hwk3 - Time Series Analysis Problem Sheet 3 Hand in...

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Unformatted text preview: Time Series Analysis Problem Sheet 3 Hand in solutions to questions 2 and 3 on Thursday 20th November at the 10.00 lecture. LATE solutions will NOT be accepted unless you have very good reasons supported by evidence. Your solutions to this sheet COUNT TOWARDS ASSESSMENT . For the practical questions on this sheet you will need to use R. See the document “Introduction to R for time series analysis” available on the course website. http://www.maths.bris.ac.uk/~mazlc/TSA.html 1. This question is about exponential smoothing. As an approximation to the procedure in the notes we can exponentially smooth a finite time series l 1 ,...,l N by ˆ l ( N, 1) = N X j =1 α (1- α ) j- 1 l j . This is easily implementable as an R function by the command > es <- function(x, alpha) { sum(rev(x)*alpha*(1-alpha)^(0:(length(x)-1))) } which creates the function es() which requires two arguments: x the vector that you want to smooth and alpha the smoothing parameter. The rev() function reverses the elements of a vector.a vector....
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This note was uploaded on 10/19/2009 for the course MATH 611 taught by Professor Jsdkasj during the Spring '09 term at Kansas.

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hwk3 - Time Series Analysis Problem Sheet 3 Hand in...

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