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%]
a. Definition of a we
STA457H1S Midterm Test
Outline answers and marking scheme
DEFINITION/DISCUSSION [20 POINTS]
. Define a weakly stationary time series [10 points]
Outline answers/marking scheme:
Constant unconditional mean [3 points]
Midterm practice questions (July 2015)
1. Discuss the steps of time series analysis discussed in class.
2. Describe the components of classical decomposition in time series analysis.
Define a weakly stationary time series.
Examples of forecasting
1. Forecast an ARMA(1,1) model
a) Write down the forecasting function for eqn. (*).
b) Calculate the best linear forecast of
c) Calculate the 95% forecast (confidence) interval of th
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