5.5
3000 observations of a Gaussian MA(1) with coefficient 0.6 and WNV=1.0
were generated using ITSM. The option Transform>Subsequence allows
you to pick out the independent subsamples 1-200, 301-500, , 2701-2900,
and get independent estimates for each of
Homework 2 - STAT 551
Due in class, Thursday, Sept 17
1. B&D: 1.13 (B&D refers to Brockwell & Davis)
2. B&D 2.1 (Hint: Find write out E(Xn+h (a + bXn )2 in terms of covariances and minimize
with respect to a, b)
3. B&D: 2.4
4. B&D: 2.21.
Hint: To nd the b
Homework 3 - STAT 551
Due in class, Thursday, Sept 24
1. B&D 2.9
Youll have to use the denitions of MA(1), AR(1) and ARMA(1, 1), but this should
be ok here; see example 2.2.1, denition 2.3.1, example 2.4.3, example 2.4.4.
2. B&D 2.12
3. B&D 2.15
4. B&D 3.
Homework 2 - STAT 551
Due in class, Thursday, Sept 17
1. B&D: 1.13 (B&D refers to Brockwell & Davis)
2. B&D 2.1 (Hint: Find write out E(Xn+h (a + bXn )2 in terms of covariances and minimize
with respect to a, b)
3. B&D: 2.4
4. B&D: 2.21.
Hint: To nd the b
Stat 551 Exam 1
October 25, 2012
I have neither given nor received unauthorized assistance on this examination.
_
Signature
_
Name Printed
There are 14 parts on this exam. I will score every part out of 10 points and take your best
10 of 14 scores. (Budge
Stat 551 Exam 1
October 25, 2012
I have neither given nor received unauthorized assistance on this examination.
_
Signature
_
Name Printed
There are 14 parts on this exam. I will score every part out of 10 points and take your best
10 of 14 scores. (Budge
Stat 551 Exam 2
December 12, 2012
I have neither given nor received unauthorized assistance on this examination.
_
Signature
_
Name Printed
There are 12 parts on this exam. I will score every part out of 10 points and take your best
10 of 12 scores. (Budg
Stat 551 Exam 2
December 12, 2012
I have neither given nor received unauthorized assistance on this examination.
_
Signature
_
Name Printed
There are 13 parts on this exam. I will score every part out of 10 points and take your best
10 of 13 scores. (Budg