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HSTS 203 Assignment 1 Ednah T.C Mikithayo R189502S 1 Autocorrelation Function For ZT - ZT 1 + at at 1
HSTS 203 Assignment 1 Ednah T.C Mikithayo R189502S 1 Autocorrelation Function For ZT - ZT 1 + at at 1
1 Question1
Zt = -Zt1 + at at1
rst autocovariance function
multiplying both sides of the above equation by Ztk and take expectation
when k=0
(0) = -
(1) + 2
a [(- )2
a]
(0) = -
(1) + [1 (- )]2
a (1)
when k=1
(1) = -
(0) + 0 2
(1) = -
(0) 2
a (2)
When K2
(k) = -
(k1) + 0 0
(k) = -
(k1)
(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
(1) = -
(0) 2
(2) = -
(0) = -2
(0) -2
(3) = -3
(0) -22
(k) = -k
(0) -k12
a
(k) = (-
(0) 2
a)-k1
(k) =
(k)
(0)
(-
(0) 2
a)-k1
(0)
(k) =
"
-
12-+2
1-2 2
-k1
(k) =
-(1 2- + 2) (1 -2)
1 2- + 2
-k1
(k) =
- 2-2 + 2- + -2
1 2- + 2
-k1
(k) =
- -2 + 2-
1 2- + 2
-k1
(k) =
-(1 -) (1 -)
1 2- + 2
-k1
(k) =
(- )(1 -)
1 2- + 2 -k1Shown
2 Question 2
Zt = at + 0:7at1 0:2at2
E(Zt) = 0
2(b) Variance
a + 0:492
a + 0:042
(0) = 1:532
Zt = at + 0:7at1 0:2at2
when k=0
when k=1
(1) = 0 + 0:72
a 0:2(0:72
a)
(1) =
14
25
when k=2
(2) = E(atZt2) + 0:7E(at1Zt2) 0:2E(at2Zt2)
(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
5Zt1 1
25Zt2 + at
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
Yule walker
(k) =
k1
25
k2
setting k =
k,0 = 1 and k = k
k=
k1
1
25
k2
k
k1 +
25
k2 = 0
(
2
25
)
k2 = 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
k = (1 +
24
26
k)(
4 Question 4
Zt = 3
4Zt1 1
8Zt2 + at
Zt
Zt1 +
Zt2 = 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
4(b)
Zt =
Zt1
Zt2 + at
Zt1 =
Zt2
Zt3 + at1
Zt2 =
4
Zt3
Zt4 + at2
Zt3 =
Zt4
Zt5 + at3
Zt =
Zt2
Zt3 + at1)
Zt3
Zt4 + at2) + at
Zt = at +
3
at1
at2 +
16
Zt2
32
Zt3 +
64
Zt4
Zt = at +
at1
at2 +
16
Zt3
Zt4 + at2)
6
32
Zt3 +
64
Zt4
Zt = at +
at1 +
16
at2 +
15
64
Zt3
128
Zt4
Zt = at +
at1 +
16
at2 +
15
64
4
Zt4
Zt5 + at3)
128
Zt4
Zt = at +
at1 +
16
at2 +
15
64
at3 +
31
256
Zt4
15
512
Zt5 (3)
Zt =
1X
i=0
0 = 1; 1 =
; 2=
16
; 3=
15
64
as a result
Zt = at +
at1 +
16
at2 +
15
64
at3 +
4(c)
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(ZtZtk) = E
3
4
Zt1
Zt2 + at)Ztk
(k) =
E(Zt1Ztk)
E(Zt2Ztk) + E(atZtk)
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)
(0) =
(0))
(0)) + 2
(0) =
29
64
(0) + 2
35
64
(0) = 2
(0) =
64
35
a shown