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Formula Sheet TSA
Formula Sheet TSA
{
σ 2e
,|t−s|=0
3
2 σ 2e
Autocovariance γ t , s=Cov ( Y t , Y s )
{ | | Cov ( et , e s ) =0
2
γ t , s= σ e , t−s =0 γ t , s= 9 ,|t−s|=1
Formula ¿ E ( Y t , Y s )−E ( Y t ) . E ( Y s ) 0 ,|t−s|≠ 0 γ t , s=Cov ( Y t , Y s ) =t σ e
2
2
σe
,|t−s|=2
9
0 ,|t−s|>2
{
ρt ,s =Corr ( Y t ,Y s ) 1 ,|t−s|=0
cov ( Y t , Y s ) 2 | |
, t−s =1
Autocorrelation
Formula
¿
√ var (Y ¿¿ t )var (Y ¿¿ s)¿ ¿
γ t ,s
{
ρt ,s = 1 ,|t−s|=0
0 ,|t−s|≠ 0
ρt ,s =corr ( Y t ,Y s )=
√ t
s
ρt ,s = 3
1
,|t−s|=2
¿ 3
√ γ t ,t γ s , s 0 ,|t−s|> 2
Models for Stationary Time Series
I. Moving Average Processes
Y t =e t−θ 1 et −1 −θ2 et −2−…−θ et −q
MA(1) MA(2) MA(q)
Y t =e t−θ 1 et −1 Y t =e t−θ 1 et −1 −θ2 et −2 Y t =e t−θ 1 et −1 −θ2 et −2−…−θ et −q
Mean E ( Y t )=0 E ( Y t )=0 E ( Y t )=0
2 2 2 2 2 2 2 2 2
Variance γ 0=var ( Y t ) =σ e (1+θ ) γ 0=var ( Y t ) =σ e (1+θ 1+ θ2) γ 0=var ( Y t ) =σ e (1+θ 1+ θ2 +…+θ q)
{
σ e ( 1+θ 1+θ 2) , k=0
2 2 2
{
σ ( 1+θ ) , k =0
2 2
e 2
Autocovariance γ 0= −θ σ 2 ,k =1 γ 0= σ e (−θ1 +θ1 θ 2), k=1
e 2
−θ2 σ e , k=2
0 , k >1
0 , k >2
{ {
1 , k =0 1 , k=0
{
1 , k =0 −θ1+ θ1 θ 2 −θk +θ1 θk+ 1+θ 2 θ k+2 +…+θ q θ q−k
, k=1
γk −θ γk 1+θ 21+θ 22 γk 1+ θ21 +θ22 +…+θ 2q
Autocorrelation ρk = = , k=1 ρk = = ρk = =
γ 0 1+θ 2 γ0 −θ2 γ0 −θq
, k=2 , k =q
0 , k >1 2
1+θ 1+θ 2
2 2 2
1+ θ1 +θ2 +…+θ q
2
0 , k >2 0 , k >q
II. Autoregressive Processes
Y t =∅ 1 Y t−1 + ∅ 2 Y t −2+ …+ ∅ p Y t− p +e t
AR(1) AR(2) AR(p)
Y t =∅ 1 Y t−1 + ∅ 2 Y t −2+ et
k
Y t =∅ 1 Y t−1 + ∅ 2 Y t −2+ …+ ∅ p Y t− p +e t
Y t =∅ 1 Y t−1 +e t Backshift Operator B Y t=Y t−k
e t =( 1− ∅1 B− ∅2 B −…− ∅ p B ) Y t
2 p
Y t =∅ 1 BY t + ∅2 B 2 Y t + e t
( )
Autocovariance σe
2
k
γ k= ∅
1−∅ 2
Autocorrelation γk k γ k ∅1 γ k−1+ ∅ 2 γ k−2
ρk = =∅ = =∅ 1 ρ k−1+ ∅2 ρk−2
γ0 γ0 var (Y t )
Stationarity Condition Y t is stationary if and only if Y t is stationary if and only if Y t is stationary if and only if
|∅|< 1 |∅1 + ∅2|<1 The p roots of ∅ xeach exceeds 1 in absolute value
−1< ∅ <1
|∅2− ∅ 1|< 1
|∅2|<1