Professional Documents
Culture Documents
ACTL2003 FinalExam 2013
ACTL2003 FinalExam 2013
FAMILY NAME:
OTHER NAME(S):
STUDENT ID:
SIGNATURE:
Question
[26 marks]
[6 marks]
[7 marks]
[23 marks]
[15 marks]
[8 marks]
[15 marks]
Mark
Total
Page 2 of 24
Page 3 of 24
(ii) Calculate the proportion of enquires which are eventually directed to junior
consultants. [2 marks]
Page 4 of 24
(iii) Derive expressions for the probability that an enquiry arriving at time 0 is:
(a) yet to be answered by the receptionist at time t; [4 marks]
(b) undergoing further investigation at time t. [6 marks]
Page 5 of 24
(iv) Let mi denote the expectation of the time until being closed for an enquiry
currently in state i. Calculate the expectation of the time until being closed for a
newly-arrived enquiry. [9 marks]
Page 6 of 24
Question 2. (6 marks)
Let {X(t) : t 0} be a continuous time-homogeneous Markov jump process with
two states 0 and 1, and transition rates q01 = and q10 = .
Let Oi (t) denote the total amount of time spent in state i up until time t (the
occupation time in state i by time t). Suppose = 0.1 and = 0.2. Calculate the
expected occupation time in state 1 by time t = 10 given that the continuous-time
Page 7 of 24
Question 3. (7 marks)
Consider the time series model: Xt = 2cXt1 c2 Xt2 + Zt , where Zt is a white
noise process with variance 2 .
(i) Find the values of c such that the process is stationary. [5 marks]
(ii) For c taking values such that the time series process is stationary, the model is
an ARIM A(p, d, q) process. Identify the values of p, d and q. [2 marks]
Page 8 of 24
Page 9 of 24
Page 10 of 24
(c) Describe the behavior of the autocorrelation function (k) and the kth partial
autocorrelation function (k) as k . [4 marks]
Page 11 of 24
(ii) Now suppose a = c = 0 and you have obtained the following sample autocorrelations:
(1) (2) (3) (4) (5) (6) (7) (8) (9)
0.800 0.645 0.519 0.414 0.331 0.265 0.212 0.170 0.137
Suggest an appropriate value for b and justify your answer. [6 marks]
Page 12 of 24
1
(ii) Write down the Monte Carlo estimator for E[ 1+X
3 ] using the random numbers
obtained in (i). [2 marks]
Page 13 of 24
1
(iii) Provide a method to simulate E[ 1+X
3 ] with reduced variance compared with
the estimator obtained in (ii) using the same sequence U1 , U2 , , Un . You should
provide the algorithm and prove in detail that the variance is reduced when the
method you provide is used. [10 marks]
Page 14 of 24
Question 6. (8 marks)
Let {Wt }t0 be a standard Brownian motion. Is { tWt }t0 a Brownian motion?
Justify your answer.
Page 15 of 24
(0)
(1)
(h 1)
(1)
(1)
(0)
(h 2)
..
=
h =
. .
..
..
.
.
h
..
..
.
.
(h)
(h 1) (h 2)
(0)
xh1
xh2
Write xh = .. = 1
h h . Prove that x33 = 3 and xhh = 0 for h > 3.
.
xhh
Page 16 of 24
END OF PAPER
Page 17 of 24
ADDITIONAL PAGE
Answer unfinished questions here, or use for rough work.
Page 18 of 24
ADDITIONAL PAGE
Answer unfinished questions here, or use for rough work.
Page 19 of 24
ADDITIONAL PAGE
Answer any unfinished questions here, or use for rough work.
Page 20 of 24
ADDITIONAL PAGE
Answer unfinished questions here, or use for rough work.
Page 21 of 24
ADDITIONAL PAGE
Answer unfinished questions here, or use for rough work.
Page 22 of 24
ADDITIONAL PAGE
Answer unfinished questions here, or use for rough work.
Page 23 of 24
ADDITIONAL PAGE
Answer unfinished questions here, or use for rough work.
Page 24 of 24