hwk1soln(1) - STSCI 4550 / ILRST 4550 / ORIE 5550 Applied...

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STSCI 4550 / ILRST 4550 / ORIE 5550 Applied Time Series Analysis, Spring 2012 Professor David S. Matteson Assignment #1 Suggested Solutions Out of 14 possible points Note: BJR refers to class text: Time Series Analysis: Forecasting and Control, 4th Edition by Box, Jenkins, Reinsel (2008) 2.1.a (1 pt(s)) Figure 1: Plot of the original time series. 1
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2.1.b (1 pt(s)) Figure 2: Plot of the z t +1 versus z t . There is an obvious trend here - the values of z t +1 appear to depend on values of z t . In particular, there seems to a positive correlation. 2
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2.1.c (1 pt(s)) Figure 3: Plot of the z t +2 versus z t . The trend seems to disappear at the second lag, as we do not see any kind of obvious trend here. This would mean that the series is autocorrelated to the first lag, but not to the second lag. One could argue that there is still some depedence, but without actually seeing the autocorrelation values it is hard to tell. One thing for sure is that there is definitely less dependence at the second lag than at the first lag.
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This note was uploaded on 04/01/2012 for the course ORIE 5550 taught by Professor Matteson during the Spring '12 term at Cornell University (Engineering School).

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hwk1soln(1) - STSCI 4550 / ILRST 4550 / ORIE 5550 Applied...

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