STAT443 Study Guide - Quiz Guide: Lag Operator, Autocovariance, Stationary Process

• School: University of Waterloo
• Department: Statistics
• Course: STAT443
• Professor: Diana Skrzydlo

Document Summary

These are some practice questions to prepare you for the midterm and nal exam. I will not post solutions online for these questions, but you can come to o ce hours or ask your speci c questions on piazza: consider the backshift operator b, where bxt = xt 1. De ning = 1 b and 12 = The sample size here is large enough that you can assume the plots are reliable. Lag: from the course website, download the simulated data les x1. txt and x2. txt, both of which represent monthly data. In each case, propose one sarim a(p, d, q) (p, d, q)s for the data and justify your suggested model. You may use a transformation on the data if needed. Use r to t the suggested models and perform residuals diagnostics for each model. Clearly comment on the diagnostics: let {yt} be a stationary process with mean 0 and acvf y (h).