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info abt mid-term

# info abt mid-term - V ar ˆ β V ar ˆ β 1 SSTO SSE etc(e...

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STA 4005B Mid Term Examination (Total Marks 35) (Close-book and close-notes) Date: March 7, 2008 (Friday) Time: 9:35am-11:05am Place: Lady Shaw Building LT1 Please be noted that every student has a seat number. Approved calculators are allowed. Topics may include 1. Given a time series { Z t ) } , calculate E ( Z t ) , V ar ( Z t ) , γ t,s , γ k , ρ t,s , ρ k . 2. Stationary - Weakly Stationary (Stationary)/ Strictly stationary. 3. Model of regression type (a) Given a model Z t = μ + X t , t = 1 , ..., n , know how to calculate ¯ Z and V ar ( ¯ Z ). (b) Given a model Z t = μ t + X t , t = 1 , ..., n , know how to write the model in matrix form. (c) Understand the brief review on regression in Notes 3. (d) No need to memorize the formulas of
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Unformatted text preview: V ar ( ˆ β ) , V ar ( ˆ β 1 ) , SSTO, SSE, etc. (e) No question on cosine trend model. 4. AR(p), MA(q), ARMA(p,q), AR characteristic polynomial/equation, MA char-acteristic polynomial/equation, Yule Walker equations, the conditions of sta-tionarity and invertibility. 5. The representation forms of Z t = ψ ( B ) a t , a t = π ( B ) Z t . 6. The general form of ρ k for an AR(2) model for the case where the roots of the characteristic equation are real and distinct. 7. To write Z t in terms of W t . 8. Identifying ARIMA models....
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• Spring '08
• WU,KaHo
• Stationary process, Autoregressive moving average model, Autoregressive integrated moving average, Cyclostationary process, Lady Shaw Building, model Zt

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