Time Series Homework

  • Table B.6 supplied to you contains global mean surface air temperature anomaly. Develop an appropriate ARIMA model and a method for forecasting
  • Table B7. contains Whole Foods Market Stock Price daily closings Use the first 85% of the data and build an appropriate A RIMA model Come up with a forecasting method . Check your one-day two-day and three-day forecasts on the other 15% is of the dataset
  • inc.dat contains gas pressure data from a utility company. Construct an appropriate ARIMA model. Report 95% prediction intervals and forecasts for a few time units


  • Consider the ARIMA (0,1,1) model: (1 – B)Yt = (1 – ƟB)Ɛt

Show that the one-step forecast is:

Ŷt+1 = Yt– ƟƐt

Ŷt+h= Ŷt+h-1 , h ≥ 2


  • Let {Yt} be a covariance stationary process with h-log correlation ƍhand variance σ2. Derive an expression for the variance of the sample mean

= n-1  i




Last Updated on March 29, 2019

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