Other
STK 320 / WST 321Time series analysis exercise 5 memo
- Course
- STK 320 (WST321)
- Institution
- University Of Pretoria (UP)
STK 320 Time series analysis exercise 5 memo
[Show more]
1 review
By: ritikchudasama101 • 11 months ago
Content preview
1EXERCISE 5 SUGGESTED SOLUTION
1. SAS Program
data fit_ar2;
n=500;
seed=0;
theta0=120;
phi1=0.2;
phi2=0.6;
mu=theta0/(1-phi1-phi2);
var_at=100;
zt_2=mu;
zt_1=mu;
do t = -49 to n;
at=sqrt(var_at)*rannor(seed);
zt=theta0+phi1*zt_1+phi2*zt_2+at;
if t > 0 then output;
zt_2=zt_1;
zt_1=zt;
end;
run;
2. SAS Program
goptions reset=all;
title1 'Simulated AR(2) series';
proc arima data=fit_ar2 plots(only)=series(acf pacf);
identify var=zt nlag=12;
estimate p=2 method=ml;
run;
SAS Output
Simulated AR(2) series
The ARIMA Procedure
Name of Variable = zt
Mean of Working Series 599.09
Standard Deviation 14.76223
Number of Observations 500
Autocorrelation Check for White Noise
To Lag Chi-Square DF Pr > ChiSq Autocorrelations
6 683.45 6 <.0001 0.499 0.689 0.388 0.507 0.290 0.371
12 806.30 12 <.0001 0.227 0.281 0.171 0.203 0.152 0.128
WST321
The benefits of buying summaries with Stuvia:
Guaranteed quality through customer reviews
Stuvia customers have reviewed more than 700,000 summaries. This how you know that you are buying the best documents.
Quick and easy check-out
You can quickly pay through EFT, credit card or Stuvia-credit for the summaries. There is no membership needed.
Focus on what matters
Your fellow students write the study notes themselves, which is why the documents are always reliable and up-to-date. This ensures you quickly get to the core!
Frequently asked questions
What do I get when I buy this document?
You get a PDF, available immediately after your purchase. The purchased document is accessible anytime, anywhere and indefinitely through your profile.
Satisfaction guarantee: how does it work?
Our satisfaction guarantee ensures that you always find a study document that suits you well. You fill out a form, and our customer service team takes care of the rest.
Who am I buying this summary from?
Stuvia is a marketplace, so you are not buying this document from us, but from seller bradleysmith1. Stuvia facilitates payment to the seller.
Will I be stuck with a subscription?
No, you only buy this summary for R50,00. You're not tied to anything after your purchase.
Can Stuvia be trusted?
4.6 stars on Google & Trustpilot (+1000 reviews)
76462 documents were sold in the last 30 days
Founded in 2010, the go-to place to buy summaries for 14 years now