TS Module 4: Variance of mean homework assignment


TS Module 4: Variance of mean homework assignment

Author
Message
NEAS
Supreme Being
Supreme Being (5.7K reputation)Supreme Being (5.7K reputation)Supreme Being (5.7K reputation)Supreme Being (5.7K reputation)Supreme Being (5.7K reputation)Supreme Being (5.7K reputation)Supreme Being (5.7K reputation)Supreme Being (5.7K reputation)Supreme Being (5.7K reputation)

Group: Administrators
Posts: 4.2K, Visits: 1.2K
TS Module 4: Variance of mean homework assignment

(The attached PDF file has better formatting.)

Homework assignment: Variance of mean

An MA(2) process Yt = et – è1 et-1 – è2 et-2 has N observations, with ó2e = 1, –1 è1 +1, –1 è2 +1. What values of è1 and è2 maximize the variance of , the average of the Y values?What values of è1 and è2 minimizes the variance of , the average of the Y values?Your answer should give a line of values for each part, such as è1 + è2 = k.

Jacob: How should we reason through this homework assignment?

Rachel: Write the value of in terms of the å’s: yj = ån + (1 – è1) ån-1 + (1 – è1 – è2) ån-2 + …

Most of the terms have (1 – è1 – è2) ån-2 ; only the two terms at the beginning and the two terms at the end have fewer è’s. Ignore these beginning and end terms (assuming n is large).

All the å’s are independent. We choose è1 and è2 to maximize or minimize (1 – è1 – è2) ån-2, which is easy.

For the homework assignment, ignoring the end terms is fine. If N is small, the answer differs slightly, and the calculations are messy.
Attachments
TS Module 4 variance of mean HW.pdf (1.6K views, 39.00 KB)
ConfusedNoob2
Forum Newbie
Forum Newbie (2 reputation)Forum Newbie (2 reputation)Forum Newbie (2 reputation)Forum Newbie (2 reputation)Forum Newbie (2 reputation)Forum Newbie (2 reputation)Forum Newbie (2 reputation)Forum Newbie (2 reputation)Forum Newbie (2 reputation)

Group: Awaiting Activation
Posts: 1, Visits: 38
I'm confused - the homework assignment seems to cover things not in the readings for this module.  The all in 1 pdf of homework (which I understand was submitted by a user, not NEAS) also seems to have a different homework assignment than the pdf attached.  The all in 1 pdf HW assignment for module 4 DOES seem to be relevant to the readings though.  

Is
"TS Module 4: Variance of mean homework assignment" the correct assignment? (NEAS: Yes, this is the correct assignment)
or the:
"TS Module 4: Regression methods HW" correct? (which is in the all in 1 pdf, but seems relevant to the readings assigned)?

Edited 5 Years Ago by NEAS
LBB
Forum Newbie
Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)

Group: Forum Members
Posts: 1, Visits: 37
Is this just taking the derivative (1-theta(1)-theta(2))(epsilon(n-2)) with respect to epsilon(n-2) and setting the equation equal to zero? If not, is there a page reference in the book to assist?
Time Series Noob
Forum Newbie
Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)

Group: Forum Members
Posts: 1, Visits: 3
I'm having a really hard time understanding what this question is even asking.. I dnt see anything related to this in the reading. Can someone please help?
ekitelinger
Forum Newbie
Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)Forum Newbie (1 reputation)

Group: Awaiting Activation
Posts: 1, Visits: 3
This looks different from the homework assignment I printed. The one that I see has exhibit 3.10 and is showing standardized residuals versus Fitted VAlues for the temp. Seasonal means model.

I’m wondering about questions C and D. For C, it asked if toy sales are higher in December (500,000) and low in February (50,000). Would you expect the residuals to have a higher variance in December or February? What’s the intuition behind this? It does not seem obvious to me.

Part D asks why this reasoning does not apply to daily temperature.

Would you please help me understand the idea behind this, or where in the book it explains this reasoning?
GO
Merge Selected
Merge into selected topic...



Merge into merge target...



Merge into a specific topic ID...





Reading This Topic


Login
Existing Account
Email Address:


Password:


Social Logins

  • Login with twitter
  • Login with twitter
Select a Forum....











































































































































































































































Neas-Seminars

Search