GOVT COLLEGE OF SCIENCE WAHDAT ROAD LAHORE DEPT OF STATs-BS 4 YEARS PROGRAM (STATs)

(STAT-413- TSA-II CR=3) Question Paper Mid Term (8-12-2018) Total Points 100 Time Allowed 2 Hours
NOTE: For Half Mid. solve anyone of the 50 Points 3 questions.
1- Let {Yt }nt=1sample sequence of observations, where Yn be the most recent observation of Yt . To forecast Y𝑡+𝑙 i.e.
the observation of Yt which is l time period aheadfrom the most recent observation. Suppose the is the forecast
of Y𝑡+𝑙 with origin of forecast at t = n. Let en (𝑙) be the minimum mean squared error (MMSE) forecast error, then
show that MMSE forecast is given by the expectation conditional to the information en (𝑙) =Y𝑡+𝑙 - Yn (𝑙) such that
the MSE of the above estimator will be MSE=E[(Y𝑡+𝑙 − Yn (𝑙)]2 = E [𝑙𝑛(𝑙)]2 (20 points)
𝑙
2- For an ARIMA (1,0,0) process:𝑌𝑡 = 𝛼𝑌𝑡−1 + 𝑍𝑡 , show that Yn (𝑙) =𝜙 Yn . E[en (𝑙) ] =0 and VAR[en (𝑙)] =
1−𝜙2𝑙
σ2z [ 1−𝜙𝑙 ] where Yn (𝑙) be the minimum mean squared error forecast (MMSEF) Y𝑡+𝑙 and en (𝑙) is forecast
error, with origin of forecast at t = n and lead time (15 points)
3-Consider the first-order AR process (1 − 𝜙𝐵)(𝑍𝑡 − 𝜇) = 𝑎𝑡 𝜙 = .7 𝜇 = 8 σa =1.1 Let {Yt }nt=1sample
2

sequence of observation with 𝑍97 =10 𝑍98 =9 𝑍99 =8 𝑍100 =7 and forecast for 𝑍101 , 𝑍102 and 𝑍103 with their
associated 95% forecast limits. Suppose 𝑍101 turns out to be 7.8 update the remaining forecasts (15 points)

GOVT COLLEGE OF SCIENCE WAHDAT ROAD LAHORE DEPT OF STATs-BS 4 YEARS PROGRAM (STATs)
(STAT-413- TSA-II CR=3) Question Paper Mid Term (8-12-2018) Total Points 100 Time Allowed 2 Hours
NOTE: For Half Mid. solve anyone of the 50 Points 3 questions.
1- Let {Yt }nt=1sample sequence of observations, where Yn be the most recent observation of Yt . To forecast Y𝑡+𝑙 i.e.
the observation of Yt which is l time period aheadfrom the most recent observation. Suppose the is the forecast
of Y𝑡+𝑙 with origin of forecast at t = n. Let en (𝑙) be the minimum mean squared error (MMSE) forecast error, then
show that MMSE forecast is given by the expectation conditional to the information en (𝑙) =Y𝑡+𝑙 - Yn (𝑙) such that
the MSE of the above estimator will be MSE=E[(Y𝑡+𝑙 − Yn (𝑙)]2 = E [𝑙𝑛(𝑙)]2 (20 points)
𝑙
2- For an ARIMA (1,0,0) process:𝑌𝑡 = 𝛼𝑌𝑡−1 + 𝑍𝑡 , show that Yn (𝑙) =𝜙 Yn . E[en (𝑙) ] =0 and VAR[en (𝑙)] =
1−𝜙2𝑙
σ2z [ 1−𝜙𝑙 ] where Yn (𝑙) be the minimum mean squared error forecast (MMSEF) Y𝑡+𝑙 and en (𝑙) is forecast
error, with origin of forecast at t = n and lead time (15 points)
3-Consider the first-order AR process (1 − 𝜙𝐵)(𝑍𝑡 − 𝜇) = 𝑎𝑡 𝜙 = .7 𝜇 = 8 σ2a =1.1 Let {Yt }nt=1sample
sequence of observation with 𝑍97 =10 𝑍98 =9 𝑍99 =8 𝑍100 =7 and forecast for 𝑍101 , 𝑍102 and 𝑍103 with their
associated 95% forecast limits. Suppose 𝑍101 turns out to be 7.8 update the remaining forecasts (15 points)

GOVT COLLEGE OF SCIENCE WAHDAT ROAD LAHORE DEPT OF STATs-BS 4 YEARS PROGRAM (STATs)
(STAT-413- TSA-II CR=3) Question Paper Mid Term (8-12-2018) Total Points 100 Time Allowed 2 Hours
NOTE: For Half Mid. solve anyone of the 50 Points 3 questions.
1- Let {Yt }nt=1sample sequence of observations, where Yn be the most recent observation of Yt . To forecast Y𝑡+𝑙 i.e.
the observation of Yt which is l time period aheadfrom the most recent observation. Suppose the is the forecast
of Y𝑡+𝑙 with origin of forecast at t = n. Let en (𝑙) be the minimum mean squared error (MMSE) forecast error, then
show that MMSE forecast is given by the expectation conditional to the information en (𝑙) =Y𝑡+𝑙 - Yn (𝑙) such that
the MSE of the above estimator will be MSE=E[(Y𝑡+𝑙 − Yn (𝑙)]2 = E [𝑙𝑛(𝑙)]2 (20 points)
𝑙
2- For an ARIMA (1,0,0) process:𝑌𝑡 = 𝛼𝑌𝑡−1 + 𝑍𝑡 , show that Yn (𝑙) =𝜙 Yn . E[en (𝑙) ] =0 and VAR[en (𝑙)] =
1−𝜙2𝑙
σ2z [ 1−𝜙𝑙 ] where Yn (𝑙) be the minimum mean squared error forecast (MMSEF) Y𝑡+𝑙 and en (𝑙) is forecast
error, with origin of forecast at t = n and lead time (15 points)
3-Consider the first-order AR process (1 − 𝜙𝐵)(𝑍𝑡 − 𝜇) = 𝑎𝑡 𝜙 = .7 𝜇 = 8 σa =1.1 Let {Yt }nt=1sample
2

sequence of observation with 𝑍97 =10 𝑍98 =9 𝑍99 =8 𝑍100 =7 and forecast for 𝑍101 , 𝑍102 and 𝑍103 with their
associated 95% forecast limits. Suppose 𝑍101 turns out to be 7.8 update the remaining forecasts (15 points)