbllorp'ing terms: Times series, white noise, realization and ergodic property.
tS]
2. a) What do you mean by persistency in a time series? Differentiate between stationary
and non-stationary time series .
U)
b) For the following time series, examine whether there is trend in the data or not usiug
Spearman's rank correlation test.
t4l
t0.2, 12.4, 14.9, 15, 11.2, 14.3, 1g.4, 1g
Take value of Tabulated r for the given significance level as2.4.

3. a) The probability density function of a random variable is given by (x) = ),e -k fo,
x > 0. Determine l' of the distribution bV (i) Methods of moment (ii) Methods of
maximum like hood. t6l
b) Why do you need to perform Tests for Goodness of Fit in time series analysis?
Explain about chi-square test for Goodness of Fit.
L2+41
4. a) rfr/hat is correlogram? Explain the nature of correlogram plot for: [I+4]
(i) Stationary time series
(ii) Non stationary tirne series
(iii)random series
(iv)periodic series
b) Mean daily discharge (m3/s) of a river for 10 days is given below:
45, 42, 65, 73, 102, l2l, 149,225, 45A, 375. Compute autocorrelation coefficient for
first and second year lag using the simplified form of equation.
17l
5. a) Explain about &e procedurqwhich are followed for fitting the time series
model. t6l
b) Obtain the parameter of AR(2) model from yule:Walker equation. Also
discuss the
condition of stationarity and the nature of ACF of AR(2) model with sketches.
t6l
c) Classiff the following process as AR, MA or ARMA. Verifu whether they
are
stationary' (xt Ir) = 0.3(&-r - p) +et + 0.7et-r. Also determine
- the five serial
correlation co efficients.
[3+s]
6. a) Explain the Thomas-Fiering model of generating seasonal flows.
[10]
b) what is the difference between conelogram and periodograrn?
Lzl
7 ' Generate a chain of I
uniformly distributed random numbers in the range 0 to 0.999 using
the mixed congruential generator. Take multiplier = 361, inciement = 56377,
modulus = 105 and seed = +1lSS.
t8l
x**
 TRIBHWAN UNIVERSITY Exam. Ilegular / Back
INSTITUTE OF ENGINEERING Level BE Full Marks 80
Examination Control Division Programme BCE Pass Marks 3.t
2076 Bhadra Year / Part ry/u Time 3 hrs.

^fyliggl: ";Igg Sgle! Analysis (Etective rr0 GE Tssls)

'/ Candidates are required to give thsir answers in their own words as far as,
{ Attempt All questions.
/ Thefigures in tlte margin
indicate Full Marks.
y' Assume suitable data if necessary.
1. Describe time series modeling with examples. List the applieations of time series
modeling in water resources engineering.
l2+3]
2- a) Enlist different types of hydrological time series data. Describe any two in detail. 12+41
b) What is trend in time series? Discuss traro methods for the detection of trend. t4I
3. a) The joint probability density function given as:
f(x,y) = 0.5*(2x+7y") for0 <x< 1,0<y< 1
:0, elsewhere
Find the marginal function of X and Y. Are these random variables independent?
[Z+27
b) State and prove Chebyshev's inequality principle. L2+41
4. The first 9 autocorrelation coefficients computed from I50 years of annual flow at a river
site are :0.461,0.005, -0.095, -0.05, -0.048, -0.01, -0.018, -0.016, -0.055. Test the series
for independence at 90% confidence level. Also suggest a suitable model for the series. tg]
5' a) Assuming that an AR(2) model provides a satisfactory fit to annual flow of a river
whose mean and standard deviation are estimated to be 525 Mm3 and 140Mm3. The
first and second serial correlation coefficients are 0.458 and -0.004 respectively.
Generate the annual flows for 3 years using the chain of normal random numbers as
0.2619, -A.7fi6 and -0.5749.
tl0l
b) A process is given by (X,-p):1.S(Xt-r-p) - 0.5(Xt-z-p)+q. Classi& the process as AR,
MA or ARMA. Is this process stationary? Determine the variance of Xt given the
coeffrcients. 1Z+2+Z+S)
variance of el as 1.0. Also obtain first five serial correlation
c) Starting from basic equation of MA(m) obtain the parameters of MA(I) and MA(2). t6l
6. Generate synthetic seasonal flows for 4 seasons for a yeax using the follewing statistical
parameters and Thomas *Fierine model.
t10l
Season Mean flow (mr/s) Standard deviation Correlation with t=N(O,1)
previous season
1 10 8.8 0.63 0.25
) 2A 18 4.62 -1.71
a
J 60 57 0.20 0.31
4 I 8 0.05 0.11
n
Generate a chain of 8 uniformly distibuted random numbers in the range 0 to 0.999gg
using the mixed congruntial generator. Take appropriate muttiplier, increment, modulus
and seed. And also obtain the sequence of nonnal random numbers using Box-Muller
Method by using the previous sequence of uniform random numbers. [6+4]
**!f
l
' 1 06 E .TRIBHUVAN UNTVERSITY Exam. Il t:'1,1 tl:t r

t
I
INSTITUTE OF ENGINEERING Level BE Full Markr w
t
Examination Control Division Programme BCE PassMarks 32
2075 Bhadra Year lPart Iv/II Time 3 hrs.

_ f*j*t:: Tim: $.srse_slprysi: (p!:s"ty: !!!.{gp_lgi0t)

Candidates are required to give their answers in their own words as far as practioable.
Attempt All questians.
Thefigures in the margin indicate {#!!,Me$g,
Assurne suitabls data if necessary.

1. Differentiate between deterministic and random process. And also list the applications of
time series modeling in water resources engineering. [3+3]
2. Enlist the different types of hydrological time series data. Describe any two in detail. l2+41
a) The joint probability density function given as;
)
f(x, y) = i(x + 2y)forO < x <1,0 < y < 1
3
= 0,elsewhere
Find the marginal function of X and Y. Are these random variables independent? [3+3]
b) The annual runoff of a stream has a mean of 256 and standard deviation of 190. m3/s
respectively. Find the ranges within which the runoff will lie with a probability of at
least 0.5. Also, compaxe the Probability with the lower bound provided by
Chebyshev's inequality. For Normal diskibution, take z = 0.0785 for f(Z) = -1.414
andz=0.921 for F(Z) = 1,414. [3+3]
4. a) What is autocorrelation? How is it useful for the investigation of independent
process? lZ+21
b) consider the following set of data: {23.32,32.33,32.98,28.98, 3?..16,26.j3,29.gg,
32.69, 18.98, 21.23,26.66 and 29.89). Calculate the lag-one, lag-two and lag-three
sample autocorrelation of the time series
{Z+Z+Z\
5" a) Aprocessisgivenby(&- p):1.2(Xt-r - Ir) - 0.5CXt - p)+et. Classifytheprocess
AR, MA or ARMA. Is this process stationary? Determine the variance of Xt given
as
the variance of e1 as 1.0. Also obtain the five serial correlation coefficients.
1Z+Z+Z+47
b) The first serial correlation coefficient of MA (1) process is 0.4. Determiue the
parameter of the process.
t4l
c) Assuming an ARMA(I, 1) model is a good fit to describe the normally distributed
annual flows of a stream whose mean, standard deviation, first and second serial
correlation coefficients of observed annual flows of a stream are esf,imated to be 12l0
Mm3, 570 Mm3, 0.535 and 0.463 respectively. Generate 3 annual flows. The
sequence of 3 standard normal random numbers may be taken as f L123, - 0.821 and
- 4342.
[10]
6. Generate synthetic seasonal flows for 4 seasons for a year using the following statistical
palglqgIgt and Thomas- model.
Season Mean flow (m3/s) Standard deviation Correlation with previous season Z,:N(0,1)
tl0l
I l0 8,8 0.63 0.25
2 2A 18 0.62 -t.71
J 60 57 0.20 0.31
4 9 I 0.0s 0.1 1

7 ' a) Generate a chain of 6 uniformly distributed random numbers in the range 0 to 0.999
using the mix.ed congruential generator. Take multiplier = 361, increment = 56377,
modulus = 10' and seed = 42765.
t6l
b) Explain the central limit theorem method for the generation of normally distributed
random numbers.
I6l
 uoI- I RIBHUVAN UNIVL,RSITY ltxam. l{egulilr
INSTITUTE OF ENGINEERING Level BE FullMarkr 80
Examination Control Division Programme BCE Pass Marks 32
2074 Bhadra Year / Part IV/II Time 3 hrs.

