Excursions in Modern Mathematics (9th Edition)
9th Edition
ISBN: 9780134468372
Author: Peter Tannenbaum
Publisher: PEARSON
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Textbook Question
Chapter 9, Problem 51E
Find the sum
a.
b.
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Module Code: MATH380202
3. (a) Let {} be a white noise process with variance σ2.
Define an ARMA(p,q) process {X} in terms of {+} and state (without proof)
conditions for {X} to be (i) weakly stationary and (ii) invertible.
Define what is meant by an ARIMA (p, d, q) process. Let {Y} be such an ARIMA(p, d, q)
process and show how it can also be represented as an ARMA process, giving the
AR and MA orders of this representation.
(b) The following tables show the first nine sample autocorrelations and partial auto-
correlations of X and Y₁ = VX+ for a series of n = 1095 observations. (Notice
that the notation in this part has no relationship with the notation in part (a) of
this question.)
Identify a model for this time series and obtain preliminary estimates for the pa-
rameters of your model.
X₁
= 15.51, s² = 317.43.
k
1
2
3
4
5
6
7
Pk
0.981
0.974
0.968
akk 0.981 0.327
8
9
0.927
0.963 0.957 0.951 0.943 0.935
0.121 0.104 0.000 0.014 -0.067 -0.068 -0.012
Y₁ = VX : y = 0.03, s² = 11.48.
k
1…
Let G be a graph with n ≥ 2 vertices x1, x2, . . . , xn, and let A be the adjacency matrixof G. Prove that if G is connected, then every entry in the matrix A^n−1 + A^nis positive.
Module Code: MATH380202
1. (a) Define the terms "strongly stationary" and "weakly stationary".
Let {X} be a stochastic process defined for all t € Z. Assuming that {X+} is
weakly stationary, define the autocorrelation function (acf) Pk, for lag k.
What conditions must a process {X+) satisfy for it to be white noise?
(b) Let N(0, 1) for t€ Z, with the {+} being mutually independent. Which of
the following processes {X+} are weakly stationary for t> 0? Briefly justify your
answers.
i. Xt for all > 0.
ii. Xo~N(0,) and X₁ = 2X+-1+ &t for t > 0.
(c) Provide an expression for estimating the autocovariance function for a sample
X1,..., X believed to be from a weakly stationary process. How is the autocor-
relation function Pk then estimated, and a correlogram (or acf plot) constructed?
(d) Consider the weakly stationary stochastic process ✗+ = + + +-1+ +-2 where
{E} is a white noise process with variance 1. Compute the population autocorre-
lation function Pk for all k = 0, 1, ....
Chapter 9 Solutions
Excursions in Modern Mathematics (9th Edition)
Ch. 9 - Consider the sequence defined by the explicit...Ch. 9 - Consider the sequence defined by the explicit...Ch. 9 - Consider the sequence defined by the explicit...Ch. 9 - Consider the sequence defined by the explicit...Ch. 9 - Consider the sequence defined by the explicit...Ch. 9 - Consider the sequence defined by the explicit...Ch. 9 - Consider the sequence defined by the explicit...Ch. 9 - Consider the sequence defined by the explicit...Ch. 9 - Consider the sequence defined by the explicit...Ch. 9 - Consider the sequence 1,4,9,16,25,.... a. List the...
Ch. 9 - Consider the sequence 1,2,6,24,120,.... a. List...Ch. 9 - Consider the sequence 0,1,3,6,10,15,21.... a. List...Ch. 9 - Prob. 14ECh. 9 - Consider the sequence 1,85,2,167,208,.... a. List...Ch. 9 - Prob. 16ECh. 9 - Airlines would like to board passengers in the...Ch. 9 - When two fair coins are tossed the probability of...Ch. 9 - Consider a population that grows linearly...Ch. 9 - Consider a population that grows linearly...Ch. 9 - Consider a population that grows linearly...Ch. 9 - Consider a population that grows linearly...Ch. 9 - Consider a population that grows linearly, with...Ch. 9 - Consider a population that grows linearly, with...Ch. 9 - Official unemployment rates for the U.S....Ch. 9 - The world population reached 6 billion people in...Ch. 9 - The Social Security Administration uses a linear...Ch. 9 - While the number of smokers for the general adult...Ch. 9 - Use the arithmetic sum formula to find the sum...Ch. 9 - Prob. 30ECh. 9 - An arithmetic sequence has first term P0=12 and...Ch. 9 - An arithmetic sequence has first term P0=1 and...Ch. 9 - Find the sum a. 1+3+5+7++149.Hint: See Example...Ch. 9 - Find the sum a. 2+4+6++98. b. 2+4+6+75terms.Ch. 9 - The city of Lightsville currently has 137...Ch. 9 - Prob. 36ECh. 9 - A population grows according to an exponential...Ch. 9 - A population grows according to an exponential...Ch. 9 - A population grows according to the recursive rule...Ch. 9 - Prob. 40ECh. 9 - Crime in Happyville is on the rise. Each year the...Ch. 9 - Prob. 42ECh. 9 - Prob. 43ECh. 9 - Avian influenza A H5N1 is a particularly virulent...Ch. 9 - In 2010 the undergraduate enrollment at Bright...Ch. 9 - In 2009 there were 73 cases of avian influenza A...Ch. 9 - Consider the geometric sequence P0=2, P1=6, P2=18,...Ch. 9 - Consider the geometric sequence P0=4, P1=6, P2=9,...Ch. 9 - Consider the geometric sequence P0=4, P1=2, P2=1,....Ch. 9 - Consider the geometric sequence P0=10, P1=2,...Ch. 9 - Find the sum a. 1+2+22+23++215. b. 1+2+22+23++2N1...Ch. 9 - Find the sum a. 1+3+32+33++310. b. 1+3+32+33++3N1....Ch. 9 - A population grows according to the logistic...Ch. 9 - A population grows according to the logistic...Ch. 9 - For the population discussed in Exercise 53...Ch. 9 - Prob. 56ECh. 9 - Prob. 57ECh. 9 - Prob. 58ECh. 9 - Prob. 59ECh. 9 - Prob. 60ECh. 9 - A population grows according to the logistic...Ch. 9 - A population grows according to the logistic...Ch. 9 - Each of the following sequences follows a linear,...Ch. 9 - Each of the line graph shown in Figs. 9-19 through...Ch. 9 - Prob. 65ECh. 9 - Prob. 66ECh. 9 - Prob. 67ECh. 9 - Prob. 68ECh. 9 - Prob. 69ECh. 9 - Prob. 70ECh. 9 - Prob. 71ECh. 9 - Prob. 72ECh. 9 - Prob. 73ECh. 9 - Prob. 74ECh. 9 - Prob. 75ECh. 9 - Show that if P0,P1,P2,... is an arithmetic...
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