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Ssta031 Test2 2021

This document contains instructions and questions for Test 2 on the module SSTA031 (Time Series Analysis). It has two questions worth 25 marks each. Question 1 asks about (a) finding the first four pi weights of an ARMA process, (b) classifying three models as SARIMA processes, and (c) showing that differencing a stationary process with seasonal and trend components results in a stationary process. Question 2 asks about (a) defining the AR(1) model, (b) finding the mean of an AR(1) process, (c) defining the IMA(2,1) model, and (d) deriving the first four terms of the autocorrelation function for an

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George Van Kyk
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90 views

Ssta031 Test2 2021

This document contains instructions and questions for Test 2 on the module SSTA031 (Time Series Analysis). It has two questions worth 25 marks each. Question 1 asks about (a) finding the first four pi weights of an ARMA process, (b) classifying three models as SARIMA processes, and (c) showing that differencing a stationary process with seasonal and trend components results in a stationary process. Question 2 asks about (a) defining the AR(1) model, (b) finding the mean of an AR(1) process, (c) defining the IMA(2,1) model, and (d) deriving the first four terms of the autocorrelation function for an

Uploaded by

George Van Kyk
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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UNIVERSITY OF LIMPOPO

FACULTY OF SCIENCE AND AGRICULTURE


SCHOOL OF MATHEMATICAL AND COMPUTER SCIENCES
DEPARTMENT OF STATISTICS AND OPERATIONS RESEARCH

TEST 2

MODULE : SSTA031 DATE : 11 JUN 2021


(TIME SERIES ANALYSIS)
TIME : 2 HOURS MARKS : 50

FIRST EXAMINERS : MR KN MASWANGANYI


MR TB DARIKWA
SECOND EXAMINER : MR H MALULEKE

THIS PAPER CONSISTS OF TWO PAGES INCLUDING COVER PAGE

INSTRUCTIONS:

1. Answer all questions.


2. Write neatly and legibly.
3. Number your questions correctly.
4. Round off your final answers to three decimal places.
SSTA031 TEST2 2021

QUESTION 1 [25]

a) Consider an ARMA (1,1 ) process given by x t =0 .5 x t−1 +z t −0 .3 z t−1 .


Find the first four π weights. (10)

b) Classify each of the following models as SARIMA ( p ,d , q )×( P , D , Q )s .

(i)
x t =0.7 x t−12+z t +0 .5 z t−12 . (3)

(ii)
x t =z t −1.3 z t−4 +0 .4 z t−8 . (3)
2 12
(iii) ( 1−1 .3 B+0 . 5 B )( 1−B ) x t =( 1+0 . 5 B ) z t . (3)

c) Let
{Y t } be a stationary process with mean zero and let a and b be constants.

If
x t =a+bt + st +Y t where
s t is a seasonal component with period 12, show that

12
∇ ∇ 12 x t =(1−B )(1−B )x t is stationary. (6)

(Hint: Use the fact that the seasonal effect is the same for all times, i.e.
s t =st−12 , for all t . )

QUESTION 2 [25]

(a) What is the AR(1) model? To fix notation, use


c t ,c t−1 etc. as the time series. (3)

(b) For the AR(1) model, find the mean, of


c t . Hint: E(c t )=E(c t−1 )=μ .
(5)
(c) What is the IMA(2,1) model? Use the same notation as in (a). (7)

(d) The Yule-Walker equations for an AR (2 ) process are given by

ρ(k )=φ 1 ρ(k −1)+φ2 ρ(k−2 )

Use the Yule-Walker relationship to derive the first 4 terms in the autocorrelation function for an

AR (2 ) process.
(10)

2|Page

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