Subject: - Time Series Analysis (Etectit'e tfN (C'8755051

'/ Candidates are required to give their answers in their orvn r.l.ortls as far as practicable.
'/ Attempt All questions.
'/ The figures in the margin indicate Fult ilIarks.
I A,rsume suitable data if necessory).

1. Explain time series data with examples. Discrrss the applications of tirne-series analysis in v*ater
resources engi neering.
[2+4)
2. Differentiate between stationary and non-stationary tirne series. Explain the split record test for
detecting stationarity in mean and variance of a time series data.
[3+5J
3. {a) The duration of a monsoon storrn is a randonr varjable whose pdf is given by

/(x) = kxz for o < x < 3fu l2+2+21

f(x) = k(6 * x)z far 3 3 x 3 7h
f(x)=0elser,^rhere
Find the value of k. Determine the corresponding CDF, What is the probability that
the duration
of the storm is less than 2h?
(b) Explain marginal probability. Rainfalldata considered as random variable
has a mear: of 20 and
variance of 1'6 and unknown probability distribution. Find the least probability with
which it lies
between 12 and 28. e+4\
4. (a) Derive Yule-waiker's equations for Autoregressive {AR) rnodel. what is the application
of these
equations in time series modeling? tgl
(b) The first 10 autocorrelation coefficients computed from 1.00 years of annual
flol; record at a river
site are: 0.15,0.09, 0.A2, -A.tZ, -0.11, 0.05, A.A7, -AJ,-0.0g,0.02
IBI
I\4aking a plot of correlogram, test the flow series for independenc€ at 95% confidence
level.

5. (a) rollowing form of a time series model fitted ro a data set.

is a
(Xt * il = 0.9(X,-, -p) + e, * 0.4e,-1
What is the type of the above mocJel? Aiso mention the crder of the nrodel. Verify whether
the
model is stationary.
I4l
b) Following are the annual flow values {m'/s) of a river for 10 years:
29A,249, 323,292,294,236, 225, 263,213, 1g0
Assuming AR(1) modelto be good fit for the above data, find out the pararneter
of the model.
lnstead of AR{1) model, if you want to select MA(1) model for the data, what will be the vatue
of its parameter? [1"0+2]

6. (a) Explain the concept of spectral analysis.

t2l
(b) Generate synthetic seasonal flows for 4 seasons for a year using the following
statistical parameters
by using Thomas-Fiering model. la 5t
It/-)
Season Mean flow (m'/si Standard Correlation with (: N(0,L)
deviation previous season
L 13 9 4.67 0.35
2 2s L2 0.61 -1.52
3 54 50 0.L8 0.24
4 10 7 0.07 0,15
 O6E TRIBI]LIVAN TINIVERSITY IIxam.
INSTITUTE OF ENGINEERING f,evel BE Full Marks 80

Examination Control Division Programme BCE Pass Marks 32

2074 Magh Year / Part IV/il Time 3 hrs.

Subject,'- Time Series Analysis (Eleuive III) (CE78505)

. '/ Candidates are required to give their ansu,ers in their ou,n u,ords as far as practicable.
./ Attempt All questions.
,/ Thefigures in the margin indicate Full Marks.
,/ Assume ,suitable data if necessary.

7. How is tinte series analysis linked to the physics of hydrological processes? Explain by giving an
example and appropriate expressions. t6]

2. Discuss homogeneity and seasonality in time series. Describe any one method to detect the
rancj6mness in a time series. [Z+41

3. (a) Explain the terms with appropriate expressions: Conditional distribution, marginal distribution and
derived distribution. l2+2+?l
(b) The probatrility density function of daily rainfall is given as t6l
Prob[X=0]=g'2
f(x\ =1 foro<x<1.0
5

f (x) - 1.2 -; for 1.0<x<2.0

is this a proper probability density function? lf yes, what is P[X>0.75] and what is P[X>0.75/X+0]?

