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  • Assignment1 Winter2023 Q6

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    王乔峪
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    This document is an assignment question from a Time Series Analysis course asking students to: 1) Manually compute and check in R the sample autocorrelation function at lags 0, 1, and 2 for a 10 year yearly time series. 2) Test the null hypothesis that the theoretical autocorrelation at lag 1 equals zero for the same time series.

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    This document is an assignment question from a Time Series Analysis course asking students to: 1) Manually compute and check in R the sample autocorrelation function at lags 0, 1, and 2 for a 10 year yearly time series. 2) Test the null hypothesis that the theoretical autocorrelation at lag 1 equals zero for the same time series.

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    3 views1 page

    Assignment1 Winter2023 Q6

    Uploaded by

    王乔峪
    This document is an assignment question from a Time Series Analysis course asking students to: 1) Manually compute and check in R the sample autocorrelation function at lags 0, 1, and 2 for a 10 year yearly time series. 2) Test the null hypothesis that the theoretical autocorrelation at lag 1 equals zero for the same time series.

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    © All Rights Reserved
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    University of Toronto - Department of Statistical Sciences Winter 2023

    STA457H1: Time Series Analysis


    Assignment 1 - Question 6 Due data February 3, 2023

    Student Name...........................................................ID number...........................................................

    Instructions: Show your answers in details.

    Q6 (10 points): For the following yearly time series (10 years).

    (t, xt ) : (1, 20), (2, 18), (3, 22), (4, 27), (5, 26), (6, 28), (7, 28), (8, 25), (9, 31), (10, 30)

    1. Compute (manually) the sample autocorrelation function, ρ̂(h), at lags h = 0, 1, and 2. Check
    your results using R.

    2. Test the null hypothesis that the theoretical autocorrelation at lag h = 1 equals zero.

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