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hw4 - z 1,z 2,z n are i.i.d standard normal and σ 2 i = ω...

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STAT240 ASSIGNMENT DUE DEC 5, 2008 For Stanford Student and SCPD student Problem 1(Shaojie Deng) (1) Ex 1.7(a)(b)(c)(d) (2) Plot the autocorrelation function of the residual and perform the Ljung-Box test to determine whether there are significant departures from the assumption of i.i.d. i . What would you recommend to do if there is departure? Problem 2(Ling Chen) (1) Ex 4.1 (2)Consider the case where i = σ i z i , where
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Unformatted text preview: z 1 ,z 2 ,...,z n are i.i.d. standard normal and σ 2 i = ω + λσ 2 i-1 + γ± 2 i-1 . Describe how you would evaluate the maximum likelihood estimate of ( α,β,ω,λ,γ ). Problem 3(Bin Wu) Ex 5.5. Instructions on how to hand in the homework: Only hard copy accepted. Either in class or put it in Lai’s office(on 1st floor of Sequoia Hall). Do not send it through email. 1...
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