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SMS-3404-TIME-SERIES-ANALYSIS-II

The document outlines the examination details for the course SMS 3404: Time Series Analysis II at Meru University of Science and Technology for the 2021/2022 academic year. It includes various questions covering topics such as time series analysis approaches, definitions of key terms, stochastic processes, moving average processes, and spectral density functions. The exam consists of five questions, with students required to answer question one and any two additional questions.

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otienokevin260290
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11 views

SMS-3404-TIME-SERIES-ANALYSIS-II

The document outlines the examination details for the course SMS 3404: Time Series Analysis II at Meru University of Science and Technology for the 2021/2022 academic year. It includes various questions covering topics such as time series analysis approaches, definitions of key terms, stochastic processes, moving average processes, and spectral density functions. The exam consists of five questions, with students required to answer question one and any two additional questions.

Uploaded by

otienokevin260290
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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MERU UNIVERSITY OF SCIENCE AND TECHNOLOGY

P.O. Box 972-60200 – Meru-Kenya.


Tel: +254 (0)799529958, +254 (0)799529959, +254 (0)712524293
Website: www.must.ac.ke Email: [email protected]

University Examinations 2021/2022

FOURTH YEAR, FIRST SEMESTER EXAMINATION FOR THE DEGREE OF BACHELOR OF


SCIENCE IN STATISTICS

SMS 3404: TIME SERIES ANALYSIS II

DATE: OCTOBER 2022 TIME: 2 HOURS

INSTRUCTIONS: Answer question one and any other two questions

QUESTION ONE (30 MARKS)


a) State two approaches to time series analysis (2 marks)
b) Define the following terms
i) Periodogram (2 marks)
ii) Correlogram (2 marks)
iii) Spectrogram (2 marks)
c) Consider the following time series that display perfect periodicity defined by
sin where and are independent 0, random variables. Find
i) (1 mark)
ii) (4 marks)
d) Given a discrete stochastic process defined as where is white noise with mean and
variance . Find its
i) Autocovariance function i.e (2 marks)
ii) Autocorrelation function (2 marks)

Meru University of Science & Technology is ISO 9001:2015 Certified


Foundation of Innovations Page 1
e) Given an infinite order moving average process define as xt = et + θ (et −1 + et − 2 + .......) where

θ is a constant and {et } is a sequence of white noise (0, σ 2 )


(i) Is xt stationary? (2 marks)

(ii) Determine if Yt is second order stationary given that Yt = X t − X t − 1 (5 marks)


f) Define ARMA (p,q) process (2 marks)
g) State four weakness of an ARCH process (4 marks)

QUESTION TWO (20 MARKS)


a) Find the covariance generating function of a order 3 moving average process given by
1 1 1
Yt = et − et −1 − et − z + et −3 . Hence find its autocorrelation function (10 marks)
2 4 3
b) Consider the following two first order moving average processes
:Υ
1
:Υ

(i) Show that there is no unique moving average process using the autocorrelation function
(5 marks)
(ii) Determine which model is invertible (5 marks)

QUESTION THREE (20 MARKS)


a) Consider an autogressive process defined as ∝ where |∝| < 1 and % & is
white noise 0, , find
(i) Var (Xt) (2 marks)
(ii) (3 marks)
b) Consider an autoregressive process of order 2 given as 7) 3)
20 20
(5 marks)
(i) Is Xt stationary (5 marks)
(ii) Find the autocorrelation function Xt (7 marks)

Meru University of Science & Technology is ISO 9001:2015 Certified


Foundation of Innovations Page 2
QUESTION FOUR (20 MARKS)
a) Consider the following ARMA (p, q) process given as
(1 – 0.4B – 0.45B2)Xt = (11+B+0.25B2)et where B is the back shift operator
(i) Determine whether the process is stationary (2 marks)
(ii) Determine whether the process is invertible (2 marks)
(iii) Find HS ACF (6 marks)
b) Given an autoregressive process of order one defined as where % & is white
noise 0, draw a correlogram of model when
(i) 0.5 (5 marks)
(ii) − 0.5 (5 marks)
Between lag 0 and lag 5
QUESTION FIVE (20 MARKS)
a) Define a spectral density function (3 marks)
b) Given that . Where % & is white noise 0, find its spectral density function and
plot its spectrogram (5 marks)
c) Given that ℬ a moving average process of order one, find
(i) Its spectral density function (6 marks)
(ii) Plot its spectrogram when ℬ < 0 (3 marks)
(iii) Plot its spectrogram when / > 0 (3 marks)

Meru University of Science & Technology is ISO 9001:2015 Certified


Foundation of Innovations Page 3

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