Scribd
Upload
289 views3 pages

6.21, 7.3, 7.4 - 103046

The document simulates an MA(1) time series process and calculates the theoretical and sample autocorrelations at lag 1. It finds that the sample autocorrelation of 0.392 is close to the theoretical value of -0.4, with a small difference between their standard deviations. Repeating the simulation yields different sample autocorrelation estimates each time due to random sampling, even with an identical process. Simulating 10,000 samples shows the sample mean, median, and standard deviation approximate the theoretical values.

Uploaded by

Achmad Rizki Baehaki
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
289 views3 pages

6.21, 7.3, 7.4 - 103046

The document simulates an MA(1) time series process and calculates the theoretical and sample autocorrelations at lag 1. It finds that the sample autocorrelation of 0.392 is close to the theoretical value of -0.4, with a small difference between their standard deviations. Repeating the simulation yields different sample autocorrelation estimates each time due to random sampling, even with an identical process. Simulating 10,000 samples shows the sample mean, median, and standard deviation approximate the theoretical values.

Uploaded by

Achmad Rizki Baehaki
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 3

6.21 Simulate an MA(1) time series with 𝑛 = 60 and with 𝜃 = 0,5.

(a) Calculate the theoretical autocorrelation at lag 1 for this model


−𝜃 −0,5
𝜌1 = = = −0,4
1 + 𝜃 2 1 + (0,5)2
(b) Calculate the sample autocorrelation at lag 1, and compare the value with its
theoretical value. Use Exhibit 6.2 on page 112, to quantify the comparisons.
Akan dihitung autokorelasi sampel menggunakan RStudio :
> model <- arima.sim(n=60, list(ma=0.5), innov=rnorm(60))
> par(mar=c(1,1,1,1))
> acf(model, lag.max=1, plot=F) [1]
Autocorrelations of series ‘model’, by lag
1
0.392

Selanjutnya akan dibandingkan autokorelasi sampel dengan autokorelasi teori.


Berdasarkan Exhibit 6.2 standard deviasi untuk 𝜃 = −0,5 adalah
0.79 0,79
√𝑉𝑎𝑟(𝑟1) = = ≈ 0,10198856 ≈ 0,102
√𝑛 √60
1
Secara umum : 𝑉𝑎𝑟(𝑟𝑘 ) = 𝑛 [1 + 2 ∑𝑞𝑗=1 𝜌𝑗2 ], 𝑢𝑛𝑡𝑢𝑘 𝑘 > 𝑞.

Maka standard deviasi untuk autokorelasi teori :


1 1
√𝑉𝑎𝑟(−0,4) = √𝑛 (1 + 2𝜌12 ) = √60 [1 + 2(−0,4)2 ] ≈ 0,14832

Dan standard deviasi untuk autokorelasi sampel :


1 1
√𝑉𝑎𝑟(0,392) = √𝑛 (1 + 2𝜌12 ) = √60 [1 + 2(0,392)2 ] ≈ 0,14761

Selisih antara standard deviasi autokorelasi sampel dengan standard deviasi


autokorelasi teori sangat kecil yaitu 0,00071 artinya perbedaan antar autokorelasi
sampel hampir sama dengan perbedaan antar autokorelasi teori.

(c) Repeat part (b) with a new simulation. Describe how the precision of the estimate
varies with different samples selected under identical conditions.
> model <- arima.sim(n=60, list(ma=0.5), innov=rnorm(60))
> par(mar=c(2,2,2,2))
> acf(model, lag.max=1, plot=F) [1]
Autocorrelations of series ‘model’, by lag
1
0.401
Hasil estimasi akan terus berubah jika di-run ulang. Dapat disimpulkan bahwa
walaupun model yang disimulasikan sama, presisi dari estimasi akan berbeda-beda
tergantung pada pemilihan sampelnya.

(d) If software permits, repeat the simulation of the series and calculation of 𝑟1. Describe
how the precision of the estimate varies with different samples selected under
identical conditions. How well does the large sample variance given in Exhibit 6.2
on page 112, approximate the variance in your sampling distribution?
> set.seed(1000); r1=rep(NA,10000); r5=r1
> for(k in 1:10000) {model=arima.sim(n=60, list(ma=-0.5),
innov=rnorm(60)); r1[k]=acf(model, lag.max = 1, plot=F)$acf[1]}
> hist(r1)
> mean(r1)
> median(r1)
> sd(r1)

Dari distribusi sampling dengan 𝑛 = 10000 :


mean = −0,390, median = −0,393 dan standard deviasi = 0,10.
Berdasarkan Exhibit 6.2 standard deviasi untuk 𝜃 = −0,5 adalah
0.79 0,79
√𝑉𝑎𝑟(𝑟1) = = ≈ 0,10198856 ≈ 0,102
√𝑛 √60
7.3 If {𝑌𝑡 } satisfies an AR(1) model with 𝜑 of about 0.7, how long of a series do we need to
estimate 𝜑 = 𝜌1 with 95% confidence that our estimation error is no more than ±0.1?
The (large sample) standard error of 𝜙̂ = 𝑟1 is
1−𝜙 ̂2
AR(1) : 𝑉𝑎𝑟(𝜙̂) = 𝑛

Standard deviasi :

1 − 𝜙̂ 2 1 − (0,7)2 0,51 0,714


√𝑉𝑎𝑟(𝜙̂) = √ =√ =√ ≈
𝑛 𝑛 𝑛 √𝑛
2
0,714 2(0,714)
2( ) = 0,1 → 𝑛 = ( ) = 203,9 ≈ 204
√𝑛 0,1
Maka kita membutuhkan series sebanyak 𝑛 = 204

7.4 Consider an MA(1) process for which it is known that the process mean is zero. Based
on a series of length 𝑛 = 3, we observe 𝑌1 = 0, 𝑌2 = −1, and 𝑌3 = ½.
(a) Show that the conditional least-squares estimate of θ is ½.
Berdasarkan Equation 7.2.14 : halaman 157, kita punya
𝑒1 = 𝑌1 = 0
𝑒2 = 𝑌2 + 𝜃𝑒1 = −1
1
𝑒3 = 𝑌3 + 𝜃𝑒2 = 2 + (−1)𝜃
1 2 1
Sehingga 𝑆𝑐 (𝜃) = ∑(𝑒𝑡 )2 = 02 + (−1)2 + (2 − 𝜃) = 1 + 4 − 𝜃 + 𝜃 2

Untuk memaksimumkan 𝜃 maka 𝑑(𝑆𝑐 (𝜃)) = 0 sehingga


1
2𝜃 − 1 = 0 → 𝜃 =
2
1
Maka akan maksimum saat 𝜃 = 2.

(b) Find an estimate of the noise variance. (Hint: Iterative methods are not needed in this
simple case.)
𝑆𝑐 (𝜃) ∑(𝑒𝑡 )2 1 1
𝜎̂𝑒2 = = = =
𝑛−1 𝑛−1 3−1 2

You might also like

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy