Statistics 153 Introduction to Time Series Homework 2 problem 1 part b and part c not solved
Statistics 153 (Introduction to Time Series) Homework 2
1. Let fYtg be a doubly innite sequence of random variables that is stationary with autocovariance
function
Y . Let
Xt = (a + bt)st + Yt;
where a and b are real numbers and st is a deterministic seasonal function with period d (i.e.,
std = st for all t)
(a) Is fXtg a stationary process? Why or Why not?
(b) Let Ut = (B)Xt where (z) = (1 zd)2. Show that fUtg is stationary.
(c) Write the autocovariance function of fUtg in terms of the autocovariance function,
Y , of
fYtg.
2. We have seen that
P1
j=0 jZtj is the unique stationary solution to the AR(1) dierence equa-
tion: Xt Xt1 = Zt for jj < 1. But there can be many non-stationary solutions. Show that
Xt = ct +
P1
j=0 jZtj is a solution to the dierence equation for every real number c. Show
that this is non-stationary for c 6= 0.
3. Consider the AR(2) model: (B)Xt = Zt where (z) = 1 1z 2z2 and fZtg is white noise.
Show that there exists a unique causal stationary solution if and only if the pair (1; 2) satises
all of the following three inequalities:
2 + 1 < 1 2 1 < 1 j2j < 1:
4. Consider the AR(2) model: Xt Xt1 + 0:5Xt2 = Zt where fZtg is white noise. Show that
there exists a unique causal stationary solution. Find the autocorrelation function.
5. Consider the ARMA(2, 1) model: XtXt1+0:5Xt2 = Zt+0:5Zt1 where fZtg is white noise.
Show that there exists a unique causal stationary solution. Find the autocorrelation function.
6. Let fYtg be a doubly innite sequence of random variables that is stationary. Let
Xt = 0 + 1t + + qtq + Yt
where 0; : : : ; q are real numbers with q 6= 0.
(a) Show that (I B)kYt is stationary for every k 1.
(b) Show that (I B)kXt is not stationary for k < q and that it is stationary for k q.
7. Let fYtg be a doubly innite mean zero sequence of random variables that is stationary. Dene
Xt = Yt 0:4Yt1 and Wt = Yt 2:5Yt1.
(a) Express the autocovariance functions of fXtg and fWtg in terms of the autocovariance
function of fYtg.
(b) Show that fXtg and fWtg have the same autocorrelation functions.
Statistics 153 (Introduction to Time Series) Homework 2 problem 1 part b and part c not solved
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