MATH 542D (Time Series Analysis)

Assignment#4
Due: April 26 (in the lecture by 9:00 pm.)
NOTES:
(1) Please show your work clearly for each question.
(2) For the 'R' questions please submit your write-up AND your codes separately.
Question2 1. Consider the sinusoidal time series X = 0 + A cos(2!t + ) + W , where W
WN(0, ). Here, A and

are unknown and you may take 0 < ! < 1=2.

is a

(i)

[4 marks.] Using the identity cos(a  b) = cos(a) cos(b)  sin(a) sin(b) one can re-write this model
as Xt = 0 + 1 cos(2!t) + 2 sin(2!t) + Wt , t = 1; : : : ; n. Show that for large n the least squares
estimates of 1 and 2 are approximately
n
n
2X
2X
(Xt X ) cos(2!t)
and ^2 
(Xt X ) sin(2!t)
^1 

n t=1

n t=1

You may use any of the trigonometric identities that appear on page 2 of this assignment.
[2.5 marks.] For the ease of notation, put  = 2! and 0 = 0. Show that Xt satises the AR(2)
process Xt = 1 Xt 1 + 2 Xt 2 + Wt ; where 1 = 2 cos() and 2 = 1.

(ii)

(iii)

Generate 200 observations from the process Xt = 10 cos(t=6) + Wt , where Wt is a

Gaussian (normal) white noise with mean zero and variance 1. Plot the PACF and comment.
[1 marks.]

Question 2. Consider2 the ARIMA(0; 0; 0)  (0; 0; 1)2 given by Y = V + V 2, where jj < 1 and
where V is a WN(0, ).
(i)
Is this process invertible? Why? If it is, nd the coecients in the expansion V =
P1
c
Y
=0
(ii)
Find the m-step ahead forecast of Y + (and its variance) based on the innite past.
Question 3.
(a) Do questions 3.34
, 3.37 (3.39 if using the blue cover e-version)
, and 3.38
(3.40 if using the blue cover e-version)
from the textbook.
(b)
. Recall the lecture notes on exponential smoothing (earlier in th course)
t

[3 marks.]

t j

[2.5 marks.]

n m

[2 marks.]

[2.5 marks.]

[2.5 marks.]

Exponential Smoothing

as a method to both estimate

P trends andj a method to predict or forecast a time series. In fact, from
) Xt j ; 0 <  < 1. (For a nite time series, the upper limit of
the lecture notes, Xb t+1 = 1
j =0 (1
the sum is nite.) You can use the 'R' command HoltWinters to predict/forecast using exponential
smoothing. See the example I have posted on moodle based on the 'jj' data.

[3 marks.] For the AirPassenger monthly data ('AirPassenger'), use exponential smoothing to forecast
the next 48 months (plot your results). Also, forecast the next 24 months for both 'unemp' and 'birth'
data sets that you studied in part 3(a); plot your results. Which forecasts do you prefer: the ones
from part 3(a) or exponential smoothing?

Question 4.

Recall the power function (lecture notes):

!2
!2
n
n
X
X
Power(!k ) =
Xt cos(2!k t) +
Xt sin(2!k t) :

[4 marks.]

=1

=1

Show that the power measures the squared correlation between the data
= (Xt ; t = 1; : : : ; n)0
2
2
and
!k ) = Ak
b ( ; k )+ Bk
b ( ; k ) where k =
 the sinusoidals. That is,0 show that Power(

0
cos(2!k t); t = 1; : : : ; n and k = sin(2!k t); t = 1; : : : ; n , and b( ; ) is the sample
correlation between the n-dim vectors and . Also, what are Ak and Bk ?

XU

MARKING:

Total = 27 marks.

XV
XY

Useful trigonometric identities:

Let ck = 2k=n; where k = 1; : : : ; n2 : Then

n
X

=1

cos(ck t) =

t
n
X

=1

cos(cj t) cos(ck t) = n
I fj = k =
n
X

=1

n
X

=1

n
n
g
+
I fj = k 6= g
2
2
2

sin(cj t) sin(ck t) =

n
X

=1

sin(ck t) = 0

n


I fj = k 6= g
2
2

cos(cj t) sin(ck t) = 0 for all j and k:

(= 0 if j =
6 k)