4. (a) Explain the methods applied for estimating parameters of time series models. {61
(b) Autocorrelation coefficient from lag 1 to lag 10 of a variable is given below: t4l
0.62 0.13 0.09 -0.11 0.08 -0.06 0.16 -0.06 0.10 -0.073
Making a plot of ACF, suggest an appropriate order of AR model.
(c) ldentify the type of model and compute the first five autocorrelation coefficient for the process
represented by following expression: t6l

(Xt - tt) = €r * 1.\es-1* 0.3er-,

5. (a) The first and second serial correlation coefficients of observed annual discharge are 0. 7 and 0.5
respectively. Assuming AR (2) model is a good fit, find the parameiers of the model. t4l
(b) Fit an AR(1i model for the following annual rainfall data in mm: t10l
180, 1.50, 770, L45,130, 124
t2l
(c) What is an MA model?
6. (a) Assuming an ARMA(L,1) model is a good fit to describe the normally distributed annual flows of a
stream whose mean, standard deviation, first and second serial correlation coefficients of observed
annualflows of a stream are estimated to be 1i25 Mm3,536 Mm3,0.64 and 0.41 respectively. Generate
3 arnual flows. The chain of 3 standard normal random numbers may be taken as 1.024, 1.057 and
0.936. [14]

(b) Mention the salient features of ARMA(1,1) model. t2l

7. Describe the methods applied to generate uniformly distributed random numbers. t8l

***
 6 E TRIBHWAN UNIVERSITY Exam.
INSTITUTE OF ENCINEERING Level BE FuIl Marks 80

Examination Control Division Programme BCE PassMarks

2073 Bhadra Year / Part rvlil Time 3 hrs.

Svlks!:":-Irp:$*r1s*-"4ry1vitt!!!s"s!i,:{!2lc|1-s.Y-!)
Candidates are required to give their answers in their own words as far as practicable.
Attempt $ffquestions.
{he figures in lhe tnargin intlir:ute {all Marks.
Assume suitahle data lf nece,cszry.

1. What is the time series mcdeling and List the applications of time series modeling in
'water resources en gineering. t6l
2. a) Ditferentiate the foiiowing: t4l
(i) Statiernaiy and non*stationary time sedes
(ii) Trend and periodicity
b) Discuss any two methods for the detection of trend. L4l
r/)1
J" a) Where does the stochasticit)- come from in a hydroiogical process? lLl

b) State and prove the Chehyshev's inequality. L2+41

1 -tif
c) The'pdf of nonnal distribution is given by i(x)= --!:e
zo2 . F'ind the pararneters
o{:fi
pr and o by n:ethod of uraxiinum likeiihoor,i. t4l
1. a) Wirat is cross-corrslation and auto correlation? Hou, is conelation different from
regression? L2+2+2)
b) From a data set of 30 years flow, the auto correiation coefficient rr : [0.66, 0.3 , 0"01, 1

0.0, 0.01, 0.01 fbr k : I to 6. Plot the ACF (not necessary to the scale) and state how
man.v lag times u,culd you consider to fit a time series ;riodel to the data. t6]
The o, s*, 0,, r, of fte observerJ annual flows of a stream are estimated as 875 Mrn3, 262
M*1, 0.8 ancl 0.46 respectively. Generate a sequence of 3 arrrual fforvs assuming that the
flows are normally distributed and taking the chain oi three uriform random number as
0"3781, A.53702,0.98343. Use AR (2) model. [14]
6" Write down 'Ihomas-Fiering model for generation of seasonal flo'*'s. Explain the
significance crf each term in the model and explain clearly how the non-stationarity and
cyclicitl of the seasonal floq's are preserved, ii4l
7 " a) Generate a chain of 5 unit=crrmly distributed random numbers using mid-squ-are and
miel-product techniques. Assume the seed. I5l
b) Explain hc.w do you fit a tirne series using spectral analysis. [8]
t*{.
 6 E TRIBHWANUNTVERSITY Exam. New Back (2066 & Later Batc})
INSTITUTE OF ENGINEERING Level BE FUII Marks 80
Examination Control Division Programme BCE Pass Marks 32
2073Magh Year / Part IV/II Time 3 hrs.

