Bonus Homework 4
(optional)
STAT 443
Winter 2007
1. Let cfw_Xt satisfy the equation
Xt =Zt + bZt-2,
(1)
where Zt is white noise with zero mean (E(Zt)=0) and variance Var(Zt)=2.
a) Find the autocovariance functions of Xt when b= 0.4;
b) Find the autocorrel
Homework 3
STAT 443
Winter 2007
1. Compute autocorrelation and partial coefficients of order k for an
AR(2) model with et ~ WN(0,1)
a) Zt=(1/3)Zt-1 + (2/9)Zt-2 +et
b) Zt=Zt-1 - (1/2)Zt-2 +et
2.
DESCRIPTIVE ABSTRACT:
Mutual savings bank data: end-of-month
STAT 443
Assignment #3
Kyuman Lee
20097635
1. Autocorrelation and partial coefficients of order k for an AR(2) model with et ~
WN(0,1)
a) Zt = (1/3) Zt-1 + (2/9) Zt-2 + et
* Autocorrelation coefficients:
Here we have a1 = 1/3 and a2 = 2/9. We then obtain
Homework 2
STAT 443
Winter 2007
1.
Let cfw_Zt be a sequence of independent standard normal random
variables with zero mean (E(Zt)=0) and common unit variance
(Var(Zt)=1).
The process Xt is defined as
Xt=Zt, if t is even;
Xt=
z t21 1
,
if t is odd;
2
a) de
Homework 1 Solution
Stat 443 Winter 2007
1. (12 points + 3 points bonus) Find mean and (auto)covariance of the process Xt
given below. Note that autocovariance of a random process Xt is just the usual
covariance but applied to dierent values of the same r
Homework 1
STAT 443
Winter 2007
1. Find mean and (auto)covariance of the process Xt given below. Note
that autocovariance of a random process Xt is just the usual covariance
but applied to different values of the same random process, i.e.
autocovariance o