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  • Assignment1 Winter2023 Q7

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    This document contains instructions for Assignment 1 Question 7 of the STA457H1 Time Series Analysis course at the University of Toronto. Students are asked to (1) simulate a time series of 500 observations using their student ID as a seed, compute the sample autocorrelation function (ACF) and compare it to the theoretical ACF, and (2) repeat the process with only 50 observations and analyze how the smaller sample size affects the results.

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    This document contains instructions for Assignment 1 Question 7 of the STA457H1 Time Series Analysis course at the University of Toronto. Students are asked to (1) simulate a time series of 500 observations using their student ID as a seed, compute the sample autocorrelation function (ACF) and compare it to the theoretical ACF, and (2) repeat the process with only 50 observations and analyze how the smaller sample size affects the results.

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    2 views1 page

    Assignment1 Winter2023 Q7

    Uploaded by

    王乔峪
    This document contains instructions for Assignment 1 Question 7 of the STA457H1 Time Series Analysis course at the University of Toronto. Students are asked to (1) simulate a time series of 500 observations using their student ID as a seed, compute the sample autocorrelation function (ACF) and compare it to the theoretical ACF, and (2) repeat the process with only 50 observations and analyze how the smaller sample size affects the results.

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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 7 Due data February 3, 2023

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

    Instructions: Show your answers in details.

    Q7 (10 points):

    1. Simulate a series of n = 500 observations (use your student id as a seed) from the process
    xt = 31 (wt−1 + wt + wt+1 ), where wt is Gaussian white noise series and use R to compute
    the sample ACF, ρ̂(h), h = 0, 1, 2, 3. Compare the sample ACF you obtain to the actual
    (theoretical) ACF, ρ(h).

    2. Repeat part (1) using only n = 50. How does changing n affect the results?

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