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Question Paper Class Test (25-10-2017) Total Points 50 Time Allowed 1 Hours

1- Let {Yt }nt=1 sample 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 ahead from 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 pts)

2- a-Describe the methods of estimation of MA parameters. b- An economist has fitted an ARMA(1, 2) model to an observed

time series with 100 data values, and has calculated the first 10 sample autocorrelations of the residual to be r1,...,r10 as: 0.22,

0.02, -0.30, -0.10, 0.05, -0.13, -0.02, -0.06, -0.06, 0.01. Apply the Portmanteau test for the model using m=5. (10, 10 pts)

DEPARTMENT OF STATISITICS- (BS 4 YEARS PROGRAM)-(STAT-413- Time Series Analysis-II CR=3)

Question Paper Class Test (25-10-2017) Total Points 50 Time Allowed 1 Hours

1- Let {Yt }nt=1 sample 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 ahead from 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 pts)

2- a-Describe the methods of estimation of MA parameters. b- An economist has fitted an ARMA(1, 2) model to an observed

time series with 100 data values, and has calculated the first 10 sample autocorrelations of the residual to be r1,...,r10 as: 0.22,

0.02, -0.30, -0.10, 0.05, -0.13, -0.02, -0.06, -0.06, 0.01. Apply the Portmanteau test for the model using m=5. (10, 10 pts)

DEPARTMENT OF STATISITICS- (BS 4 YEARS PROGRAM)-(STAT-413- Time Series Analysis-II CR=3)

Question Paper Class Test (25-10-2017) Total Points 50 Time Allowed 1 Hours

1- Let {Yt }nt=1 sample 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 ahead from 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 pts)

2- a-Describe the methods of estimation of MA parameters. b- An economist has fitted an ARMA(1, 2) model to an observed

time series with 100 data values, and has calculated the first 10 sample autocorrelations of the residual to be r1,...,r10 as: 0.22,

0.02, -0.30, -0.10, 0.05, -0.13, -0.02, -0.06, -0.06, 0.01. Apply the Portmanteau test for the model using m=5. (10, 10 pts)

DEPARTMENT OF STATISITICS- (BS 4 YEARS PROGRAM)-(STAT-413- Time Series Analysis-II CR=3)

Question Paper Class Test (25-10-2017) Total Points 50 Time Allowed 1 Hours

1- Let {Yt }nt=1 sample 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 ahead from 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 pts)

2- a-Describe the methods of estimation of MA parameters. b- An economist has fitted an ARMA(1, 2) model to an observed

time series with 100 data values, and has calculated the first 10 sample autocorrelations of the residual to be r1,...,r10 as: 0.22,

0.02, -0.30, -0.10, 0.05, -0.13, -0.02, -0.06, -0.06, 0.01. Apply the Portmanteau test for the model using m=5. (10, 10 pts)

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