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T3 - STA4005B Time Series(2007-2008 Tutorial 3(29/1...

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STA4005B Time Series (2007-2008) Tutorial 3 (29/1, 30/1) (Time & Venue: T9, LSB G25; W5, LSB G25) Suppose a time series, { } 144 , , 3 , 2 , 1 : K = t Z t , is given in a dataset called “data1.xls”. STEP 1 Rewrite models into matrix form Model (a) , 12 2 sin 12 2 cos 2 1 0 t t X t t Z + + + = π β π β β 0 ) ( = t X E Matrix Form: Model (b) and = = + + + + = eger i t eger i t I X I I I Z i t t int 12 / ) ( , 0 int 12 / ) ( , 1 , 12 12 2 2 1 1 β β β L 0 ) ( = t X E . Matrix Form: 1
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