$y_Ojggt_- Time Series Analysis (Eleuive rr, (CE75505)

'/ Candidates are required to give their answers in their own words as far as practicable.
,/ Attempt All questions.
{ Thefigures in the margin indicate Full Marks.
{ Assume suitable data if necessary.

1. model?
Discuss the time series model. What are the advantages and limitations of such
t6]
2. Explain trend, periodicity and jump in time series data with exarhples and sketches. t6]
3. a) Describe conditional distribution, marginal distribution and derived distribution. t6l
b) The annual runoff of a stream has a rnean of 510 and standard deviation of 90m3/s
respectively. Find the ranges within which the runoff will lie with a probability of at
least 0.5. Use Chebyshev's inequality. tdl
4- a) Define autocorrelation and list the equations used for its computation. How can you
use the autocorrelation analysis in the time series analysis?
[4+4]
b) Autocorrelation coefficient from lag I to lag 5 of a variable is given below.
0.s 0.3 0.0 0.0 0.0
Making a plot of correlogram, suggest an appropriate order of MA model. t6l
c) A hydrologic variable is described by an AR(l) model with mean : 120, variance :
950, first serial correlation coefficient : 0.5. Compute the standard deviation of the
random process.
t4l
5. a) Discuss the nature of autocorrelation function of AR(l) and AR(2) model with
sketches.
t4)
b) The mean, standard deviation, frst and second serial correlation coefficients of
observed annual flows of a stream are estimated as 900 Mm3, 280 Mm3, 0.7 and 0.5
respectively. Generate a sequence of 3 annual flows *r'r*iog that the flows are
normally distributed and taking the chain of 3 standard normal random numbers as
1.45,-1.16 and0.087. Use AR(2) model.
u2l
6. a) Explain the Yevjevich and Quimpo model for generating daily flows. t8l
b) The first and second serial correlation coefficients of observed annual rainfall are 0.7
and 0.5 respectively. Assuming ARMA (1,1) model is a good fit, find the parameters
of the model.
l6l
7. Describe the methods for the g"n"r#on of uniformly distributed random nurnbers.
t8l
:F{<*
 ilSE 1'l{lBt-lUVr\N i-i}''ii\iERSll'\' Exam. l{egUlilf ,i,;.

il'{STflii TE OF EhiGIhrfi LIr.il'{G Le.vel BE Full Merks w

fl xamlination Coruta'oi fl]ivisiom Prograrnme BCE Pass Marks 5,{

?07? Yenr / Part IViII Tirne 3 hrs.

"lshwin

Swltject: -
-fime Series Anai--r'sis (Eleclive lII) (C8785 0s)

{ Candiilates are required ic gi,,,e thr:ir ansrryers in their o'..r,n words as fttr as practicable.
/ Attt:wtpt AU- questions.
{ '{he
figures iit ihe rn*t'pin iitdicste l:*ltM$kl
,/ "Assurre suitable dttla tf nercssary.

t, Sxplain the foilowing terms: deterr*inistic process, whit* nr:ise, marginal distribution, parsimony *f
paranretsrs laxzj
2. Define the univaliilte and m*ltivariate tirne series and stationary ancl ron-statiunary time series
data. [?+?]
3. 'IIre duration of,a rnon.*oofl stsrnr X is a ranclom variable x,hcss prohability rlensity function
is given by I2+2+?l
f(x)*kx? for05x{6h
:k(12-x)zfar6h<xl-12h
=0 elsewhere
Find the value cf,k. Whal is the probabilit--r'that tne durati,;rr of'tht storm is betw'een 5h to th"
What is ihe probability ti'rat the duraticn of the storrn is between 6h to gh, given tirat th* storn:
has lasted irrrm 6h?

