National Taiwan University

Institute of Industrial Engineering

Jakey BLUE

Time Series Analytics

111-1 Homework #04
Due at 23h59, October 17, 2022; files uploaded to NTU-COOL

1. (10%) Show that for an MA(1) process

max 𝜌1 = 0.5 and min 𝜌1 = −0.5
−∞<𝜃<∞ −∞<𝜃<∞

2. (10%) For an AR(2) process 𝑦𝑡 − 1.0𝑦𝑡−1 + 0.5𝑦𝑡−2 = 𝑎𝑡 :

(a) Calculate 𝜌1 .
(b) Using 𝜌0 and 𝜌1 as starting values and the difference equation form for the autocorrelation function,
calculate the values of 𝜌𝑘 for 𝑘 = 2, … , 15.

3. (20%) Put the following four models in B notation, and check whether it is stationary and invertible.
(1) 𝑦𝑡 = 𝑎𝑡 − 1.3𝑎𝑡−1 + 0.4𝑎𝑡−2
(2) 𝑦𝑡 − 0.5𝑦𝑡−1 = 𝑎𝑡 − 1.3𝑎𝑡−1 + 0.4𝑎𝑡−2
(3) 𝑦𝑡 − 1.5𝑦𝑡−1 + 0.6𝑦𝑡−2 = 𝑎𝑡
(4) 𝑦𝑡 − 𝑦𝑡−1 = 𝑎𝑡 − 0.5𝑎𝑡−1

4. (20%) For each of the models of Exercise 3, obtain:

(a) The first three 𝜓𝑗 weights of the model form: 𝑦𝑡 = 𝑎𝑡 + 𝜓1 𝑎𝑡−1 + 𝜓2 𝑎𝑡−2 + ⋯
(b) The first three 𝜋𝑗 weights of the model form: 𝑦𝑡 = 𝜋1 𝑦𝑡−1 + 𝜋2 𝑦𝑡−2 + ⋯ + 𝑎𝑡
(c) V[𝑦𝑡 ], assuming that 𝜎𝑎2 = 1.0
1
5. (10%) Consider 𝑦𝑡 a stationary process. Show that if 𝜌1 < 2, (1 − 𝐵)𝑦𝑡 has a larger variance than does 𝑦𝑡 .

6. (20%) Consider an AR(1) process satisfying 𝑦𝑡 = 𝜙𝑦𝑡−1 + 𝑒𝑡 , where 𝜙 can be any number and 𝑒𝑡 is a white
noise process such that 𝑒𝑡 is independent of the past 𝑦𝑡−1 , 𝑦𝑡−2 , …. Let 𝑦0 be a random variable with mean 𝜇0
and variance 𝜎02 .
(a) For t > 0, show that
𝑦𝑡 = 𝑒𝑡 + 𝜙𝑒𝑡−1 + 𝜙 2 𝑒𝑡−2 + 𝜙 3 𝑒𝑡−3 + ⋯ + 𝜙 𝑡−1 𝑒1 + 𝜙 𝑡 𝑦0 .
(b) Show that E[𝑦𝑡 ] = 𝜙 𝑡 𝜇0, for t > 0.
(c) Show that for t > 0, we have

1 − 𝜙 2𝑡 2
𝜎 + 𝜙 2𝑡 𝜎02 , for 𝜙 ≠ 1,
V[𝑦𝑡 ] = { 1 − 𝜙 2 𝑒
𝑡𝜎𝑒2 + 𝜎02 , for 𝜙 = 1.

(d) Assuming 𝜇0 = 0, show that, we must have 𝜙 ≠ 1 to make 𝑦𝑡 stationary.

𝜎2
(e) Following (d) and supposing that 𝜇0 = 0 and 𝑦𝑡 is stationary, show that V[𝑦𝑡 ] = 1−𝜙
𝑒
2 and we must have

|𝜙| < 1.