Problem 2. (5 pts each) Give an example of a process {xt} that satisfes the following (you can describe an example or cite a named example in class or write down an algebraic model.) Treat each criterion separately. Be very specifc with your answers. (i) A nonstationary process or data with a constant mean. (ii) A stationary process or data that has nonzero autocorrelation at lag 4 only. (iii) A stationary process that has a lag 1 autocorrelation of -0.8. (iv) A nonstationary process whose frst ordinary diference is weakly stationary. Problem 3. (10 pts each) Let (i) xt = 0.8xt-1 + wt – 2wt-

Problem 2. (5 pts each) Give an example of a process {xt} that satisfes the following (you can describe an example or cite a named example in class or write down an algebraic model.) Treat each criterion separately. Be very specifc with your answers. (i) A nonstationary process or data with a constant mean. (ii) A stationary process or data that has nonzero autocorrelation at lag 4 only. (iii) A stationary process that has a lag 1 autocorrelation of -0.8. (iv) A nonstationary process whose frst ordinary diference is weakly stationary. Problem 3. (10 pts each) Let (i) xt = 0.8xt-1 + wt – 2wt-1; (ii) xt = xt-1 + wt – 1.2wt-1 + 0.3wt-2. For each model above, (a) Determine whether the model for {xt} is stationary and/or inverible. (b) Identify the model as an ARIMA(p, d, q) process. Problem 4. Let xt be the number of home runs hits allowed (denoted as HR) by the New York Yankees each year during 1903-2017. Download the csv fle from Blackboard and use read.csv(“yankees.csv”). (i) (10 pts)Using Box-Jenkins method (with appropriate transformation if needed to improve the model ft), fnd an appropriate model for the data. Write down the algebraic form of the fted model. (ii) (5 pts) Using auto.arima(), write your model in this format SARIMA(approriate data, p, d, q, P, D, Q, s). (iii) (5 pts) Which of the two models do you prefer? Why? Name an advantage of Box-Jenkins over auto.arima. (iv) (5 pts) The HRs for the year 2018, 2019, and 2020 are 267,306, and 94, respectively. Compare your forecasts using your fnal model in one sentenc

Assignment-.pdfyankees.csv

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