TS Module 9: Non-stationary ARIMA time series HW

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NEAS	NEAS posted 16 Years Ago #8691 #
Supreme Being Group: Administrators Posts: 4.5K, Visits: 1.6K	TS Module 9: Non-stationary ARIMA time series HW (The attached PDF file has better formatting.) Homework assignment: Non-stationary autoregressive process A time series Y_t = â × Y_t-1 + å_t has = 3, where k is a constant. (The textbook has â = 3.) A. What is the variance of Y_t as a function of â and t? B. What is ñ(y_t,y_t-k) as a function of â, k, and t? See equations 5.1.4 and 5.1.5 on page 89. {Note: This homework assignment has been replaced because of an unclear equation in the textbook; see the new homework assignment. If you have submitted this assignment already, you will be given credit.} Attachments TS Module 9 nonstationary autoregresive process HW.pdf (1.4K views, 35.00 KB) Edited 12 Years Ago by NEAS 0
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Tom McNamara III	Tom McNamara III posted 15 Years Ago #8929 #
Forum Newbie Group: Forum Members Posts: 6, Visits: 1	I said this in the module 8 section. The homework for module 9 references material in module 8. Now I am a few pages into the module 9 reading and it looks like you can answer the module 8 homework with the module 9 reading. Am I off base with this? [NEAS: Both homework assignments deal with ARIMA processes. Answer them after working through both modules.] Tom McNamara III 0
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TS Module 9: Non-stationary ARIMA time series HW

NEAS - 16 Years Ago

I said this in the module 8 section. The homework for module 9...

Tom McNamara III - 15 Years Ago

Should we assume that Y t =0 for t<1? You made it clear in the...

rcoffman - 15 Years Ago

Ouch, zarito. I really don't like that the textbook highlights...

RayDHIII - 15 Years Ago

Believe me, I got the formulas for the general case, by using the...

zarito - 15 Years Ago

I must be missing a negative sign somewhere in my derivation of the...

rmconrad - 15 Years Ago

rmconrad, the variance of Y 0 is simply the variance of the initial...

RayDHIII - 15 Years Ago

Correlation is Corr(X,Y) = Cov(X,Y) / (sigma_X * sigma_Y) = Cov(X,Y)...

Ron - 15 Years Ago

I am having trouble getting the exact result for VAR(Y). In both the...

JasonScandopolous - 15 Years Ago

Ah,I see, Y(0) is assumed to be 0, thereby removing B^2t from the...

JasonScandopolous - 15 Years Ago

I'm have the same sign error as previously posted. I get...

dystrother - 15 Years Ago

I am following your method and have Var(Y_t) = sigma^2( 1 + b^2 + b^4...

ktanner22 - 14 Years Ago

I'm confused by the correlation equation. I derived: Beta * [...

moo5003 - 14 Years Ago

I give up..I too am stuck with all the same problems as the above...

DamonK - 13 Years Ago



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