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H20
HW10 (due Apr. 17)
Problem 1
Find the
normalized
spectral density of MA(3).
Problem 2
The graphs below show the sample ASF (left) and PASF (right) of 250 observations of a time
series with sample mean 10.
On the basis of the available information, choose an ARMA
model for the data, explaining your choice.
1.00
.80
.60
.40
.20
.00
.20
.40
.60
.80
1.00
0
5
10
15
20
25
30
35
40
Sample ACF
0
5
Sample PACF
Problem 3
Suppose you have a record (from
1
0
X
=
to
90
2
X
=
) of time series
1
0.8
tt
t
X
XZ
−
=+
with
normal
~ W
.
Give the best linear predictor and a 95% prediction interval for
N(0, 0.5)
t
Z
95
X
.
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This note was uploaded on 09/23/2009 for the course MATH 200 taught by Professor Gur during the Spring '09 term at Accreditation Commission for Acupuncture and Oriental Medicine.
 Spring '09
 gUR

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