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H11 - which can be reconstructed yearly over a period...

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H11 HW5 (due Feb. 28) Problem 1 Consider the general ARIMA(1, 2, 1) model. (a) Convert the model to the equivalent ARMA(3, 1) form. (b) Find the forecasts, ˆ , th 1 X h + , for the model. Problem 2 Analyze the Glacial Varve Series (use data file “data/varve.dat” to perform the analysis similar to that we did in class with “data/gnp.dat”, i.e., make necessary transformations, fit an appropriate model and carry out diagnostics). Melting glaciers deposit yearly layers of sand and silt during the spring melting seasons,
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Unformatted text preview: which can be reconstructed yearly over a period ranging from the time deglaciation began in New England (about 12,600 years ago) to the time it ended (about 6,000 years ago). Such sedimentary deposits are called varves . The time series is for the thickness of the yearly varves collected from one location in Massachusetts for 634 years, beginning 11,834 years ago. _________________________________________________________________________________________________________ Resampling Methods...
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