4,. {ffi,nefine central [imit theorern" How is this ccncept useful far the analysis af hydr*logical time ser ies
data? [2+2]
$4 $ffi annual runoff of a stream is rnodeled by a norr"oal clistributi+n, with me6n s 4tr0* rn3/s and
srandard deviation = ?50 m'is^ Find ttre raRges whieh is symrnetrical about rrrean withitl which the
runoff will lie with a glrobability of 0"5" Alsa, cornpar* the range using Chebyshev's ineqi:aiity {sncept
and cnmmeilt 0n lrhe result.
Fcr norrna! disgibutiorl, take Z = 0"6/5 for F{Z} =0.75 and Z = -A.675 fcr F(Z! =l)"?5.
{at4l

5" ta! VHtrat !s autocerrelatiori anaiysis? HCIrv is it usefui fcr-the rnvestigation of the time series eJatt?
[2+ri:
b) Bbtain the parameters of AR{Z} nrcdetfrom Yule-VJalker equation. Also, discuss the condition of
statiCIna!"ity and the nature of aut,:cor"c'elaiicn function cf AR(?) model with sketches. []+3+4]

6,",(al$how that the autacorrelation function for MA{mi model is

^ "- (-St+6r4x+r+.fir.fi x+z+','*Frr-t$:x)
f;t=@
Where pk = autoeorrelation coefficient for iag k, m - order of rnodel and S = paraffieter of model. t8l

7. ,6):rExplain the Thr:mas-Fiering rnodel tbr generating seascnal flows t8j

, ) A'osurning arr ARMA(1.1) model is a good fit to describe the normally distributed an**al
flows of a stream rvhose nle&n, standard cteviation, first an<! second seriai correlation
coefficients of observed annual flows of a strcam are estirnated to be 1210 Mm3,570Mm3,
0.535 and 0.463 respectivel,rz. Cenerate a sequ€nse of 3 annual llorvs using the foliowing
independent standard normai randorn ni.:mtrers I.i23, - 0.82i and -0.342" [X$]

8. Generate a chain of 5 uniformiy disiributed randoni numbers in the range 0 to 0.999 using tl're
:
mixed c$ngruentia! generetor. Tak* multiplier: 361, increment 56377, modulus = l0-5 anti
seed = 42765. tSI

*{(*
 : r' ilf :*i
Ii6E TRIEHUV,Th" lr}iiVER,fiITY i"nil*:-**--
t----'--------'-
:,i#iii:iil'fti *af.7,Bac[,.,,, ], I

INSTITLTTE OF I]}iGINEERIN [} i Level

l-evet l IfE : Full Marks 80

Ex*rniurat[on Control &ivisiom

2S7I hlhatlra 3 hrs.

Sw{$ect: - T'ims Series Anaiysis {Ele:t:rive it, (i-'E7S\\S)

