Department of Statistical and Actuarial Sciences, University of Western Ontario
Statistical Science 4861B and 9861B: Time Series
Instructor: R. Zitikis ([email protected])
PRACTICE PROBLEMS
NOTE: All time-series equations should be supplemented with fo
install.packages("quantmod")
require("quantmod")
getSymbols("IMO")
tail(IMO)
chartSeries(IMO)
#starting beginning of 2013 to present. Use white background.
getSymbols("AAPL",src="yahoo", from="2013-01-01")
chartSeries(AAPL, theme="white")
#Series G#
z <-
Statistical Summary Midterm 1
A total of 57 students wrote this test. The class average was 59.7% with a standard deviation of
24.6. The five number summary (Wikipedia, http:/en.wikipedia.org/wiki/Five-number_summary,
LINK) was 21., 40., 58., 83., 100. an
SS4861 Time Series Analysis
Tutorial Session
Ken Jinkun Xiao
1 Department
of Statistical and Actuarial Sciences
University of Western Ontario
Tutorial Session 2014
Ken Jinkun Xiao
SS4861 Time Series Analysis
Stationarity
Strict or Weak Stationarity
Strict
Review
MME Prediciton in GLP
Sample Mean Property
Homogenous Linear Difference Equation
SS4861 Time Series
Tutorial Session
Ken Jinkun Xiao
Department of Statistical and Actuarial Sciences
Feb 11 2014
Ken Jinkun Xiao
SS4861 Time Series
Review
MME Predicit
Midterm 1, Statistics 4861/9861
Thur Feb 13 7-9pm. (2 hour time limit)
Arthur & Sonia Labatt Health Sciences Building (HSB) Room 240
Copyright A. I. McLeod, 2014
Question 1
Only a brief answer to each part is requested. As a guideline I have indicated the
Comments
On your exam you received a score, X , out of 105 including the bonus. Exams which were easy to read
and mark received the bonus. Those exams that were more difficult to read due to poor or incorrect
notation or for other reasons did not receive
Department of Statistical and Actuarial Sciences, University of Western Ontario
Statistical Science 9861B and 4861B: Time Series
Instructor: R. Zitikis ([email protected])
Lecture Note 2 (January 11, 2016)
1. Refresher: regression
Given
(xi, zi),
i = 1
Statistical Science 4861B and 9861B: Time Series Instructor: R. Zitikis ASSIGNMENT 1
(1) Suppose we have the equation (1 B)yt = (1 B)at . Does it imply yt = at ?
(2) Prove that (1 + B k )(1 B k ) = 1 B 2k , where B is the backward shift operator.
2
R. Zit