ST22 – Advanced Statistical Methods

Final Exam Revision – addition exercise set – Solution Exercise 4

Exercise 4

1) Between the first trimester in 2001 and the fourth trimester in 2005, we observe the
following:
- A decreasing trend in communications over 5 years;
- A seasonality marked by a decrease in communications over the first three trimesters
followed by an increase over the fourth trimester for each of the 5 seasons (in this case 5
years);
- A residual effect in 2005 with two minor overestimations during the 2nd and 4th trimesters.

2) Quarterly data => period length = seasonal span = 4 => MA4

4th trimester of 2004 => rank = 16

MA4(16) = (0.5×25120 + 23252 + 25897 + 26876 + 0.5×25613)/4 = 25343.4

3) The amplitude of the seasonal fluctuations is relatively the same each period; it is not
affected by the general decreasing trend (except for the residual values) => additive model

4) - seasonal differences s(t)=y(t)-MA4(t) for all the T3’s : s(3). s(7), s(11) et s(15)

- average of the seasonal differences to obtain the seasonal coefficient:

s3 = (-2349.4 - 1932.6 - 2031.4 - 2072.9)/4 = -2096.6

- check the conservation principle: Σ sj = -24.8 ≠0

- rescale the seasonal coefficient: s’3 = s3- (-24.8/4) = -2090.4

5) SA(9) = 27512 – 1292.3 = 26220

6) (values are rounded to the nearest integer)

T1-06: y^(21) = (28718 – 207×21) + 1292.3 = 25663

T2-06: y^(22) = (28718 – 207×22) - 31.8 = 24132