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11_29ans - t t 2 y y y y t t 16 – 4 16 – 8 4 22 2 4 –...

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STAT 420 Examples for 11/29/2007 Fall 2007 1. Calculate r 1 and r 2 for the time series 16 22 19 25 18 ( Note: In practice reliable autocorrelation estimates are only obtained from series consisting of approximately 50 observations or more. ) r k = ( ) ( ) ( ) ° ° = - = + - - - N N t t k t k t t y y y y y y 1 2 1 5 18 25 19 22 16 + + + + = y = 20 . t y y y t - ( ) 2 y y t - ( ) ( ) 1 y y y y t t - - +
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Unformatted text preview: t t--+ ( ) ( ) 2 y y y y t t--+ 16 – 4 16 – 8 4 22 2 4 – 2 10 19 – 1 1 – 5 2 25 5 25 – 10 18 – 2 4 50 – 25 16 ( ) ( ) ( ) 50 25 1 2 1 1 1 1-=---= & & =-= + N N t t t t t y y y y y y r = – 0.5 . ( ) ( ) ( ) 50 16 1 2 2 1 2 2 =---= & & =-= + N N t t t t t y y y y y y r = 0.32 ....
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