Candidates are required to give their answers in their orvn words as fbr as practicable.
Attempt All questions"
Thefigures in the margin indicate Full Matkg.
Assurne suit*ble data if ruecessary.
1. trsthere any linkage of time series rnodel to physical process in Hydrology? Expiain by
giving example of rainfall-runoff process. [8]
2. W'jiat do you mean hy persistency in a time series? iliflbrentiate tlie fuiiowing: 1.2+2+2+21
a) Stationary and non-stationary time series
b) Univariate and multi'r,ariate time series
c) Trend and perdiodicity
3. a) The probability density function of norrnal distribution is given by
- 7 -(*-tr)2
f(x) -f
= r 2a2 . Find the parameters p and {r by rnethod of raaximum
o"l2n
likelihood. t6j
b) The probability density function of a randorn variable is given by t6l
{d:3,51#ifJ0<x<,
Find the probabilit-v that x wili take on a vaiue *'ithin 1.56 times standard deviations
of the mean and compare it with the lower bound provided by Chebyshev's
inequality.
4" a) Mean daily discharge (rn3lsl of a river for 10 days is given below: iSl
50, 48, 49, 67,78, i00, 1 15, 300, 650, 400
Compute first autocorreiation coefficient using the simplified form of equation.
b) For MA (2) process, following data are given: ri : 0.4, r: : 0.19. Cornpute pararneters
;31 and pz. i.+l
5. a) Startirrg l'orm Yule-\r/alker equaiion fcr AR im) rnodel. obtain the parameters cf
AR(i) and AR(2) uroulel" Al-qo explain the natlrre of autoccrrelatir:n fsnctian af AIi"{i)
model with sketches. [2+2r-3i
b) Assurning an AR.lvlA{3,l) model is a gcod fit to descrihe t}re nomally distributed
annual flows cf a strearn u,hr:s€ ffiean, standard derriation, first and secorrd sedel
correlatir:n coetTrsients of observed annual t'lows of a strea-rn are estimated t* be 75
m3/s, 3 m3ls, 0"5 and 0"3 respectively. Generate 3 annr:ai flcrlvs. Ttre cliain of' 3
standard nonnal raurlcm nuinbers may be takcn as - 1 . i 5, 0.38 and 1 .20. [10.i
e) \Yhat is an ARJ},'[A m*del. t3]
6" a) Explain the Thomas-Fiering model for generating seasonal {lows" L1$l
b) What is the diffErence between correlograrn and pericdogram? f2l
7 . Generate a chain of 6 uniformly distributed random numbers in the range ti i* 0.999 usir:g
the rnixed congruentlal gen*rator. Take multiplier : 36i, increment : 56377, mockrlus :
I05 and seed: 42765. i8l
 O6E TRIBHUVAN LINIVERSITY iExam.
f.*.-*--.--,..*..*.... New Back (2066 & Later Batch)
INSTITUTE OF ENGINEERING f,evel BE Full Marks 80
Examination Control Division Programme BCE PassMarks 32
2072 M:a,gh Year / Part IV/II Time 3 hrs.

Subject,' - Time Series Analysis (Eteuive IID CE7S505)

'/ Candidates are required to give their answers in their own words as far as practicable.
/ Attempt All questions.
'/ The figures in the ntargin indicate Full Marks.
y' Assume suitable data if necessary.

1. Differentiate between deterministic and random process. t3]

2. What is time series model? What are the processes that have to be followed in time series
modeling? l+2j
3. The annual rnaximum discharge 1m3/s; of a river for a period of 7 years is given below: i8]
14,16,13, ig, 26,22,19
Test the series for the presence of the trend using linear regression technique.
4. a) The probability density function of a random variable is given by
f(x) = Le-l* for x > 0. Find the parameter i of the disrribution by (a) method of
moments and (b) method of maximum likeihood. [3+3]
b) The probability density funcrion of a random r.ariabre is given by t6l
f(x)=6x(1-x) for 0<x<1
= 0 elsewhere
Find the probability that x will take on a value u,ithin 1.56 times standard deviations
of the mean and compare it with the lorver bound provided by Chebyshev's inequality.
5' a) 'What are different types of periodic series? Describe each of them in brief. t4l
b) Derive the Yule-walker equation for AR(m) model and obtain the relationship
between the variance of AR(m) process and independent process.
[6+4]
c) classify the following process as AR, MA or ARMA. verify whether they are
stationary, (X, - p) = (Xr_r - pr) + e, + 0.2e,_,
[1+2)
6. Generate synthetic seasonal flows for 4 seasons for a year from the following statistical
parameters using Thomas-Fiering model.
u21
Season Mean flow r(mr/s) Standard Correlation with (: N(0,1)
deviation previous season
t 1t 8.8 0.53 0.2s
2 20 10 4.62 -L.71
3 58 57 0.20 0.31
4 10 8 0.0s 0.11
7. The first 9 autocorrelation coefficients computed from 150 years of annual flow
record at
a river site are: 0.46, 0.005, -0.09, -0.06, -0.05, -0.01, -0.02,-0.016, -0.06
Test the flow series for independence at 95Yo confidence level. Also suggest [g+l]
a suitable
model for the series.
8' O Starting from the autocorrelation function of MA (m) model, obtain the parameters of
MA (1) and MA (2) modet.
b) Generate a chain of 5 uniformly distributed random nurnbers in the range t8l
0 to 0.999
using the mixed congruential generator Take multiplier :321, increment:
50001,
modulus = 10' and seed: 38975.
t8l