Module 2: Time series concepts HW

Author	Message
NEAS	NEAS posted 15 Years Ago #8684 #
Supreme Being Group: Administrators Posts: 4.5K, Visits: 1.6K	Module 2: Time series concepts HW (The attached PDF file has better formatting.) Homework assignment: equally weighted moving average This homework assignment uses the material on pages 14-15 (“A moving average”). Let Y_t = 1/5 × (å_t + å_t-1+ å_t-2+ å_t-3+ å_t-4) and ó²_e = 100. A. What is ã_t,t, the variance of Y_t? B. What is ã_t,t-3, the covariance of Y_t and Y_t-3? Write out the derivations in the format shown on page 15. Attachments TS Module 2 equally weighted mavg HW.pdf (2.8K views, 31.00 KB) 0
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Michelle2010	Michelle2010 posted 14 Years Ago #9943 #
Junior Member Group: Forum Members Posts: 18, Visits: 1	Can we assume that the e's are identical and independently distributed? [NEAS: Yes] Did anyone else get 20 for part A and 8 for part B? 0
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Adrian	Adrian posted 14 Years Ago #10013 #
Forum Newbie Group: Forum Members Posts: 8, Visits: 1	Yes 0
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mchonejd	mchonejd posted 14 Years Ago #10057 #
Forum Newbie Group: Forum Members Posts: 3, Visits: 1	How do you get 8 for part B. I thought that since the abs value of (t-(t-3)) is greater than 1, the covariance would be 0. (see between equations 2.2.15 and 2.2.16) 0
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noturbizniss	noturbizniss posted 14 Years Ago #10090 #
Junior Member Group: Forum Members Posts: 13, Visits: 3	I got 0 for part be as well 0
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dom2114	dom2114 posted 14 Years Ago #10130 #
Forum Newbie Group: Forum Members Posts: 4, Visits: 1	I got 20 and 8 also 0
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cjlid	cjlid posted 14 Years Ago #10276 #
Forum Newbie Group: Forum Members Posts: 2, Visits: 1	You only get 0 if the moving average has 2 terms. For 5 terms, you have some "overlap", like e_t-3 and e_t-4 CJLID 0
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ktanner22	ktanner22 posted 13 Years Ago #10704 #
Forum Newbie Group: Forum Members Posts: 10, Visits: 1	I am pretty sure that B should be 0 because t and t-3 have a covariance of 0 since the e's are independent. This is shown on page 15 of the text. Anyone want to confirm this? 0
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ktanner22	ktanner22 posted 13 Years Ago #10705 #
Forum Newbie Group: Forum Members Posts: 10, Visits: 1	Actually I think I understand now why it is 8. Before I was doing the cov(yt, yt-3) = cov((e(t) + e(t-1))/2, (e(t-3) + e(t-4))/2), but you actually need to use Yt and Y(t-3) from the equation that is given. 0
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AlexanderMelvinKao	AlexanderMelvinKao posted 13 Years Ago #10905 #
Forum Newbie Group: Forum Members Posts: 2, Visits: 1	What does write out the derivations in the format shown on page 15 mean? [NEAS: Use the format of equation 2.2.15.] 0
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