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Unformatted text preview: Stat 5101 (Geyer) Fall 2011 Homework Assignment 5 Due Wednesday, October 19, 2011 Solve each problem. Explain your reasoning. No credit for answers with no explanation. If the problem is a proof, then you need words as well as formulas. Explain why your formulas follow one from another. 51. Suppose X 1 , X 2 , ... are IID random variables having mean μ and variance τ 2 . For each i ≥ 1 define Y i = 5 X j =1 X i + j Then Y 1 , Y 2 , ... is called a moving average of order 5 time series, MA(5) for short. It is a weakly stationary time series. (So far this repeats the setup for Problem 46.) If Y n = 1 n n X i =1 Y i show that Y n 5 μ = O p ( n 1 / 2 ) . 52. Suppose that X 1 , X 2 , ... are IID random variables. For some subset A of the real numbers, define Y i = I A ( X i ) , i = 1 , 2 ,... and Y n = 1 n n X i =1 Y i . Show that Y n converges in probability to Pr( X i ∈ A ), and in fact Y n Pr( X i ∈ A ) = O p ( n 1 / 2 ) ....
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This note was uploaded on 02/07/2012 for the course STAT 5101 taught by Professor Staff during the Fall '02 term at Minnesota.
 Fall '02
 Staff

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