HSTS 203 Assignment 1

Ednah T.C Mikithayo R189502S

1 Question1

autocorrelation function for

Zt = -Zt􀀀1 + at 􀀀 at􀀀1
rst autocovariance function

multiplying both sides of the above equation by Zt􀀀k and take expectation

E[(ZtZt􀀀k)] = E[-Zt􀀀1Zt􀀀k + atZt􀀀k 􀀀 at􀀀1Zt􀀀k]

when k=0

E(ZtZt) = -E(Zt􀀀1Zt) + E(atZt) 􀀀 E(at􀀀1Zt)

(0) = -
(1) + 2

a 􀀀 [(- 􀀀 )2

a]

(0) = -
(1) + [1 􀀀 (- )]2

a (1)

when k=1

E(ZtZt􀀀1) = -E(Zt􀀀1Zt􀀀1) + E(atZt􀀀1) 􀀀 E(at􀀀1Zt􀀀1)

(1) = -
(0) + 0 􀀀 2

(1) = -
(0) 􀀀 2

a (2)

When K2

(k) = -E(Zt􀀀1Zt􀀀k) + E(atZt􀀀k) 􀀀 E(at􀀀1Zt􀀀k)

(k) = -
(k􀀀1) + 0 􀀀 0

(k) = -
(k􀀀1)

using equation 1 and 2 to de

ne
(0) buy substituting 2 into 1.

(0) = -[-
(0) 􀀀 2

a] + [1 􀀀 (- 􀀀 )]2

(0) = -2
(0) + [􀀀- + 1 􀀀 - + 2]2

(0) 􀀀 -2
(0) = [1 􀀀 2- + 2]2

(0) =

1 􀀀 2- + 2

1 􀀀 -2 2

now autocovariance function for k 1

(1) = -
(0) 􀀀 2

(2) = -
(0) = -2
(0) 􀀀 -2

(3) = -3
(0) 􀀀 -22

(k) = -k
(0) 􀀀 -k􀀀12
a

(k) = (-
(0) 􀀀 2

a)-k􀀀1

autocorrelation function for k 1

(k) =

(k)

(0)

(-
(0) 􀀀 2

a)-k􀀀1

(0)

(k) =

"

-􀀀

1􀀀2-+2

1􀀀-2 2

-k􀀀1

(k) =

-(1 􀀀 2- + 2) 􀀀 (1 􀀀 -2)

1 􀀀 2- + 2
-k􀀀1

(k) =

- 􀀀 2-2 + 2- 􀀀 + -2

1 􀀀 2- + 2

-k􀀀1

(k) =

- 􀀀 -2 + 2- 􀀀

1 􀀀 2- + 2

-k􀀀1

(k) =

-(1 􀀀 -) 􀀀 (1 􀀀 -)

1 􀀀 2- + 2

-k􀀀1

(k) =

(- 􀀀 )(1 􀀀 -)

1 􀀀 2- + 2 -k􀀀1Shown

2 Question 2

Zt = at + 0:7at􀀀1 􀀀 0:2at􀀀2

2(a) mean function

E(Zt) = E(at + 0:7at􀀀1 􀀀 0:2at􀀀2)

E(Zt) = E(at) + 0:7E(at􀀀1) 􀀀 0:2E(at􀀀2)

E(Zt) = 0

2(b) Variance

V ar(Zt) = V ar(at + 0:7at􀀀1 􀀀 0:2at􀀀2)

V ar(Zt) = V ar(at) + 0:49V ar(at􀀀1) + 0:04V ar(at􀀀2)

V ar(Zt) =
(0) = 2

a + 0:492

a + 0:042

(0) = 1:532

2(c) Autocorrelation Function

Zt = at + 0:7at􀀀1 􀀀 0:2at􀀀2

Zt􀀀1 = at􀀀1 + 0:7at􀀀2 􀀀 0:2at􀀀3

Zt􀀀2 = at􀀀2 + 0:7at􀀀3 􀀀 0:2at􀀀4

(k) = E(ZtZt􀀀k) = E(atZt􀀀k) + 0:7E(at􀀀1Zt􀀀k) 􀀀 0:2E(at􀀀2Zt􀀀k)

when k=0

(0) = V ar(Zt) = 1:532

when k=1

(1) = E(atZt􀀀1) + 0:7E(at􀀀1Zt􀀀1) 􀀀 0:2E(at􀀀2Zt􀀀1)

(1) = 0 + 0:72

a 􀀀 0:2(0:72

a)

(1) =

14

25

when k=2
(2) = E(atZt􀀀2) + 0:7E(at􀀀1Zt􀀀2) 􀀀 0:2E(at􀀀2Zt􀀀2)

(2) = 0 + 0 􀀀 0:22

(2) = 􀀀0:22

when k3 = 0

(k) =

BBBB@

1:532

1:532

1k=0

14

25 2

1:532

56

153 k = 1

􀀀0:22

1:532

a 􀀀 20

153 k = 2

0 0 otherwise

3 Question 3
Zt = 2

5Zt􀀀1 􀀀 1

25Zt􀀀2 + at

3(a) The model is stationary because it satisfy the following condition.

1. j-1j = j2

5j<1

2. -1 + -2 = 2

5 + (􀀀 1

25 ) = 9

25 < 1

3. -2 􀀀 -1 = 􀀀 1

25 􀀀 ( 2

5 ) = 􀀀11

25 < 1

3(b) Autocorrelation function

Yule walker

(k) =

k􀀀1 􀀀

25

k􀀀2

setting k =
k,0 = 1 and k = 􀀀k

k=

k􀀀1 􀀀

1
25

k􀀀2

k􀀀

k􀀀1 +

25

k􀀀2 = 0

(
2􀀀

25

)
k􀀀2 = 0

25
2 􀀀 10
+1=0

10

100 􀀀 4(25)(1)

2(25)

10
50

twice

These are repeated roots therefor the general solution is of the form

k = (A1 + A2k)(

setting k=0

0 = A1 = 1

setting k=1

1 = (A1 + A2)(

1=

0􀀀

25

26

25

1=

5
1=

13

now

13

= (1 + A2)(

A2 =

25

13 􀀀 1

A2 =

12

13

24

26

The auto-correlation function is given by

k = (1 +

24

26

k)(

for k = 1;2;3; Shown

4 Question 4

Zt = 3
4Zt􀀀1 􀀀 1

8Zt􀀀2 + at

4(a) Roots and stationarity

Zt 􀀀

Zt􀀀1 +

Zt􀀀2 = at

Zt 􀀀

BZt +

B2Zt = at

(1 􀀀

B+

B2)Zt = at

1􀀀

B+

B2 = 0
8 􀀀 6B + B2 = 0

B=

36 􀀀 4(8)(1)

2(1)

B=

62

B = 4or2

let C1 = 4 and C2 = 2 where C1 > C2

For stationarity since C1 and C2 are greater than 1 then Zt is Stationary.

4(b)

Zt =

Zt􀀀1 􀀀

Zt􀀀2 + at

Zt􀀀1 =

Zt􀀀2 􀀀

Zt􀀀3 + at􀀀1

Zt􀀀2 =

4
Zt􀀀3 􀀀

Zt􀀀4 + at􀀀2

Zt􀀀3 =

Zt􀀀4 􀀀

Zt􀀀5 + at􀀀3

Zt =

Zt􀀀2 􀀀

Zt􀀀3 + at􀀀1) 􀀀

Zt􀀀3 􀀀

Zt􀀀4 + at􀀀2) + at

Zt = at +
3

at􀀀1 􀀀

at􀀀2 +

16

Zt􀀀2 􀀀

32

Zt􀀀3 +

64

Zt􀀀4

Zt = at +

at􀀀1 􀀀

at􀀀2 +

16

Zt􀀀3 􀀀

Zt􀀀4 + at􀀀2) 􀀀
6

32

Zt􀀀3 +

64

Zt􀀀4

Zt = at +

at􀀀1 +

16

at􀀀2 +

15

64

Zt􀀀3 􀀀

128

Zt􀀀4

Zt = at +

at􀀀1 +

16

at􀀀2 +

15

64

4
Zt􀀀4 􀀀

Zt􀀀5 + at􀀀3) 􀀀

128

Zt􀀀4

Zt = at +

at􀀀1 +

16

at􀀀2 +

15

64

at􀀀3 +

31

256

Zt􀀀4 􀀀

15

512

Zt􀀀5 (3)

Zt =

1X

i=0

iat􀀀i = 0at + 1at􀀀1 + 2at􀀀2 + 3at􀀀3 + (4)

now equating the coe

cients of at in 3 and 4 we have

0 = 1; 1 =

; 2=

16

; 3=

15

64

as a result

Zt = at +

at􀀀1 +

16

at􀀀2 +

15

64

at􀀀3 +

4(c)

from part a the roots of Zt are C1 = 4 and C2 = 2

now

i=

c2

i+1

􀀀
1

c1

i+1

c2

c1

i=

􀀀1

i+1

􀀀1

i+1

􀀀1

􀀀1

i=

1
4

􀀀1

"

i+1

i+1

i=2

Shown

4(d) Variance of Zt

(k) = E(ZtZt􀀀k) = E

3
4

Zt􀀀1 􀀀

Zt􀀀2 + at)Zt􀀀k

(k) =

E(Zt􀀀1Zt􀀀k) 􀀀

E(Zt􀀀2Zt􀀀k) + E(atZt􀀀k)

when k=0

(0) =

(1) 􀀀

(2) + 2

a (5)

when k=1

(1) =

(0) 􀀀
1

(1)

(1) =

(0) (6)

when k=2

(2) =

(1) 􀀀

(0)

(2) =

(0)) 􀀀

(0)
(2) =

(0) (7)

substituting 7 and 6 into 5 we have

(0) =

(0)) 􀀀

(0)) + 2

(0) =

29

64

(0) + 2

35

64
(0) = 2

(0) =

64

35

a shown