GOVT COLLEGE OF SCIENCE WAHDAT ROAD LAHORE

DEPARTMENT OF STATISITICS- (BS 4 YEARS PROGRAM)-(STAT-413- Time Series Analysis-II CR=3)

Question Paper Mid Term (02-10-2017) Total Points 50 Time Allowed 1 Hours
1-Given AR(2) process Yt    1(Yt 1   )  2 (Yt 2   )  zt where Zt iid ~ N (  ,  2 ) is purely random
process and given that AR(2) process is stationary. Show that for sample sequence of observation {yt }nt=1 , the likelihood
n 1 1
function is given as LnL = constant- lnσ2z + ln|M2 | - 2 [S(μ, ϕ1, ϕ2 )] where M2 = Σ2−1 and Σ2 = COV(Yt , Yt−1 ) also
2 2 2σz
show that S(μ, ϕ1, ϕ2 ) is a quadratic form. Find MLE of σ2z . Also suggest a way to find exact MLE’s of ϕ1 and ϕ2 .
Obtain approximate MLE of ϕ1 and ϕ2 if possible. (20 pts)

2- a-Describe useful steps for model identification. b-In order to identify “p” and “q”, what characteristic behavior
appears the number of lags in graph of Autocorrelation Function (ACF) and Partial Autocorrelation Function (PACF)
for following models (i)-PRP; (ii)-MA(1); (iii)- MA(2); (iv)- AR(1); (v)- AR(2); (vi)-ARMA(1,1). (10, 10 pts)

GOVT COLLEGE OF SCIENCE WAHDAT ROAD LAHORE

DEPARTMENT OF STATISITICS- (BS 4 YEARS PROGRAM)-(STAT-413- Time Series Analysis-II CR=3)
Question Paper Mid Term (02-10-2017) Total Points 50 Time Allowed 1 Hours
1-Given AR(2) process Yt    1(Yt 1   )  2 (Yt 2   )  zt where Zt iid ~ N (  ,  2 ) is purely random
process and given that AR(2) process is stationary. Show that for sample sequence of observation {yt }nt=1 , the likelihood
n 1 1
function is given as LnL = constant- lnσ2z + ln|M2 | - 2 [S(μ, ϕ1, ϕ2 )] where M2 = Σ2−1 and Σ2 = COV(Yt , Yt−1 ) also
2 2 2σz
show that S(μ, ϕ1, ϕ2 ) is a quadratic form. Find MLE of σ2z . Also suggest a way to find exact MLE’s of ϕ1 and ϕ2 .
Obtain approximate MLE of ϕ1 and ϕ2 if possible. (20 pts)

2- a-Describe useful steps for model identification. b-In order to identify “p” and “q”, what characteristic behavior
appears the number of lags in graph of Autocorrelation Function (ACF) and Partial Autocorrelation Function (PACF)
for following models (i)-PRP; (ii)-MA(1); (iii)- MA(2); (iv)- AR(1); (v)- AR(2); (vi)-ARMA(1,1). (10, 10 pts)

GOVT COLLEGE OF SCIENCE WAHDAT ROAD LAHORE

DEPARTMENT OF STATISITICS- (BS 4 YEARS PROGRAM)-(STAT-413- Time Series Analysis-II CR=3)
Question Paper Mid Term (02-10-2017) Total Points 50 Time Allowed 1 Hours
1-Given AR(2) process: Yt    1(Yt 1   )  2 (Yt 2   )  zt where Zt iid ~ N (  ,  2 ) is purely random
process and given that AR(2) process is stationary. Show that for sample sequence of observation {yt }nt=1 , the likelihood
n 1 1
function is given as LnL = constant- lnσ2z + ln|M2 | - 2 [S(μ, ϕ1, ϕ2 )] where M2 = Σ2−1 and Σ2 = COV(Yt , Yt−1 ) also
2 2 2σz
show that S(μ, ϕ1, ϕ2 ) is a quadratic form. Find MLE of σ2z . Also suggest a way to find exact MLE’s of ϕ1 and ϕ2 .
Obtain approximate MLE of ϕ1 and ϕ2 if possible. (20 pts)

2- a-Describe useful steps for model identification. b-In order to identify “p” and “q”, what characteristic behavior
appears the number of lags in graph of Autocorrelation Function (ACF) and Partial Autocorrelation Function (PACF)
for following models (i)-PRP; (ii)-MA(1); (iii)- MA(2); (iv)- AR(1); (v)- AR(2); (vi)-ARMA(1,1). (10, 10 pts)