SOLUTION (STA457H1S MIDTERM TEST)
A. DEFINITIONS (30%)
1. Define a weakly (covariance) stationary time series and under what conditions a weakly stationary
time times is also a strictly stationary time series. [10%]
Suggested answer:
a. Definition of a we

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w.
STA457H1S Midterm Test
Outline answers and marking scheme
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di
a
DEFINITION/DISCUSSION [20 POINTS]
. Define a weakly stationary time series [10 points]
Outline answers/marking scheme:
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ID
:
16
75
0
i.
Constant unconditional mean [3 points]
ii.

Midterm practice questions (July 2015)
A. DEFINITIONS
1. Discuss the steps of time series analysis discussed in class.
2. Describe the components of classical decomposition in time series analysis.
3.
Define a weakly stationary time series.
4.
Describe th

Examples of forecasting
1. Forecast an ARMA(1,1) model
Suppose
that
.
Answer
the
following
questions:
a) Write down the forecasting function for eqn. (*).
b) Calculate the best linear forecast of
.
c) Calculate the 95% forecast (confidence) interval of th

PRACTICE QUESTIONS
DEFINITIONS
1. Define a weakly (covariance) stationary time series and discuss under what conditions a weakly
stationary time times is also a strictly stationary time series.
2. Define the classical decomposition of time series, and des