GOVERNMENT COLLEGE OF SCIENCE WAHDAT ROAD LAHORE-STATISTICS DEPTT BS 4 YEARS -

VII
(41-105 - STAT-411-Time Series Analysis-I-20.02.19) -Dr. Shahid Iqbal- Points 50 Time Allowed 1.5 Hrs
1. (a) Prove the properties of ACF (i) 𝜌𝑘 = 𝜌−𝑘 (ii) -1≤ 𝜌𝑘 ≤1.
2. (a) Derive recursive rule and use it to derive Yue-Walker equations finding formulas for 𝜙11, 𝜙22 and 𝜙33 Further
16 2 |𝑘| 5 1 |𝑘|
given the ACF for an AR(2) process 𝜌𝑘 = (21) (3) + (21) (− 3) for k=1,2,3..Find partial autocorrelation at lags
k=1,2,3.
1 𝟏 |𝑘| 𝜋|𝑘| 𝟏 𝜋|𝑘|
(b) Show that ACF of AR(2) process 𝑌𝑡 = 𝑍𝑡 + 𝑌𝑡−1 − 2 𝑌𝑡−2 is 𝛒𝐤 = ( ) (cos 4
+ 𝟑 sin 4
)
√𝟐
𝟐 𝛒 −𝛒𝟐
3 a-Explain the concept of Partıal autocorrelation and show that the theoretical PAC of order 2 i.e. for k=2 is 𝛒𝟐𝟐 = [ 𝟏−𝛒 𝟏
𝟐]
𝟏
b- Show that the processes given in (i) and (ii) are stationary and/or invertible also find their equivalent MA and
AR representations. (𝑖) 𝑌𝑡 = 1.3𝑌𝑡−1 +𝑍𝑡 − 0.4𝑍𝑡−1 (ii) 𝑌𝑡 = 1.2𝑌𝑡−1 +𝑍𝑡 + 1.4𝑍𝑡−2

GOVERNMENT COLLEGE OF SCIENCE WAHDAT ROAD LAHORE-STATISTICS DEPTT BS 4 YEARS -VII

(41-105 - STAT-411-Time Series Analysis-I-20.02.19) -Dr. Shahid Iqbal- Points 50 Time Allowed 1.5 Hrs
3. (a) Prove the properties of ACF (i) 𝜌𝑘 = 𝜌−𝑘 (ii) -1≤ 𝜌𝑘 ≤1.
4. (a) Derive recursive rule and use it to derive Yue-Walker equations finding formulas for 𝜙11, 𝜙22 and 𝜙33 Further
16 2 |𝑘| 5 1 |𝑘|
given the ACF for an AR(2) process 𝜌𝑘 = (21) (3) + (21) (− 3) for k=1,2,3..Find partial autocorrelation at lags
k=1,2,3.
1 𝟏 |𝑘| 𝜋|𝑘| 𝟏 𝜋|𝑘|
(b) Show that ACF of AR(2) process 𝑌𝑡 = 𝑍𝑡 + 𝑌𝑡−1 − 2 𝑌𝑡−2 is 𝛒𝐤 = ( ) (cos 4
+ 𝟑 sin 4
)
√𝟐
𝟐 𝛒 −𝛒𝟐
4 a-Explain the concept of Partıal autocorrelation and show that the theoretical PAC of order 2 i.e. for k=2 is 𝛒𝟐𝟐 = [ 𝟏−𝛒 𝟏
𝟐]
𝟏
b- Show that the processes given in (i) and (ii) are stationary and/or invertible also find their equivalent MA and
AR representations. (𝑖) 𝑌𝑡 = 1.3𝑌𝑡−1 +𝑍𝑡 − 0.4𝑍𝑡−1 (ii) 𝑌𝑡 = 1.2𝑌𝑡−1 +𝑍𝑡 + 1.4𝑍𝑡−2

GOVERNMENT COLLEGE OF SCIENCE WAHDAT ROAD LAHORE-STATISTICS DEPTT BS 4 YEARS -VII

(41-105 - STAT-411-Time Series Analysis-I-20.02.19) -Dr. Shahid Iqbal- Points 50 Time Allowed 1.5 Hrs
5. (a) Prove the properties of ACF (i) 𝜌𝑘 = 𝜌−𝑘 (ii) -1≤ 𝜌𝑘 ≤1.
6. (a) Derive recursive rule and use it to derive Yue-Walker equations finding formulas for 𝜙11, 𝜙22 and 𝜙33 Further
16 2 |𝑘| 5 1 |𝑘|
given the ACF for an AR(2) process 𝜌𝑘 = ( ) ( ) + ( ) (− ) for k=1,2,3..Find partial autocorrelation at lags
21 3 21 3
k=1,2,3.
1 𝟏 |𝑘| 𝜋|𝑘| 𝟏 𝜋|𝑘|
(b) Show that ACF of AR(2) process 𝑌𝑡 = 𝑍𝑡 + 𝑌𝑡−1 − 2 𝑌𝑡−2 is 𝛒𝐤 = ( ) (cos 4
+ 𝟑 sin 4
)
√𝟐
𝛒 −𝛒𝟐
5 a-Explain the concept of Partıal autocorrelation and show that the theoretical PAC of order 2 i.e. for k=2 is 𝛒𝟐𝟐 = [ 𝟐 𝟐𝟏]
𝟏−𝛒 𝟏
b- Show that the processes given in (i) and (ii) are stationary and/or invertible also find their equivalent MA and
AR representations. (𝑖) 𝑌𝑡 = 1.3𝑌𝑡−1 +𝑍𝑡 − 0.4𝑍𝑡−1 (ii) 𝑌𝑡 = 1.2𝑌𝑡−1 +𝑍𝑡 + 1.4𝑍𝑡−2

GOVERNMENT COLLEGE OF SCIENCE WAHDAT ROAD LAHORE-STATISTICS DEPTT BS 4 YEARS -VII

(41-105 - STAT-411-Time Series Analysis-I-20.02.19) -Dr. Shahid Iqbal- Points 50 Time Allowed 1.5 Hrs
7. (a) Prove the properties of ACF (i) 𝜌𝑘 = 𝜌−𝑘 (ii) -1≤ 𝜌𝑘 ≤1.
8. (a) Derive recursive rule and use it to derive Yue-Walker equations finding formulas for 𝜙11, 𝜙22 and 𝜙33 Further
16 2 |𝑘| 5 1 |𝑘|
given the ACF for an AR(2) process 𝜌𝑘 = (21) (3) + (21) (− 3) for k=1,2,3..Find partial autocorrelation at lags
k=1,2,3.
1 𝟏 |𝑘| 𝜋|𝑘| 𝟏 𝜋|𝑘|
(b) Show that ACF of AR(2) process 𝑌𝑡 = 𝑍𝑡 + 𝑌𝑡−1 − 2 𝑌𝑡−2 is 𝛒𝐤 = ( ) (cos 4
+ 𝟑 sin 4
)
√𝟐
𝟐 𝛒 −𝛒𝟐
6 a-Explain the concept of Partıal autocorrelation and show that the theoretical PAC of order 2 i.e. for k=2 is 𝛒𝟐𝟐 = [ 𝟏−𝛒 𝟏
𝟐]
𝟏
b- Show that the processes given in (i) and (ii) are stationary and/or invertible also find their equivalent MA and
AR representations. (𝑖) 𝑌𝑡 = 1.3𝑌𝑡−1 +𝑍𝑡 − 0.4𝑍𝑡−1 (ii) 𝑌𝑡 = 1.2𝑌𝑡−1 +𝑍𝑡 + 1.4𝑍𝑡−2